Results 101 to 110 of about 10,065 (268)
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 +4 more
wiley +1 more source
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
Temporal aggregation of univariate and multivariate time series models: A survey [PDF]
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed.
Andrea Silvestrini, David Veredas
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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 +2 more
wiley +1 more source
Modeling and forecasting electricity loads: A comparison [PDF]
In this paper we study two statistical approaches to load forecasting. Both of them model electricity load as a sum of two components – a deterministic (representing seasonalities) and a stochastic (representing noise).
Rafal Weron, Adam Misiorek
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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
Some Computational Aspects of Gaussian CARMA Modelling [PDF]
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations.
Tómasson, Helgi
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Essays on noninvertible ARMA models [PDF]
, 2019 The theory for conventional Gaussian, causal and invertible autoregressive moving average (ARMA) models has developed into a what can be considered as a basis of modern time series analysis.
Nyholm, Juho
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Journal of Time Series Analysis, EarlyView.ABSTRACT The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium‐to‐long‐run component of economic growth of a ...
Alessandro Giovannelli +2 more
wiley +1 more source
Computing and estimating information matrices of weak arma models
Numerous time series admit "weak" autoregressive-moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent nor martingale differences.
Francq, Christian +2 more
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