Results 31 to 40 of about 69,045 (191)
Closed-form expression for finite predictor coefficients of multivariate ARMA processes
, 2019 We derive a closed-form expression for the finite predictor coefficients of multivariate ARMA (autoregressive moving-average) processes. The expression is given in terms of several explicit matrices that are of fixed sizes independent of the number of ...
Inoue, Akihiko
core +1 more source
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.
Brockwell, Peter J. +2 more
core +2 more sources
Flexible Memory: Progress, Challenges, and Opportunities
Advanced Intelligent Discovery, EarlyView.Flexible memory technology is crucial for flexible electronics integration. This review covers its historical evolution, evaluates rigid systems, proposes a flexible memory framework based on multiple mechanisms, stresses material design's role, presents a coupling model for performance optimization, and points out future directions.
Ruizhi Yuan +5 more
wiley +1 more source
, 2012 The class of multivariate L\'{e}vy-driven autoregressive moving average (MCARMA) processes, the continuous-time analogs of the classical vector ARMA processes, is shown to be equivalent to the class of continuous-time state space models.
Schlemm, Eckhard, Stelzer, Robert
core +1 more source
The Anatomical Record, EarlyView.Abstract The Pleistocene is a key period for understanding the evolutionary history and palaeobiogeography of the European rabbit (Oryctolagus cuniculus). The species was first documented in southeastern Iberia at the beginning of the Middle Pleistocene and appears to have rapidly spread throughout Southwestern Europe, where it was found in numerous ...
Maxime Pelletier
wiley +1 more source
Simultaneous Indirect Inference, Impulse Responses and ARMA Models
Econometrics, 2020 A two-stage simulation-based framework is proposed to derive Identification Robust confidence sets by applying Indirect Inference, in the context of Autoregressive Moving Average (ARMA) processes for finite samples.
Lynda Khalaf, Beatriz Peraza López
doaj +1 more source
Canadian Journal of Statistics, EarlyView.Abstract We establish the consistency and the asymptotic distribution of the least squares estimators of the coefficients of a subset vector autoregressive process with exogenous variables (VARX). Using a martingale central limit theorem, we derive the asymptotic normal distribution of the estimators. Diagnostic checking is discussed using kernel‐based
Pierre Duchesne +2 more
wiley +1 more source
Energy Science &Engineering, EarlyView.ABSTRACT To promote the development of renewable energy, China re‐implemented the Chinese Certified Emission Reduction (CCER) policy in 2023. This study explores certificated CO2 and air pollutants (i.e., NOx, SO2 and particulate matter (PM)) emissions reductions from China's solar thermal power (STP) industry at national scale and conducts the ...
Yun Li +3 more
wiley +1 more source
Forecasting House Prices: The Role of Market Interconnectedness
Journal of Forecasting, EarlyView.ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen +3 more
wiley +1 more source
Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source