Results 1 to 10 of about 201,552 (147)
Trends and random walks in macroeconomics time series: The unit root test considerations [PDF]
اقتصاد باثبات, 2022 In the time series econometric literature, data generation and stationary are important issues in model selection and estimation method. Difference Stationary and Trend Stationary processes are data generation procedures.
Mehdi Fathabadi
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Bayesian mechanics for stationary processes [PDF]
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, 2021 This paper develops a Bayesian mechanics for adaptive systems. Firstly, we model the interface between a system and its environment with a Markov blanket. This affords conditions under which states internal to the blanket encode information about external states.
Lancelot Da Costa +3 more
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Maximum Likelihood Estimation for the Fractional Vasicek Model
Econometrics, 2020 This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case ...
Katsuto Tanaka, Weilin Xiao, Jun Yu
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Modern Stochastics: Theory and Applications, 2020 The paper deals with a stochastic heat equation driven by an additive fractional Brownian space-only noise. We prove that a solution to this equation is a stationary and ergodic Gaussian process. These results enable us to construct a strongly consistent
Diana Avetisian, Kostiantyn Ralchenko
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Statistical arbitrage under the efficient market hypothesis
Statistical Theory and Related Fields, 2020 When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis.
Si Bao +4 more
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On the Problem of Formulating Principles in Nonequilibrium Thermodynamics
Entropy, 2010 In this work, we consider the choice of a system suitable for the formulation of principles in nonequilibrium thermodynamics. It is argued that an isolated system is a much better candidate than a system in contact with a bath. In other words, relaxation
Paško Županović +3 more
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Forecasting semi-stationary processes and statistical arbitrage
Statistical Theory and Related Fields, 2020 If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process, then we can use the moving average of the historical payoffs to forecast and the corresponding errors
Si Bao, Shi Chen, Wei An Zheng, Yu Zhou
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The Annals of Probability, 1992 Consider a stationary process \(X=\{X_ n\}^ \infty_{n=-\infty}\) with finite state space \(A\) (the ``alphabet''). Treat \(X\) as an \(A^ \infty\)- valued function, so that its distribution constitutes a stationary probability measure \(\nu\) on \(A^ \infty\), the elements of which are called ``words''.
Alexander, Kenneth S. +1 more
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Abstract stationary processes [PDF]
Proceedings of the American Mathematical Society, 1973 Concept of the multivariate stationary process is generalized to an infinite-dimensional case. Representation theorems are derived from the theory of Hilbert modules.
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Matrix Algebraic Properties of the Fisher Information Matrix of Stationary Processes
Entropy, 2014 In this survey paper, a summary of results which are to be found in a series of papers, is presented. The subject of interest is focused on matrix algebraic properties of the Fisher information matrix (FIM) of stationary processes.
André Klein
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