Results 101 to 110 of about 23,472 (239)

Estimation of the Intercept Parameter in Integrated Galton–Watson Processes

Journal of Time Series Analysis, EarlyView.
ABSTRACT We study the estimation of the intercept parameter in an integrated Galton–Watson process, an important building block for many count‐valued time series models. In this unit root setting, the ordinary least squares estimator is known to be inconsistent, whereas the existing weighted least squares (WLS) estimator is consistent only in the case ...
Yang Lu
wiley   +1 more source

Modular Jump Gaussian Processes

Data Science in Science
Gaussian processes (GPs) furnish accurate nonlinear predictions with well-calibrated uncertainty. However, the typical GP setup has a built-in stationarity assumption, making it ill-suited for modeling data from processes with sudden changes, or “jumps ...
Anna R. Flowers, Christopher T. Franck, Mickaël Binois, Chiwoo Park, Robert B. Gramacy   +4 more
doaj   +1 more source

Lagrangian turbulence in the Adriatic Sea as computed from drifter data: effects of inhomogeneity and nonstationarity

, 2003
The properties of mesoscale Lagrangian turbulence in the Adriatic Sea are studied from a drifter data set spanning 1990-1999, focusing on the role of inhomogeneity and nonstationarity.
A. Maurizi, Artegiani, Batchelor, Bauer, Bauer, Berloff, Bracco, Bracco, Castellari, Cerovecki, Corrsin, Cushman-Roisin, Davis, Davis, Davis, Durst, Dwyer, Falco, Griffa, Inoue, Lenschow, Maurizi, Niiler, Pasquero, Poulain, Poulain, Poulain, Poulain, Poulain, Poulain, Poulain, Press, Priestley, Raicich, Risken, Sawford, Swenson, Thomson, Veneziani, Zhang   +39 more
core   +1 more source

The Mathematical History Behind the Granger–Johansen Representation Theorem

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT When can a vector time series that is integrated once (i.e., becomes stationary after taking first differences) be described in error correction form? The answer to this is provided by the Granger–Johansen representation theorem. From a mathematical point of view, the theorem can be viewed as essentially a statement concerning the geometry of ...
Johannes M. Schumacher
wiley   +1 more source

Regime variance testing - a quantile approach

, 2012
This paper is devoted to testing time series that exhibit behavior related to two or more regimes with different statistical properties. Motivation of our study are two real data sets from plasma physics with observable two-regimes structure.
gajda, Janusz, Sikora, Grzegorz, Wyłomańska, Agnieszka   +2 more
core   +1 more source

Small area estimation under spatial nonstationarity

Computational Statistics & Data Analysis, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hukum Chandra, Nicola Salvati, Ray Chambers, Nikos Tzavidis   +3 more
openaire   +6 more sources

Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley   +1 more source

The influence of non-stationarity in extreme hydrological events on flood frequency estimation

Journal of Hydrology and Hydromechanics, 2016
Substantial evidence shows that the frequency of hydrological extremes has been changing and is likely to continue to change in the near future. Non-stationary models for flood frequency analyses are one method of accounting for these changes in ...
Šraj Mojca, Viglione Alberto, Parajka Juraj, Blöschl Günter   +3 more
doaj   +1 more source

Inflation Control in a CVAR Model With an Application to the Burns/Miller Period in the USA

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT The paper addresses the problem of “how to make a nonstationary inflation rate stationary by controlling the policy instrument”. It shows that a necessary condition is a significant non‐zero element in the long‐run impact matrix. An application to US data covering the Burns/Miller periods finds a significant, but positive, long‐run impact on ...
Søren Johansen, Katarina Juselius
wiley   +1 more source

The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level [PDF]

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference.
Søren Johansen
core