Results 11 to 20 of about 69,045 (191)
Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches
Stats, 2022 Autoregressive-moving average (ARMA) models with time-dependent (td) coefficients and marginally heteroscedastic innovations provide a natural alternative to stationary ARMA models. Several theories have been developed in the last 25 years for parametric
Rajae Azrak, Guy Mélard
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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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Stats, 2023 In this paper, we compare the effects of forecasting demand using individual (disaggregated) components versus first aggregating the components either fully or into several clusters.
Vladimir Kovtun +3 more
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Entropy, 2022 Ordinal pattern-based approaches have great potential to capture intrinsic structures of dynamical systems, and therefore, they continue to be developed in various research fields. Among these, the permutation entropy (PE), defined as the Shannon entropy
Meryem Jabloun +2 more
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Measuring the Distance between Sets of ARMA Models
Econometrics, 2016 A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis.
Umberto Triacca
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A Comparative Study on a Triple-Concept Model of Two Techniques for Monitoring the Mean of Stationary Processes [PDF]
International Journal of Industrial Engineering and Production Research, 2021 In recent years, it has been proven that integrating statistical process control, maintenance policy, and production can bring more benefits for the entire production systems.
Samrad Jafarian-Namin +4 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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On nonnegative solutions of SDDEs with an application to CARMA processes
Modern Stochastics: Theory and Applications, 2021 This note provides a simple sufficient condition ensuring that solutions of stochastic delay differential equations (SDDEs) driven by subordinators are nonnegative.
Mikkel Slot Nielsen, Victor Rohde
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The Scientific World Journal, 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes.
Melike Bildirici, Özgür Ersin
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Rate Distortion Function of Gaussian Asymptotically WSS Vector Processes
Entropy, 2018 In this paper, we obtain an integral formula for the rate distortion function (RDF) of any Gaussian asymptotically wide sense stationary (AWSS) vector process.
Jesús Gutiérrez-Gutiérrez +3 more
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