Results 71 to 80 of about 4,545 (215)
Moderní teorie dlouhodobé spotřeby v kontextu Mankiwovy záhady [PDF]
Trendy v podnikání, 2018 In this paper we are interested in the effects of the durable consumption. Main idea is about the so called Mankiw puzzle verification on the data sample of the current time series from Germany and the Czech Republic (quarterly data 2004Q1-2016Q4).
Petr Makovský
doaj
A Conditional Tail Expectation Type Risk Measure for Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur +2 more
wiley +1 more source
Revista Colombiana de Estadística, 2008 The sample cross-correlation function (SCCF) has been used to study the strength and direction of the linear relation between two jointly stationary stochastic processes.
Castaño Elkin, Martínez Jorge
doaj
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source
Density‐Valued ARMA Models by Spline Mixtures
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley +1 more source
Nonlinear Mobile Link Adaptation Using Modified FLNN and Channel Sounder Arrangement
IEEE Access, 2017 In a typical mobile environment, the varying speeds of transmit-receive pairs make traditional channel estimation methods inefficient due to continuously altering requirement of high density reference symbols.
Manasjyoti Bhuyan +2 more
doaj +1 more source
On double-switching ARMA processes
Boletim da Sociedade Paranaense de MatemáticaIn this paper, we introduce a double-switching ARMA model, in which the observed process is an ARMA model subject to Markov switching and a periodic sequence of period s₂. We give conditions for the existence of periodic stationary solutions of the double-switching ARMA and higher-order moments of such solutions in the general vector specification.
Amel Zerari +2 more
openaire +1 more source
Mixing properties of ARMA processes
Stochastic Processes and their Applications, 1988 Let \(\{\) Y(t)\(\}\) be a stationary process in R l. Denote by \({\mathcal A}_ 0\) and \({\mathcal A}_ k\) the \(\sigma\)-algebra generated by \(\{\) Y(t),t\(\leq 0\}\) and \(\{\) Y(t),t\(\geq k\}\), respectively. Define \[ \beta (k)=E\sup_{B\in {\mathcal A}\quad k}| P(B| {\mathcal A}_ 0)- P(B)|. \] If there exists \(\rho\in (0,1)\) such that \(\beta (
openaire +2 more sources
Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
Revista Facultad de Ingeniería Universidad de Antioquia, 2014 This paper describes the identification by the compound digital filter with two estimators involved in the Kalman filter, the first corresponds to stochastic gradient describing the transition function and the second obtains the innovation process gain ...
José de Jesús Medel Juárez +2 more
doaj +1 more source