Results 111 to 120 of about 7,605 (274)
On Adaptive Estimation in Stationary ARMA Processes
The Annals of Statistics, 1987 The paper deals with adaptive construction of locally asymptotically minimax (LAM) estimators for stationary ARMA processes with independent and identically, but not necessarily normally distributed innovations. First the local asymptotic normality (LAN) for this model is proved using the sufficient conditions for LAN given by \textit{G. G. Roussas} [Z.
openaire +3 more sources
Marchenko–Pastur Laws for Daniell Smoothed Periodograms
Journal of Time Series Analysis, EarlyView.ABSTRACT Given a sample X0,…,Xn−1$$ {X}_0,\dots, {X}_{n-1} $$ from a d$$ d $$‐dimensional stationary time series (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$, the most commonly used estimator for the spectral density matrix F(θ)$$ F\left(\theta \right) $$ at a given frequency θ∈[0,2π)$$ \theta \in \left[0,2\pi \right) $$ is the Daniell smoothed ...
Ben Deitmar
wiley +1 more source
Weak convergence of the sequential empirical processes of residuals in ARMA models
This paper studies the weak convergence of the sequential empirical process $\hat{K}_n$ of the estimated residuals in ARMA(p,q) models when the errors are independent and identically distributed.
Bai, Jushan
core
ARMA procesi u medicinskoj optimizaciji [PDF]
, 2016 U ovom radu objasnili smo pojam vremenskog niza i dali teorijsku podlogu i alate za njegovu analizu i obradu. Obradili smo pojmove stacionarnog procesa i ARMA(p; q) procesa, te pojmove autokovarijacijske funkcije, autokorelacijske funkcije (acf) i ...
Vlahović, Mateja
core
On Testing for Independence Between Generalized Error Models of Several Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi +2 more
wiley +1 more source
Singular ARMA systems: A structure theory
, 2019 Singular vector ARMA systems are vector ARMA (VARMA) systems with singular innovation variance or equivalently with singular spectral density of the corresponding VARMA process. Such systems occur in linear dynamic factor models, e.g. if the dimension of
Deistler, Manfred
core +1 more source
Penalized Convex Estimation in Dynamic Location Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley +1 more source
, 2018 We study the asymptotic behaviour of the expected exit time from an interval for the ARMA process, when the noise level approaches 0.
Koski, Timo, +2 more
core +1 more source
Ecological and genomic variation in ectomycorrhizal fungal exploration types
New Phytologist, EarlyView.Summary Ectomycorrhizal fungi (EMF) produce mycelia with variable extension and complexity, which can be classified according to soil ‘exploration types’ (ETs). ETs have received attention as one of the few mycorrhizal trait frameworks, but without an empirical classification of ET functional diversity and environmental preferences, understanding and ...
Thomas M. Mansfield +55 more
wiley +1 more source
Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations [PDF]
This paper deals with the estimation of linear dynamic models of the ARMA type for the conditional mean for time series with conditionally heteroskedastic innovation process widely used in modelling financial time series.
Dietmar Bauer
core