Results 11 to 20 of about 45,179 (311)
Transfer Entropy for Coupled Autoregressive Processes [PDF]
Entropy, 2013 A method is shown for computing transfer entropy over multiple time lags for coupled autoregressive processes using formulas for the differential entropy of multivariate Gaussian processes.
Shawn D. Pethel, Daniel W. Hahs
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Measuring Statistical Asymmetries of Stochastic Processes: Study of the Autoregressive Process [PDF]
Entropy, 2018 We use the definition of statistical symmetry as the invariance of a probability distribution under a given transformation and apply the concept to the underlying probability distribution of stochastic processes.
Arthur Matsuo Yamashita Rios de Sousa +2 more
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THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES [PDF]
Econometric Theory, 2007 Summary: We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2) conditions [\textit{S.
Massimo Franchi
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A Time-Varying Mixture Integer-Valued Threshold Autoregressive Process Driven by Explanatory Variables [PDF]
EntropyIn this paper, a time-varying first-order mixture integer-valued threshold autoregressive process driven by explanatory variables is introduced. The basic probabilistic and statistical properties of this model are studied in depth.
Danshu Sheng +4 more
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Order 1 autoregressive process of finite length
Journal of Numerical Analysis and Approximation Theory, 2007 The stochastic processes of finite length defined by recurrence relations request additional relations specifying the first terms of the process analogously to the initial conditions for the differential equations.
Călin Vamoş +2 more
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A Stochastic Estimation Framework for Yearly Evolution of Worldwide Electricity Consumption
Forecasting, 2021 The determination of electric energy consumption is remarked as one of the most vital objectives for electrical engineers as it is highly essential in determining the actual energy demand made on the existing electricity supply.
Qasem Abu Al-Haija
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On a Class of Time Series Model with Double Lindley Distribution as Marginals
Statistica, 2022 An autoregressive process of order one with double Lindley distribution as marginal is introduced. A mixture distribution is obtained for the innovation process. Analytical properties of the process are discussed.
Kunnathully Unnikrishnan Nitha +1 more
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Frontiers in Physiology, 2021 Cardiac autonomic control is commonly assessed via the analysis of fluctuations of the temporal distance between two consecutive R-waves (RR).
Jorge L. Storniolo +4 more
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The empirical process of autoregressive residuals [PDF]
Econometrics Journal, 2009 Summary: Asymptotic theory is developed for the residual empirical process of autoregressive distributed lag models with an intercept and possibly other deterministic terms. The asymptotic distribution is shown not to depend on the location of the characteristic roots.
Eric Engler, Bent Nielsen
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Statistical Theory and Related Fields, 2023 This paper deals with the Monte Carlo Simulation in a Bayesian framework. It shows the importance of the use of Monte Carlo experiments through refined descriptive sampling within the autoregressive model $ X_{t}=\rho X_{t-1}+Y_{t} $ , where $ 0 \lt \rho
Djoweyda Ghouil, Megdouda Ourbih-Tari
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