Results 151 to 160 of about 4,545 (215)

ARMA Processes

2022
AbstractChapter 5 enters into stochastic time series analysis with the description of moving average, autoregressive and autoregressive moving average processes. Seasonal time series analysis is introduced with examples applied to measures temperature and the hydrological cycle.
Marco Bittelli   +2 more
openaire   +1 more source

Multichannel ARMA processes

IEEE Transactions on Signal Processing, 1994
Parametric modeling of multichannel time series is accomplished by using higher (than second) order statistics (HOS) of the observed nonGaussian data. Cumulants of vector processes are defined using a Kronecker product formulation, and consistency of their sample estimators is addressed.
A. Swami, G. Giannakis, S. Shamsunder
openaire   +1 more source

INFINITE VARIANCE STABLE ARMA PROCESSES

Journal of Time Series Analysis, 1994
Abstract. The asymptotic dependence structure of autoregressive moving‐average processes with stable innovations is analyzed. The analysis is carried out by means of a measure of dependence which extends the covariance function and is applicable to stochastic processes with infinite variance.
Kokoszka, Piotr S., Taqqu, Murad S.
openaire   +1 more source

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