Dynamic modeling of mean-reverting spreads for statistical arbitrage
Mean reversion, Statistical arbitrage, Pairs trading, State space model, Time-varying autoregressive processes, Dynamic regression, Bayesian forecasting, 91B84, 91B28, 62M10,
K. Triantafyllopoulos, G. Montana
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A Matrix-Variate t Model for Networks. [PDF]
Front Artif Intell, 2021 Billio M +3 more
europepmc +1 more source
Testing interaction in some predator–prey populations
Correlated Ornstein–Uhlenbeck process, Ergodic and stationary process, Gaussian process, Wiener process, Uniformly most powerful test, Interaction parameter, Lotka–Volterra ODE, 62M10, 62F03, 92D25,
Sévérien Nkurunziza
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An overview of bootstrap methods for estimating and predicting in time series
Autoregressive processes, blockwise bootstrap, moving average processes, moving blocks bootstrap, resampling methods, stationary bootstrap, Primary 62G09, secondary 62G07, 62M10, 62M20, 60G25,
Ricardo Cao
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Under-reported time-varying MINAR(1) process for modeling multivariate count series. [PDF]
Comput Stat Data Anal, 2023 Aghabazaz Z, Kazemi I.
europepmc +1 more source
MONTE CARLO AND NUMERICAL METHODS TO SOLVE THE TIME SERIES MODEL
In this paper we will solve the nonlinear system of equations in the parameters of the time series model by Monte Carlo methods and by numerical methods. When we identify the variance and the inter-covariances of time series, we obtain, dividing by
CIUIU, Daniel
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A statistical framework for measuring the temporal stability of human mobility patterns. [PDF]
J Appl Stat, 2021 Dong Z, Chen YC, Dobra A.
europepmc +1 more source
Kolmogorov Entropy for Convergence Rate in Incomplete Functional Time Series: Application to Percentile and Cumulative Estimation in High Dimensional Data. [PDF]
Entropy (Basel), 2023 Litimein O +4 more
europepmc +1 more source
Extraction of Fraud Schemes from Trade Series [PDF]
, 2007 2000 Mathematics Subject Classification: 62H30, 62M10, 62M20, 62P20, 94A13.It is very often the case that the patterns of a fraudulent activity in trade are hidden within existing trade data time series.
Moussas, Charalambos, Noncheva, Veska
core
Transfer Function Model for COVID-19 Deaths in USA Using Case Counts as Input Series. [PDF]
Bull Malays Math Sci Soc, 2022 Shahela FA, Uddin N.
europepmc +1 more source