Results 201 to 210 of about 71,229 (282)

Sample splitting and assessing goodness-of-fit of time series. [PDF]

Biometrika
Davis RA, Fernandes L.
europepmc   +1 more source

Time‐Varying Dispersion Integer‐Valued GARCH Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT We introduce a general class of INteger‐valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing simultaneously time‐varying mean and dispersion parameters. We call such models time‐varying dispersion INGARCH (tv‐DINGARCH) models.
Wagner Barreto‐Souza, Luiza S. C. Piancastelli, Konstantinos Fokianos, Hernando Ombao   +3 more
wiley   +1 more source

On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models. [PDF]

PLoS One
Manzli YS, Fakhfekh M, Béjaoui A, Alnafisah H, Jeribi A.   +4 more
europepmc   +1 more source

Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients

Journal of Time Series Analysis, EarlyView.
ABSTRACT The problem of selecting the smoothing parameter, or bandwidth, for kernel‐based estimators of time‐varying coefficients in linear models with possibly endogenous explanatory variables is considered. We examine automated bandwidth selection by means of cross‐validation, a nonparametric variant of Akaike's information criterion, and bootstrap ...
Charisios Grivas, Zacharias Psaradakis
wiley   +1 more source

Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models. [PDF]

PLoS One
Zou Y, Xu J, Chen Y.
europepmc   +1 more source

Tensor Changepoint Detection and Eigenbootstrap

Journal of Time Series Analysis, EarlyView.
ABSTRACT Tensor data consisting of multivariate outcomes over the items and across the subjects with longitudinal and cross‐sectional dependence are considered. A completely distribution‐free and tweaking‐parameter‐free detection procedure for changepoints at different locations is designed, which does not require training data.
Michal Pešta, Barbora Peštová, Martin Romaňák   +2 more
wiley   +1 more source

Temporal trends and forecasting of respiratory mortality in Bangladesh: A SARIMA model for seasonal mortality risk and public health action. [PDF]

J Public Health Res
Hasan P, Khan TD, Abedin M, Haque ME.
europepmc   +1 more source

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, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source

Analysis of Drug-Resistant Bacteria Seasonality in Japan Using Financial Time Series Analysis Method: A Nationwide Longitudinal Study. [PDF]

Can J Infect Dis Med Microbiol
Ito H, Oshida J, Fujita M, Kobayashi D.
europepmc   +1 more source

Nonparametric Detection of a Time‐Varying Mean

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
wiley   +1 more source