Results 1 to 10 of about 224,246 (306)
Estimation of stationary and non-stationary moving average processes in the correlation domain. [PDF]
PLoS ONEThis paper introduces a novel approach for the offline estimation of stationary moving average processes, further extending it to efficient online estimation of non-stationary processes. The novelty lies in a unique technique to solve the autocorrelation
Martin Dodek, Eva Miklovičová
doaj +2 more sources
Factor analysis of moving average processes [PDF]
2015 European Control Conference (ECC), 2015 The paper considers an extension of factor analysis to moving average processes. The problem is formulated as a rank minimization of a suitable spectral density. It is shown that it can be adequately approximated via a trace norm convex relaxation.
ZORZI, MATTIA, Sepulchre, Rodolphe
core +4 more sources
Extremes of Moving Averages of Stable Processes
Annals of Probability, 1978 In this paper we study extremes of non-normal stable moving average processes, i.e., of stochastic processes of the form $X(t) = \Sigma a(\lambda - t)Z(\lambda)$ or $X(t) = \int a(\lambda - t) dZ(\lambda)$, where $Z(\lambda)$ is stable with index $\alpha < 2$.
Holger Rootzén
exaly +4 more sources
Extreme Value Theory for Moving Average Processes
Annals of Probability, 1986 This is an interesting qualitative and quantitative study of extreme values of moving averages of variables with smooth tails. Let \(\{X_ t=\sum c_{\lambda -t}Z_{\lambda}\}\) be an infinite moving average process, with \(\{c_{\lambda}\}\) given constants and with the noise sequence \(\{Z_{\lambda}\}\) consisting of i.i.d. random variables.
Holger Rootzén
exaly +4 more sources
Bayesian Estimation of Multivariate Pure Moving Average Processes
IEEE Access, 2022 The multivariate estimation problems arise if the observations are available for several related variables of interest. The multivariate time series may be found in many fields of application such as economics, meteorology and utilities.
Mohammed Albassam +2 more
doaj +1 more source
A Direct Bayesian Methodology to Identify the Order of Moving Average Processes using Different Prior Distributions [PDF]
The Egyptian Statistical Journal, 2022 The current study handles the direct Bayesian identification of moving average processes based on different priors. The priors considered in the article are g, natural-conjugate as well as Jeffreys' priors. Posterior probability mass functions for moving
Mohamed Al Bassam +2 more
doaj +1 more source
Inertia measurement of exponentially weighted moving average control chart based on autocorrelated attribute data [PDF]
مدیریت تولید و عملیات, 2022 Purpose: This paper aims to study the effect of inertia on the performance of the EWMA control chart for attribute characteristics and to investigate the effects of inertia properties on control charts with attribute characteristics.Design/methodology ...
Poune Ghasemian Asl, Rassoul Noorossana
doaj +1 more source
Bayesian Forecasting of Vector Moving Average Processes [PDF]
The Egyptian Statistical Journal, 2015 Forecasting is the final and one of the most important phases of a multivariate time series analysis. This article develops an approximate Bayesian methodology to forecast the future observations of vector moving average processes.
Sherif S.Ali
doaj +1 more source
Comparison Between the Exact Likelihood and Whittle Likelihood for Moving Average Processes
Statistica, 2022 For Gaussian stationary processes, the likelihood functions include the inverse and determinant of the covariance matrices, and Whittle likelihood is considered as a standard technique to avoid expensive matrix determinant and inversions under large ...
Xiaofei Xu +2 more
doaj +1 more source
A Bayesian Procedure to Identify the Orders of Vector Moving Average Processes with Seasonality [PDF]
The Egyptian Statistical Journal, 2020 This article develops an approximate Bayesian procedure to identify the orders of vector moving average processes with seasonality. The proposed is based on approximating the likelihood function by a matrix normal – Wishart on the parameter space ...
Samir M. Shaarawy +2 more
doaj +1 more source