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Forecasting Related Time Series

open access: yesJournal of Applied Econometrics, EarlyView.
ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
wiley   +1 more source
Some of the next articles are maybe not open access.

A theoretical analysis of recursive identification methods

Automatica, 1978
In this paper five different recursive identification methods will be analyzed and compared, namely recursive versions of the least squares method, the instrumental variable method, the generalized least squares method, the extended least squares method and the maximum likelihood method.
Lennart Ljung, I Gustavsson
exaly   +3 more sources

AN APPLICATION OF RECURSION THEORY TO ANALYSIS

The Bulletin of Symbolic Logic, 2020
AbstractMauldin [15] proved that there is an analytic set, which cannot be represented by $B\cup X$ for some Borel set B and a subset X of a $\boldsymbol{\Sigma }^0_2$ -null set, answering a question by Johnson [10]. We reprove Mauldin’s answer by a recursion-theoretical method.
openaire   +1 more source

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