Results 31 to 40 of about 4,998 (266)
Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes [PDF]
Nonlinear Processes in Geophysics, 2005 Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average ...
W. Wang +4 more
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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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Agribusiness, EarlyView.Abstract The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend ...
Yiyang Qiao, Byeong‐il Ahn
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The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics
Agribusiness, EarlyView.ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
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Journal of Economic and Financial Sciences, 2019 Orientation: Modelling of international tourist arrivals’ volatility is vital for marketing, planning, policy formulation and investment purposes among others.
Delson Chikobvu, Tendai Makoni
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The Estimation of the Order of an ARMA Process
The Annals of Statistics, 1980 Under general conditions strong consistency of certain estimates of the maximum lags of an autoregressive moving average process is established. A theorem on weak consistency is also proved and in certain cases where consistency does not hold the probability of over-estimation of a maximum lag is evaluated.
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Kullback-Leibler and Rényi divergence rate for Gaussian stationary ARMA processes comparison [PDF]
, 2021 In signal processing, ARMA processes are widely used to model short-memory processes. In various applications, comparing or classifying ARMA processes is required. In this paper, our purpose is to provide analytical expressions of the divergence rates of
Diversi, Roberto +2 more
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The distribution of the maximum of an ARMA(1, 1) process [PDF]
Comptes Rendus. Mathématique, 2020 We give the cumulative distribution function of M n = max X
Withers, Christopher S. +1 more
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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
MCMC for Integer‐Valued ARMA processes [PDF]
Journal of Time Series Analysis, 2006 Abstract. The classical statistical inference for integer‐valued time‐series has primarily been restricted to the integer‐valued autoregressive (INAR) process. Markov chain Monte Carlo (MCMC) methods have been shown to be a useful tool in many branches of statistics and is particularly well suited to integer‐valued time‐series where statistical ...
Neal, Peter John, Subba Rao, Tata
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