Results 91 to 100 of about 4,093 (257)

A Conditional Tail Expectation Type Risk Measure for Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications

, 2001
State-dependent vector hybrid linear and nonlinear ARMA modeling ...
Z Lin (9893987), Y Zheng (7737209), David Tay (13096854)   +2 more
core  

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory

, 2001
State-dependent vector hybrid linear and nonlinear ARMA modeling ...
Z Lin (9893987), Y Zheng (7737209), David Tay (13096854)   +2 more
core  

Robust CDF‐Filtering of a Location Parameter

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley   +1 more source

Nonlinear Mobile Link Adaptation Using Modified FLNN and Channel Sounder Arrangement

IEEE Access, 2017
In a typical mobile environment, the varying speeds of transmit-receive pairs make traditional channel estimation methods inefficient due to continuously altering requirement of high density reference symbols.
Manasjyoti Bhuyan, Kandarpa Kumar Sarma, Nikos E. Mastorakis   +2 more
doaj   +1 more source

ARMA modeling [PDF]

, 1988
This thesis estimates the frequency response of a network where the only data is the output obtained from an Autoregressive-moving average (ARMA) model driven by a random input.
Kayahan, Gurhan
core  

Noncausal ARMA Modeling of Voiced Speech

, 1989
A noncausal ARMA source-filter model of voiced speech is proposed. Although the human speech-production mechanism is obviously causal, a noncausal model allows the simple source-filter approach to Incorporate different parameters for the open-glottis and
Jackson, Leland B.
core   +1 more source