Results 91 to 100 of about 69,045 (191)
The Discrete–Continuous Correspondence for Frequency-Limited Arma Models and the Hazards of Oversampling [PDF]
Discrete-time ARMA processes can be placed in a one-to-one correspondence with a set of continuous-time processes that are bounded in frequency by the Nyquist value of ? radians per sample period.
David Stephen Pollock
core
The predictive space or if x predicts y, what does y tell us about x? [PDF]
, 2012 A predictive regression for yt and a time series representation of the predictors, xt, together imply a univariate reduced form for yt. In this paper we work backwards, and ask: if we observe yt, what do its univariate properties tell us about any xt in ...
Robertson, D., Wright, Stephen
core +1 more source
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper proposes a moving sum methodology for detecting multiple change points in high‐dimensional time series under a factor model, where changes are attributed to those in loadings as well as emergence or disappearance of factors. We establish the asymptotic null distribution of the proposed test for family‐wise error control and show the
Matteo Barigozzi +2 more
wiley +1 more source
Computing and estimating information matrices of weak arma models [PDF]
Numerous time series admit "weak" autoregressive-moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent nor martingale differences.
Boubacar Mainassara, Yacouba +2 more
core +1 more source
Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley +1 more source
The Covariance Structure of Mixed ARMA Models [PDF]
The purpose of this paper is to examine the covariance structure of mixed ARMA models, as discussed in Granger and Morris (1976). The method we use to obtain the autocovariances is based on the Wold representation of an ARMA model as it is given in ...
Menelaos Karanasos
core
Journal of Time Series Analysis, EarlyView.ABSTRACT The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium‐to‐long‐run component of economic growth of a ...
Alessandro Giovannelli +2 more
wiley +1 more source
KALMAN FILTERS AND ARMA MODELS
Ratio Mathematica, 2003 The Kalman filter is the celebrated algorithm giving a recursive solution of the prediction problem for time series. After a quite general formulation of the prediction problem, the contributions of its solution by the great mathematicians Kolmogorov and
Aniello Fedullo
doaj
Weak convergence of the sequential empirical processes of residuals in ARMA models [PDF]
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 +1 more source
Model selection criteria and quadratic discrimination in ARMA and SETAR time series models [PDF]
, 2004 We show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria.
Galeano, Pedro, Peña, Daniel
core +1 more source