Results 11 to 20 of about 222 (103)
Detecting departures from meta-ellipticity for multivariate stationary time series
Dependence Modeling, 2021 A test for detecting departures from meta-ellipticity for multivariate stationary time series is proposed. The large sample behavior of the test statistic is shown to depend in a complicated way on the underlying copula as well as on the serial ...
Bücher Axel, Jaser Miriam, Min Aleksey
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Multivariate variable selection by means of null-beamforming
, 2021 This article aims to use beamforming, a covariate-assisted data projection method to solve the problem of variable selection for multivariate random-effects regression models. The new approach attempts to explore the covariance structure in the data with
Jian Zhang, Elaheh Oftadeh
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Geometric fractional Brownian motion model for commodity market simulation
Alexandria Engineering Journal, 2021 The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter to GBM to characterize long-memory phenomenon, the geometric fractional Brownian motion (GFBM) model was ...
Siti Nur Iqmal Ibrahim +2 more
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Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms [PDF]
Electronic Journal of Statistics, 2019 This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily independent (i.e. weak FARIMA). We first study the joint distribution of the
Yacouba Boubacar Mainassara +2 more
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A unified perspective on some autocorrelation measures in different fields: A note
Open Mathematics, 2023 Using notions from linear algebraic graph theory, this article provides a unified perspective on some autocorrelation measures in different fields. They are as follows: (a) Orcutt’s first serial correlation coefficient, (b) Anderson’s first circular ...
Yamada Hiroshi
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Testing for explosive bubbles: a review
Dependence Modeling, 2023 This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered.
Skrobotov Anton
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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
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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
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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
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Volatility filtering in estimation of kurtosis (and variance)
Dependence Modeling, 2019 The kurtosis of the distribution of financial returns characterized by high volatility persistence and thick tails is notoriously difficult to estimate precisely.
Anatolyev Stanislav
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