Results 81 to 90 of about 103,352 (315)
Sensors, 2020 This paper proposes a novel output-only structural damage indicator by incorporating the pole-based optimal subpattern assignment distance with autoregressive models to localize and relatively assess the severity of damages for sheared structures ...
Liu Mei +5 more
doaj +1 more source
Prediction focussed model selection for autoregressive models. [PDF]
In order to make predictions of future values of a time series, one needs to specify a forecasting model. A popular choice is an autoregressive time series model, where the order of the model is chosen by an information criterion. We propose an extension
Croux, Christophe +2 more
core
Price Transmission During Promotions: A Case Study of Spanish Milk Brands
Agribusiness, EarlyView.ABSTRACT Price promotion is the marketing tool typically used by retail brands to boost sales and gain market share. In this paper, we intend to investigate the price transmission mechanism among competitive brands in Spain when price reductions that are associated with price promotions take place.
Yasmine Bedoui +2 more
wiley +1 more source
Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions [PDF]
In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool.
Strikholm, Birgit, Teräsvirta, Timo
core
Joint segmentation of piecewise constant autoregressive processes by using a hierarchical model and a Bayesian sampling approach [PDF]
, 2006 We propose a joint segmentation algorithm for piecewise constant autoregressive (AR) processes recorded by several independent sensors. The algorithm is based on a hierarchical Bayesian model.
Davy, Manuel +2 more
core +1 more source
Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?
Agribusiness, EarlyView.ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
wiley +1 more source
, 2023 In this paper we consider estimating the innovation variance function when the conditional mean model is characterized by a structural break autoregressive model, which exhibits multiple unit root, explosive and stationary collapse segments, allowing for
David I. Harvey +5 more
core +1 more source
Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
Contemporaneous threshold autoregressive models: estimation, testing and forecasting [PDF]
This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Teräsvirta (1998), in which the regime weights depend on the ex ante ...
Michael J. Dueker +2 more
core
Does a Specialized Niche Market Vegetable Processor Enjoy Bargaining Power?
Agribusiness, EarlyView.ABSTRACT Agribusiness companies may achieve competitive advantage through specialization within niche markets. One such niche is the fresh‐cut fruit and vegetable market, which has been steadily growing in Germany. This study examines whether the specialization of a German fresh‐cut producer grants it with market power within this niche market.
Nikolas Bublik +3 more
wiley +1 more source