Results 271 to 280 of about 45,179 (311)

Convolution Autoregressive Processes

SSRN Electronic Journal, 2018
We discuss the economic model and the econometric properties of the Convolution Autoregressive Process of order 1 (C-AR(1)), with focus on the simplest gaussian case. This is a first order autoregressive process in which the error terms are dependent on the lagged value of the process.
Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci   +2 more
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Nonstationary autoregressive processes (Corresp.)

IEEE Transactions on Information Theory, 1969
Let Ry_{t} = u_{t} be a stochastic difference equation. Various relations between the input and output covariances and spectral densities are deduced under the hypotheses that R is time dependent and that u_{t} is a member of a nonstationary random process.
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MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES

Econometric Theory, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Nonlinear autoregressive processes

Proceedings of the Royal Society of London. A. Mathematical and Physical Sciences, 1978
Abstract Models of the form X n+1 =λ (Xn) + Zn+1 are considered for time-series {Xn}, where {Zn} is an impulse sequence and λ is a nonlinear function. These processes extend the range of behaviour available with linear autoregressivemoving average models.
D. A. Jones, David Roxbee Cox
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NON‐NEGATIVE AUTOREGRESSIVE PROCESSES

Journal of Time Series Analysis, 1989
Abstract. Consider a stationary autoregressive process given by Xt=b1Xt‐1+…+bpXt‐p+Yt, where the Yt are independent identically distributed positive variables and b1,…,bp are non‐negative parameters. Let the variables X1,…,Xn be given. If p= 1 then it is known that b1*= min(Xt/Xt‐1) is a strongly consistent estimator for b1 under very general ...
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A class of autoregressive processes

Statistics & Probability Letters, 2008
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Krishnarani, S. D., Jayakumar, K.
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Asymptotic Normality of Autoregressive Processes

Acta Applicandae Mathematicae, 2009
Using an approximation method along with a central limit theorem for \(m\)-dependent random variables, this paper prove an asymptotic normality for autoregressive processes, and provide the central limit theorems of the least square estimate and the Yule-Walker estimate of the parameters of an autoregressive process.
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Autoregressive logistic processes

Journal of Applied Probability, 1989
A stochastic model is presented which yields a stationary Markov process whose invariant distribution is logistic. The model is autoregressive in character and is closely related to the autoregressive Pareto processes introduced earlier by Yeh et al. (1988). The model may be constructed to have absolutely continuous joint distributions.
Arnold, Barry C., Robertson, C. A.
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Autoregression quantiles and related rank score processes for generalized random coefficient autoregressive processes

Journal of Statistical Planning and Inference, 1998
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Harel, Michel, Puri, Madan L.
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Process capability analysis on autoregressive process

2013 10th International Conference on Service Systems and Service Management, 2013
Process capability analysis is conducted assuming that the process under study is in statistical control and independent observations are generated over time. However, in practice it is very common to come across process which, due to their inherent natures, generate autocorrelated observations.
Dja-Shin Wang, Hsiang-Feng Ting, Cheng-Min Chao, Tong-Yuan Koo   +3 more
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