Results 141 to 150 of about 89,782 (266)
Journal of Time Series Analysis, EarlyView.This article reviews and compares popular methods, some old and some recent, that produce time series having Poisson marginal distributions. The article begins by narrating ways where time series with Poisson marginal distributions can be produced.
Jiajie Kong, Robert Lund
wiley +1 more source
Markov Determinantal Point Process for Dynamic Random Sets
Journal of Time Series Analysis, EarlyView.ABSTRACT The Law of Determinantal Point Process (LDPP) is a flexible parametric family of distributions over random sets defined on a finite state space, or equivalently over multivariate binary variables. The aim of this paper is to introduce Markov processes of random sets within the LDPP framework. We show that, when the pairwise distribution of two
Christian Gouriéroux, Yang Lu
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Power-divergence copulas: A new class of Archimedean copulas, with an insurance application [PDF]
Alan R. Pearse, Howard D. Bondell
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Copula-based transferable models for synthetic population generation [PDF]
, 2023 Pascal Jutras-Dubé +5 more
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Multiple Changepoint Detection for Non‐Gaussian Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT This article combines methods from existing techniques to identify multiple changepoints in non‐Gaussian autocorrelated time series. A transformation is used to convert a Gaussian series into a non‐Gaussian series, enabling penalized likelihood methods to handle non‐Gaussian scenarios.
Robert Lund +3 more
wiley +1 more source
Maintaining tail dependence in data shuffling using
, 2010 Mario Trottini +2 more
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A Conditional Tail Expectation Type Risk Measure for Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur +2 more
wiley +1 more source
Revista Colombiana de Estadística, 2011 En riesgos competitivos, el problema de identificabilidad asociado a la dependencia entre los modos de falla, se puede resolver utilizando el estimador cópula-gráfico que asume la forma de la cópula conocida.
SERGIO YÁÑEZ +3 more
doaj
Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
A Non-Stationary and Probabilistic Approach for Drought Characterization Using Trivariate and Pairwise Copula Construction (PCC) Model [PDF]
, 2021 Soumyashree Dixit, K. V. Jayakumar
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