Results 21 to 30 of about 45,179 (311)
Two-stage and modified two-stage estimation in threshold first-order autoregressive process [PDF]
Journal of Mahani Mathematical Research, 2023 In this paper, we discuss the two-stage and the modified two-stage procedures for the estimation of the threshold autoregressive parameter in a first-order threshold autoregressive model (${\rm TAR(1)}$).
soudabe Sajjadipanah +2 more
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COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES [PDF]
Econometric Theory, 2019 This article defines the class of ${\cal H}$-valued autoregressive (AR) processes with a unit root of finite type, where ${\cal H}$ is a possibly infinite-dimensional separable Hilbert space, and derives a generalization of the Granger–Johansen Representation Theorem valid for any integration order $d = 1,2, \ldots$. An existence theorem shows that the
Franchi, Massimo, Paruolo, Paolo
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Modeling a Multivariate Transaction Process [PDF]
, 2008 In this paper the dynamics of a joint transaction process are investigated. The transaction process is characterized by four marks: price changes, transaction volumes, bid–ask spreads and intertrade durations.
Ingmar Nolte, Nolte, Ingmar
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The homing problem for autoregressive processes
IMA Journal of Mathematical Control and Information, 2022 Abstract The problem of maximizing or minimizing the time spent by a stochastic process in an interval is considered for autoregressive processes. The control applied to the system is equal to 0, $b$ or $-b$. Particular cases are considered, and the appropriate integral equations are solved explicitly, either exactly or approximately.
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Tracking an Auto-Regressive Process with Limited Communication per Unit Time
Entropy, 2021 Samples from a high-dimensional first-order auto-regressive process generated by an independently and identically distributed random innovation sequence are observed by a sender which can communicate only finitely many bits per unit time to a receiver ...
Rooji Jinan +2 more
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Predicting Drying Curves in Algal Biorefineries using Gaussian Process Autoregressive Models
Digital Chemical Engineering, 2022 In algal biofuel production, drying of the microalgal biomass is considered the most energy-intensive process. To save on operating costs, optimal control of the drying process should be guided by accurate mathematical models of the biomass parameters ...
Karl Ezra S. Pilario +3 more
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Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances [PDF]
, 2014 This paper develops a unified framework for fixed and random effects estimation of higher-order spatial autoregressive panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error component.
Badinger, Harald, Egger, Peter
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Exponential-Gaussian Distribution and Associated Time Series Models
Revstat Statistical Journal, 2023 Exponential-Gaussian distribution has already appeared in the literature and it is widely used in many fields. In this paper, we study its application in time series through a model-based approach. An autoregressive process of order one with exponential-
Nitha K.U, Krishnarani S.D.
doaj
Granger causality in the frequency domain: derivation and applications [PDF]
Revista Brasileira de Ensino de FísicaPhysicists are starting to work in areas where noisy signal analysis is required. In these fields, such as Economics, Neuroscience, and Physics, the notion of causality should be interpreted as a statistical measure.
Vinicius Lima +6 more
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Negative Binomial Autoregressive Process
, 2018 We introduce Negative Binomial Autoregressive (NBAR) processes for (univariate and bivariate) count time series. The univariate NBAR process is defined jointly with an underlying intensity process, which is autoregressive gamma.
Lu, Yang, Gourieroux, Christian
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