Results 11 to 20 of about 1,135 (106)
Estimation and inference in adaptive learning models with slowly decreasing gains
Journal of Time Series Analysis, Volume 43, Issue 5, Page 720-749, September 2022., 2022 An asymptotic theory for estimation and inference in adaptive learning models with strong mixing regressors and martingale difference innovations is developed. The maintained polynomial gain specification provides a unified framework which permits slow convergence of agents' beliefs and contains recursive least squares as a prominent special case ...
Alexander Mayer
wiley +1 more source
Majalah Ilmiah Matematika dan Statistika, 2022 The fuzzy time series method for forecasting continues to develop over time. This research discusses fuzzy time series, which considers two factors for high order using interval partitioning based on interval ratio with long relation construction for ...
Etna Vianita +2 more
doaj +1 more source
A novel approach to compare the spectral densities of some uncorrelated cyclostationary time series
Alexandria Engineering Journal, 2022 Our primary objective in this article is to compare the spectral densities of some cyclostationary time series. By using the limiting distributions of the discrete Fourier transform, a novel approach is introduced to determine whether the spectral ...
Mohammad Reza Mahmoudi +4 more
doaj +1 more source
On the non-negative first-order exponential bilinear time series model [PDF]
, 2006 In this paper the bilinear model BL(1,0,1,1) driven by exponential distributed innovations is studied in some detail. Conditions under which the model is strictly stationary as well as some properties of the stationary distribution are discussed ...
Pereira, I, Scotto, MG
core +2 more sources
Locf imputation for Astra Agro Lestari Tbk. (Indonesia) and Anadolu Group (Turkey) stock
Majalah Ilmiah Matematika dan Statistika, 2022 This study aims to apply time series graphs on stock of Astra Agro Lestari Tbk. and Anadolu Group with last observation carried forward (LOCF) imputation. The imputation was used because the data for the two companies had missing values on several dates.
Fadhlul Mubarak +2 more
doaj +1 more source
Peramalan nilai tukar rupiah terhadap dollar Amerika menggunakan model ARIMA
Majalah Ilmiah Matematika dan Statistika, 2023 The exchange rate of the Rupiah against the currencies of other countries is one of the factors in identifying the condition of an economic condition.
Andreas Rony Wijaya
doaj +1 more source
Improved estimation in a non-Gaussian parametric regression [PDF]
, 2011 The paper considers the problem of estimating the parameters in a continuous time regression model with a non-Gaussian noise of pulse type. The noise is specified by the Ornstein-Uhlenbeck process driven by the mixture of a Brownian motion and a compound
Pchelintsev, Evgeny
core +3 more sources
Time series modelling of the Kobe‐Osaka earthquake recordings
International Journal of Mathematics and Mathematical Sciences, Volume 29, Issue 8, Page 467-479, 2002., 2002 A problem of great interest in monitoring a nuclear test ban treaty (NTBT) is related to interpreting properly the differences between a waveform generated by a nuclear explosion and that generated by an earthquake. With a view of comparing these two types of waveforms, Singh (1992) developed a technique for identifying a model in time domain ...
N. Singh +2 more
wiley +1 more source
Time series aggregation, disaggregation and long memory [PDF]
, 2007 We study the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggregated processes which can be obtained from simpler, "elementary", cases ...
A. Philippe +12 more
core +5 more sources
Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models
Open Mathematics, 2017 This paper studies the quasi-maximum likelihood estimator (QMLE) for the generalized autoregressive conditional heteroscedastic (GARCH) model based on the Laplace (1,1) residuals.
Xuan Haiyan +3 more
doaj +1 more source