Results 81 to 90 of about 10,065 (268)
MODEL SELECTION CRITERIA AND QUADRATIC DISCRIMINATION IN ARMA AND SETAR TIME SERIES MODELS [PDF]
We show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria.
Daniel Peña, Pedro Galeano
core
Multistep Predictions from Multivariate ARMA-GARCH Models and their Value for Portfolio Management [PDF]
, 2002 In this paper we derive the closed form solution for multistep predictions of the conditional means and their covariances from multivariate ARMA-GARCH models. These are useful e.g.
Hlouskova, Jaroslava +2 more
core
An optimal prediction in general ARMA models
, 1990 This paper introduces a concept of a general ARMA model. The Wold's decomposition is extended to a class of stochastic processes without moment conditions.
Kowalski, Aleksander, Szynal, Dominik
core +1 more source
Journal of Esthetic and Restorative Dentistry, EarlyView.ABSTRACT Objective This study aimed to evaluate whether radiopacity differs among additively manufactured permanent resins, temporary resins, and conventional resin‐based composites at clinically relevant thicknesses. Materials and Methods Eight dental materials were evaluated and categorized into four groups: additively manufactured permanent resins ...
Sinem Coşkun‐Albayrak +3 more
wiley +1 more source
Selection of the Informative Base in ARMA-GARCH Models [PDF]
In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically
Laura Muñoz +2 more
core
, 2010 This paper presents an improvement of hybrid of nonlinear autoregressive with exogenous input (NARX) and autoregressive moving average (ARMA) for long-term machine state forecasting based on vibration data.
Yang, Bo-Suk +2 more
core +1 more source
Journal of Intellectual Disability Research, EarlyView.ABSTRACT Over time, sexuality has become a crucial aspect in people's lives, regardless of physical, intellectual or social conditions, ranging from sex and sexually transmitted diseases to gender identity and sexual orientation. The aim of this study was to carry out a review of the scientific literature on sexual orientation in people with ...
Laura Armas Junco +2 more
wiley +1 more source
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors, [PDF]
This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a generalised autoregressive conditional heteroscedastic process.
Michael McAleer, Shiqing Ling
core
Detecting Structural Change Point in ARMA Models via Neural Network Regression and LSCUSUM Methods. [PDF]
Entropy (Basel), 2023 Ri XH, Chen Z, Liang Y.
europepmc +1 more source
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source