Results 1 to 10 of about 45,179 (311)
Multivariate elliptically contoured autoregressive process
Statistica, 2014 In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured ...
Taras Bodnar, Arjun K. Gupta
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Autoregressive Conditional Neural Processes
CoRR, 2023 Conditional neural processes (CNPs; Garnelo et al., 2018a) are attractive meta-learning models which produce well-calibrated predictions and are trainable via a simple maximum likelihood procedure. Although CNPs have many advantages, they are unable to model dependencies in their predictions.
Bruinsma, Wessel P. +8 more
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Model-Based Wald Test for Adaptive Range-Spread Target Detection
IEEE Access, 2020 For the problem of range-spread target detection, many adaptive detectors commonly estimate the covariance matrix of the disturbance by utilizing the training data without target information.
Jiabao Liu +3 more
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Disentangling the impact of mean reversion in estimating policy response with dynamic panels
Dependence Modeling, 2022 This article accounts for multivariate dependence of the variable of policy interest in dynamic panel data models by disentangling the two sources of intertemporal dependence: one from the effect of the policy variable and the other from mean reversion ...
Besstremyannaya Galina, Golovan Sergei
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VULGARIZED NEIGHBOURING NETWORK OF MULTIVARIATE AUTOREGRESSIVE PROCESSES WITH GAUSSIAN AND STUDENT-T DISTRIBUTED RANDOM NOISES [PDF]
Malaysian Journal of Computing, 2023 This paper introduces the vulgarized network autoregressive process with Gaussian and Student-t random noises. The processes relate the time-varying series of a given variable to the immediate past of the same phenomenon with the inclusion of its ...
Rasaki Olawale Olanrewaju +3 more
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Testing the epidemic change in nearly nonstationary autoregressive processes
Nonlinear Analysis, 2014 Some tests for an epidemic type change in a first order nearly nonstationary autoregressive process are investigated. Limit distributions of the tests are found under no change. Consistency is examined under short epidemics in the mean of innovations.
Jurgita Markevičiūtė +2 more
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Gender implicit bias and glass ceiling effects
Journal of Applied Economics, 2022 Implicit gender bias may affect hiring and promotion decisions, implying inefficiencies in the outcome of selection processes. We focus on the dynamics of gender bias when selecting candidates for a committee or position, and obtain the long-run female ...
María Paz Espinosa, Eva Ferreira
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Testing for the buffered autoregressive processes [PDF]
Statistica Sinica, 2014 This paper investigates a quasi-likelihood ratio (LR) test for the thresh- olds in buffered autoregressive processes. Under the null hypothesis of no threshold, the LR test statistic converges to a function of a centered Gaussian process. Un- der local alternatives, this LR test has nontrivial asymptotic power.
Zhu, K, Li, WK, Yu, PLH
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T-Statistic for Autoregressive Process [PDF]
SSRN Electronic Journal, 2018 In this paper, we discuss the distribution of the t-statistic under the assumption of normal autoregressive distribution for the underlying discrete time process. This result generalizes the classical result of the traditional t-distribution where the underlying discrete time process follows an uncorrelated normal distribution.
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A Note on Estimation for the First Order Autoregressive Process [PDF]
The Egyptian Statistical Journal, 1987 The asymptotic estimation of the parameters of the first order stationary autoregressive process with zero mean is investigated. The exact and the asymptotic Bayes esti- mates of the weight and the error variance parameters are derived for different ...
A.M. Abouammoh, A.A. Abd-Alla
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