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LS2W: Implementing the Locally Stationary 2D Wavelet Process Approach in R
Journal of Statistical Software, 2011 Locally stationary process representations have recently been proposed and applied to both time series and image analysis applications. This article describes an implementation of the locally stationary two-dimensional wavelet process approach in R. This
Idris A. Eckley, Guy P. Nason
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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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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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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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Stationary Signal Processing on Graphs [PDF]
IEEE Transactions on Signal Processing, 2017 Graphs are a central tool in machine learning and information processing as they allow to conveniently capture the structure of complex datasets. In this context, it is of high importance to develop flexible models of signals defined over graphs or networks.
Nathanaël Perraudin +1 more
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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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Non-stationary log-periodogram regression [PDF]
, 1998 We study asymptotic properties of the log-periodogram semiparametric estimate of the memory parameter d for non-stationary (d>=1/2) time series with Gaussian increments, extending the results of Robinson (1995) for stationary and invertible Gaussian ...
Velasco Gómez, Carlos +2 more
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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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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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