Results 271 to 280 of about 103,352 (315)

On inference for threshold autoregressive models

Test, 2002
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Stramer, Osnat, Lin, Yu-Jau
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THE IDENTIFICATION OF SEASONAL AUTOREGRESSIVE MODELS

Journal of Time Series Analysis, 1995
Abstract.In this paper we present a new approach for identifying seasonal autoregressive models and the degree of differencing required to induce stationarity in the data. The identification method is iterative and consists in systematically fitting increasing order models to the data and then verifying that the resulting residuals behave like white ...
Koreisha, Sergio G., Pukkila, Tarmo
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Modelling of cointegration in the vector autoregressive model

Economic Modelling, 2000
Abstract A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I (1) variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable ...
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Exact Geometry of Autoregressive Models [PDF]

Journal of Time Series Analysis, 1999
Exact expressions for the statistical curvature and related geometric quantities in first‐order autoregressive models are derived. We present a method for calculating moments that is applicable in general autoregressive models. It combines the algebra of differential and difference operators to simplify the problem, and to obtain results valid for all ...
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Functional Threshold Autoregressive Model

Statistica Sinica
Summary: We propose a functional threshold autoregressive model for flexible functional time series modeling. In particular, the behavior of a function at a given time point can be described by different autoregressive mechanisms, depending on the values of a threshold variable at a past time point. Sufficient conditions for the strict stationarity and
Li, Yuanbo, Chen, Kun, Zheng, Xunze, Yau, Chun Yip   +3 more
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Autoregressive video conference models

International Journal of Network Management, 2004
AbstractVideo conferencing is an important application that has been extensively used in IP, ATM networks, and TV broadcasting as a means of interactive communications. Teleconferencing video traffic consists of video scenes in which one or more people are talking with low to medium motion and almost unchanged background.
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Order selection of autoregressive models

IEEE Transactions on Signal Processing, 1992
The problem of determining the order of autoregressive models by Bayesian predictive densities is addressed. A criterion employing noninformative prior densities of the model parameters is derived. Simulation results which demonstrate the good performance of the criterion are presented. Comparisons with four popular approaches verify its superiority in
Petar M. Djuric, Steven M. Kay
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A test of nonlinear autoregressive models

ICASSP-88., International Conference on Acoustics, Speech, and Signal Processing, 2003
A study on testing the appropriateness of a particular structure selection and design for block-oriented nonlinear models is presented. Block-oriented nonlinear models characterize some features of Volterra kernels and extract only particular higher-order statistical information.
Shiyi Mao, Pinxing Lin
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On a matrix‐valued autoregressive model

Journal of Time Series Analysis
Many data sets in biology, medicine, and other biostatistical areas deal with matrix‐valued time series. The case of a single univariate time series is very well developed in the literature; and single multi‐variate series (i.e., vector time series) though less well studied have also been developed.
S. Yaser Samadi, Lynne Billard
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Agent Learning and Autoregressive Modeling

2020 Information Theory and Applications Workshop (ITA), 2020
Relative entropy is used to investigate whether a sequence is memoryless or has memory and to discern the presence of any structure in the sequence. Particular emphasis is placed on obtaining expressions for finite sequence length N and autoregressive sequences with known and unknown autocorrelations.
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