Results 1 to 10 of about 56,489 (266)
A Unified Test for the AR Error Structure of an Autoregressive Model
Axioms, 2022 A direct application of autoregressive (AR) models with independent and identically distributed (iid) errors is sometimes inadequate to fit the time series data well.
Xinyi Wei +4 more
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Vector auto-regressive model (VAR) results’ versus auto-regressive distributive lags model (ARDL) results’ [PDF]
Maǧallaẗ Al-Buḥūṯ Al-Mālīyyaẗ wa Al-Tiğāriyyaẗ, 2021 The paper aims to test the possibility of getting the same results when applying two different econometric models in testing the relation between the development of financial sector and the economic growth in Egypt.
rania moawad
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Two-Threshold-Variable Integer-Valued Autoregressive Model
Mathematics, 2023 In the past, most threshold models considered a single threshold variable. However, for some practical applications, models with two threshold variables may be needed. In this paper, we propose a two-threshold-variable integer-valued autoregressive model
Jiayue Zhang, Fukang Zhu, Huaping Chen
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Variable Selection for the Spatial Autoregressive Model with Autoregressive Disturbances
Mathematics, 2021 Along with the rapid development of the geographic information system, high-dimensional spatial heterogeneous data has emerged bringing theoretical and computational challenges to statistical modeling and analysis.
Xuan Liu, Jianbao Chen
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Saturation in autoregressive models [PDF]
Notas Económicas, 2006 In this paper, we extend the impulse saturation algorithm to a class of dynamic models. We show that the procedure is still correctly sized for stationary AR(1) processes, independently of the number of splits used for sample partitions. We derive theoretical power when there is an additive outlier in the data, and present simulation evidence showing ...
Carlos Santos, David Hendry
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Autoregressive Diffusion Models
CoRR, 2021 We introduce Autoregressive Diffusion Models (ARDMs), a model class encompassing and generalizing order-agnostic autoregressive models (Uria et al., 2014) and absorbing discrete diffusion (Austin et al., 2021), which we show are special cases of ARDMs under mild assumptions. ARDMs are simple to implement and easy to train. Unlike standard ARMs, they do
Emiel Hoogeboom +5 more
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Вестник Самарского университета: Естественнонаучная серия, 2023 For modeling in time series, models with fractional differences are widely used. The best known model is the ARFIMA (autoregressive fractionally integrated moving average) model.
Dmitriy V. Ivanov
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Autoregressive optimal transport models
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2023 Abstract Series of univariate distributions indexed by equally spaced time points are ubiquitous in applications and their analysis constitutes one of the challenges of the emerging field of distributional data analysis. To quantify such distributional time series, we propose a class of intrinsic autoregressive models that operate in the
Changbo Zhu, Hans-Georg Müller
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Seasonal functional autoregressive models [PDF]
Journal of Time Series Analysis, 2021 Functional autoregressive models are popular for functional time series analysis, but the standard formulation fails to address seasonal behaviour in functional time series data. To overcome this shortcoming, we introduce seasonal functional autoregressive time series models.
Atefeh Zamani +3 more
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Random autoregressive models: A structured overview [PDF]
Econometric Reviews, 2021 41 pages, 1 figure, 1 ...
de Andrade Serra, P.J. +2 more
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