Results 31 to 40 of about 1,137 (107)
Stationarity and geometric ergodicity of a class of nonlinear ARCH models [PDF]
, 2006 A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and $\beta$-mixing solution is established under a mild assumption on the density of the underlying independent process.
Sa\"{ı}di, Youssef +1 more
core +2 more sources
Ingeniería y Ciencia, 2012 Muchas series de tiempo con tendencia y ciclos estacionales son exitosamente modeladas y pronosticadas usando el modelo airline de Box y Jenkins; sin embargo, la presencia de no linealidades en los datos son despreciadas por este modelo. En este artículo,
J D Velásquez, C J Franco
doaj +1 more source
Three months journeying of a Hawaiian monk seal [PDF]
, 2008 Hawaiian monk seals (Monachus schauinslandi) are endemic to the Hawaiian Islands and are the most endangered species of marine mammal that lives entirely within the jurisdiction of the United States. The species numbers around 1300 and has been declining
Brent S. Stewart +3 more
core +4 more sources
Geoestadística aplicada a series de tiempo autorregresivas: un estudio de simulación
Revista Integración, 2017 La geoestadística puede usarse como método de predicción de datos faltantes en series temporales. El procedimiento se basa en el estudio de la estructura de autocorrelación temporal de la serie de tiempo por medio de la función de variograma, que es ...
Ramón Giraldo +2 more
doaj +1 more source
Lower bounds for volatility estimation in microstructure noise models [PDF]
, 2010 In this paper we derive lower bounds in minimax sense for estimation of the instantaneous volatility if the diffusion type part cannot be observed directly but under some additional Gaussian noise. Three different models are considered.
Munk, Axel, Schmidt-Hieber, Johannes
core +3 more sources
Ingeniería y Ciencia, 2015 En este trabajo se identificó un modelo en series de tiempo para el control de la tasa de penetración (ROP) en un pozo de referencia denominado V∗∗∗ que pertenece al campo en desarrollo VEL que está ubicado en la cuenca del Valle del Magdalena Medio (VMM)
Henry Daniel Hernández Martínez +1 more
doaj +1 more source
Testing stability in a spatial unilateral autoregressive model [PDF]
, 2012 Least squares estimator of the stability parameter $\varrho := |\alpha| + |\beta|$ for a spatial unilateral autoregressive process $X_{k,\ell}=\alpha X_{k-1,\ell}+\beta X_{k,\ell-1}+\varepsilon_{k,\ell}$ is investigated.
Gyula Pap +3 more
core +3 more sources
Functional generalized autoregressive conditional heteroskedasticity [PDF]
, 2015 Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of ARCH and GARCH processes. More recently multivariate variants of these processes have been in the focus of research
Aue, Alexander +2 more
core +2 more sources
Modeling macroeconomic time series via heavy tailed distributions
, 2007 It has been shown that some macroeconomic time series, especially those where outliers could be present, can be well modelled using heavy tailed distributions for the noise components.
Aston, J. A. D.
core +1 more source
High frequency sampling of a continuous-time ARMA process
, 2011 Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modeling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form $Y_{n\Delta}, n=0,1,2,...$, where $\Delta$ is small
Barndorff-Nielsen +16 more
core +1 more source