Results 191 to 200 of about 361,494 (239)

On ergodicity of threshold ARMA(m, p, q) models

Japanese Journal of Statistics and Data Science
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bai, Qiang, Ling, Shiqing
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On probabilistic properties of nonlinear ARMA(p,q) models

Statistics & Probability Letters, 2000
The nonlinear ARMA model \(X_{n+1}=h(e_{n-q+1},\dots,e_n, X_{n-p+1},\dots,X_n)+e_{n+1}\) is considered where \(h\) is a measurable function and \(\{e_t\}\) is a sequence of i.i.d. random variables with \(E|e_n|
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Optimal Identification of Non-minimum Phase ARMA (P, Q) Seismic Wavelet

IFAC Proceedings Volumes, 1988
Abstract This paper is dealing with the application of parametric methods to the classical seismic problem. A new maximum-likelihood algorithm is proposed, which gives a fast and globally optimal identification of non-minimum phase seismic wavelets. As ARMA(p, q) model is used, we can identify the MA part beyond the limit of the AH order so that the ...
Hong-Zhu Liang, Jia-Jin Chu
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ARMA(p,q) Processes

2018
A long-standing dream of economists was to build a massive model of the economy. One with hundreds of supply and demand equations. A supply and demand system for each input, intermediate good, and final product. One would only need to estimate the relevant elasticities and a few simple parameters to construct an economic crystal ball.
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Seasonal ARMA(p,q) Processes

2018
Many financial and economic time series exhibit a regular cyclicality, periodicity, or “seasonality.” For example, agricultural output follows seasonal variation, flower sales are higher in February, retail sales are higher in December, and beer sales in college towns are lower during the summers.
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THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS

Econometric Theory, 2012
This paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(p, q) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of the global SLAD estimators.
Zhu, Ke, Ling, Shiqing
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On the approximation to the arma (P,Q) covariance determinant

Communications in Statistics - Theory and Methods, 1985
An asymptotic expression of the eovarlance determinant of a stationary autoregresslve-moving average model is considered. Numerical examples are given in some simple special cases.
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An Alternative Method for ARMA(p, q) Model Characterization of Multipath Fading Channels

2015 IEEE 81st Vehicular Technology Conference (VTC Spring), 2015
An alternative ARMA model parameterization method for approximating the Clarke's correlation statistics is proposed. Instead of using the standard autocorrelation function in the estimation process it considers the reflection coefficients sequence, an alternative second order statistic.
Diogo Mera, Goncalo Tavares, Manuel Ortigueira   +2 more
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Model Selection in ARMA(p,q) Processes

2018
In practice, the form of the underlying process that generated the data is unknown. Should we estimate an AR(p) model, an MA(q) model, or an ARMA(p,q) model? Moreover, what lag lengths of p and q should we choose? We simply do not have good a priori reason to suspect that the data generating process is of one type or another, or a combination of the ...
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The inverse of covariance matrices for the ARMA\((p,q)\) class of processes

2004
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CHINIPARDAZ, R., COX, T. F.
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