Results 81 to 90 of about 69,045 (191)

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, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source

USE OF THE CROSSCORRELATION FUNCTION IN THE IDENTIFICATION OF ARMA MODELS USO DE LA FUNCIÓN DE CORRELACIÓN CRUZADA EN LA IDENTIFICACIÓN DE MODELOS ARMA

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  

A Hybrid Forecasting Method for Solar Output Power Based on Variational Mode Decomposition, Deep Belief Networks and Auto-Regressive Moving Average

Applied Sciences, 2018
Due to the existing large-scale grid-connected photovoltaic (PV) power generation installations, accurate PV power forecasting is critical to the safe and economical operation of electric power systems.
Tuo Xie, Gang Zhang, Hongchi Liu, Fuchao Liu, Peidong Du   +4 more
doaj   +1 more source

Functional Vašiček Model

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, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

Technology drives changes in records management requirements

Acervo, 2015
Today’s businesses depend on technology for creating and managing records and information. Our records management frameworks must shift to embrace technology along with traditional record formats.
Diane K. Carlisle
doaj  

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

Prueba de hipótesis sobre la existencia de una raíz fraccional en una serie de tiempo no estacionaria

Lecturas de Economía, 2013
Prueba de hipótesis sobre la existencia de una raíz fraccional en una serie de tiempo no estacionaria   Resumen: En este trabajo se propone una modificación de la prueba de hipótesis propuesta por Castaño, Gómez y Gallón (2008) para determinar la ...
Diego Lemus, Elkin Castaño
doaj   +1 more source

Complex Unit Roots and Business Cycles: Are They Real? [PDF]

In this paper the asymptotic properties of ARMA processes with complex- conjugate unit roots in the AR lag polynomial are studied. These processes behave quite differently from processes with a single root equal to 1.
Herman J. Bierens
core  

A general spatial ARMA Model: theory and application [PDF]

, 2002
In this paper the theoretical framework of a higher order spatial auto-regressive moving-average (SARMA) model is presented. The SARMA model is the spatial analogue of the well-known class of ARMA models that is developed to model time-series processes ...
van der Kruk, René
core  

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, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source