Results 11 to 20 of about 7,605 (274)
Factor ARMA representation of a Markov process [PDF]
Economics Letters, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Darolles, Serge +2 more
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α-spectrum estimation method for ARMA SαS process based on FLOC
Tongxin xuebao, 2007 The drawback of the parameter estimation method for ARMA SαS process based on fractional lower order moments（FLOM） was analyzed,and based on the conception of fractional lower order covariance（FLOC）,a new parameter estimation method of ARMA SαS process ...
WANG Shou-yong1, ZHU Xiao-bo2
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Effect of the COVID-19 pandemic on the number of deaths in Peru: 2017.03-2020.07
Semestre Economico, 2021 The objective of the research is to estimate the excess deaths during the COVID-19 epidemic in Peru. The methodology used for the ARMA models with structural with a structural change in mean. In the first place, the results show that the behavior of the
Rene-Paz Paredes
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A Continuous Time GARCH Process of Higher Order [PDF]
, 2005 A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process. It extends many of the features of discrete time GARCH(p,q) processes to a continuous time setting.
Lindner, Alexander M. +2 more
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On a Misspecified ARMA Model Fitting to a Data from Gaussian ARMA Process [PDF]
, 2014 This paper provides computer simulations concerning a misspecified ARMA(p, q) model fitting to (a data generated from) an ARMA(p, q+1) process, and also a misspecified ARMA(p+h, q) model fitting to an ARMA(p, q+k) process.
Tanaka, Minoru
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IEEE Access, 2018 Rolling element bearing is a critical component in many mechanical systems in view of its critical functionality. One of the major issues industries face today is the failure of bearings, which results in catastrophic consequences.
Yanfei Lu +3 more
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Hydrology, 2020 Wavelet transform, wavelet spectra, and coherence are popular tools for studying fluctuations in time series in the form of a bidimensional time and scale representation.
Juan Carlos Rodríguez-Murillo +1 more
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A fractionally integrated ECOGARCH process [PDF]
, 2006 In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) process. It is defined in such a way that it is a continuous time extension of the discrete time FIEGARCH(p,d,q) process.
Haug, Stephan +3 more
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Linear and nonlinear dynamic systems in financial time series prediction [PDF]
Management Science Letters, 2012 Autoregressive moving average (ARMA) process and dynamic neural networks namely the nonlinear autoregressive moving average with exogenous inputs (NARX) are compared by evaluating their ability to predict financial time series; for instance the S&P500 ...
Salim Lahmiri
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On model fitting and estimation of strictly stationary processes
Modern Stochastics: Theory and Applications, 2017 Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sales and market movements.
Marko Voutilainen +2 more
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