Results 1 to 10 of about 11,177,426 (256)
An Entropy Measure of Non-Stationary Processes
Entropy, 2014 Shannon’s source entropy formula is not appropriate to measure the uncertainty of non-stationary processes. In this paper, we propose a new entropy measure for non-stationary processes, which is greater than or equal to Shannon’s source entropy.
Ling Feng Liu +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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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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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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Estimation of the Variance of a Stationary Stochastic Process [PDF]
The Egyptian Statistical Journal, 1975 Let the stationary stochastic process X (t) with unknown mean m and covariance B(t) = E (x (s)-m) (x (s+t)--m) be observed on the interval 0 ≤ t ≤ T. In this paper we shall give a formula for the mean square error (m.s.e.) of an (estimator B2(0) of B (0)
A.A. Abdel Fattah
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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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Simulation of stationary, non-normal random process
Vietnam Journal of Mechanics, 1992 Simulation of stationary random processes specified by spectral density function and NonNormal probability density function has been rarely studied, though these processes are often met in both theory and practice.
Nguyen Cao Menh, Tran Duong Tri
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