Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages. [PDF]
J Am Stat Assoc, 2023 The Vector AutoRegressive Moving Average (VARMA) model is fundamental to the theory of multivariate time series; however, in practice, identifiability issues have led many authors to abandon VARMA modeling in favor of the simpler Vector AutoRegressive ...
Wilms I, Basu S, Bien J, Matteson DS.
europepmc +2 more sources
, 2012 We show that the moving arithmetic average is closely connected to a Gauss-Seidel type fixed point method studied by Bauschke, Wang and Wylie, and which was observed to converge only numerically. Our analysis establishes a rigorous proof of convergence of their algorithm in a special case; moreover, limit is explicitly identified.
Bauschke, Heinz H. +2 more
openaire +4 more sources
Long Run Returns Predictability and Volatility with Moving Averages
Risks, 2018 This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured.
Chia-Lin Chang +3 more
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Peramalan Kurs IDR Terhadap USD Menggunakan Double Moving Averages Dan Double Exponential Smoothing
Jurnal Derivat, 2015 Kurs IDR terhadap USD yang fluktuatif sangat mempengaruhi ekonomi Indonesia saat ini, dibutuhkan suatu metode untuk meramalkan Kurs IDR terhadap USD agar bisa diprediksi.
Padrul Jana +2 more
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The first 2 years of COVID-19 in Italy: Incidence, lethality, and health policies
Frontiers in Public Health, 2022 BackgroundThe novel coronavirus disease 2019 (COVID-19) is an ongoing pandemic that was first recognized in China in December 2019. This paper aims to provide a detailed overview of the first 2 years of the pandemic in Italy.Design and methodsUsing the ...
Pierpaolo Ferrante
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Voronoi means, moving averages, and power series [PDF]
, 2016 We introduce a {\it non-regular} generalisation of the N\"{o}rlund mean, and show its equivalence with a certain moving average. The Abelian and Tauberian theorems establish relations with convergent sequences and certain power series.
Bingham, N. H., Gashi, Bujar
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A strong deviation theorem and its application to herding effect
Results in Applied Mathematics, 2020 Wang and Yang (2011) studied the strong deviation theorems of the n-th order identical distribution (for short i.d.) random sequences. In the present paper we arrive at the strong deviation theorems for the moving averages of the third order non ...
Zixian Cui +3 more
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Algorithmic Trading, Price-Based Functions, Daily and Intraday Moving Averages, Average Directional Index (ADX), Buy-and-Hold Strategy [PDF]
راهبرد مدیریت مالیTraders and investors have always sought to maximize profits and manage risks associated with their investments. Over the past decades, various tools have been developed to achieve these objectives.
Hamid Hasani, Saeed Rahimian
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Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation [PDF]
, 2007 We establish bounds for the covariance of a large class of functions of infinite variance stable random variables, including unbounded functions such as the power function and the logarithm.
Abry, Patrice +2 more
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Market timing with moving averages for fossil fuel and renewable energy stocks
Energy Reports, 2020 The paper examines whether the Moving Average (MA) technique can outperform random market timing in the energy sector, compiled of fossil and renewable energy producers.
Chia-Lin Chang +3 more
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