Results 21 to 30 of about 3,160,678 (291)
Econometrics, 2022 We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as
Jian Kang +4 more
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Efficient Bayesian inference for natural time series using ARFIMA processes [PDF]
Nonlinear Processes in Geophysics, 2015 Many geophysical quantities, such as atmospheric temperature, water levels in rivers, and wind speeds, have shown evidence of long memory (LM). LM implies that these quantities experience non-trivial temporal memory, which potentially not only enhances ...
T. Graves +3 more
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Frontiers in Physics, 2021 Time irreversibility of a time series, which can be defined as the variance of properties under the time-reversal transformation, is a cardinal property of non-equilibrium systems and is associated with predictability in the study of financial time ...
Ryutaro Mori, Ruiyun Liu, Yu Chen
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A Parametric Factor Model of the Term Structure of Mortality
Econometrics, 2019 The prototypical Lee–Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are
Niels Haldrup +1 more
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Entropy, 2021 Time series consist of data observed sequentially in time, and they are assumed to stem from an underlying stochastic process [...]
Christian H. Weiß
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Entropy, 2023 Time series are sequentially observed data in which important information about the phenomenon under consideration is contained not only in the individual observations themselves, but also in the way these observations follow one another [...]
Christian H. Weiß
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Demonstrating the value of larger ensembles in forecasting physical systems
Tellus: Series A, Dynamic Meteorology and Oceanography, 2016 Ensemble simulation propagates a collection of initial states forward in time in a Monte Carlo fashion. Depending on the fidelity of the model and the properties of the initial ensemble, the goal of ensemble simulation can range from merely quantifying ...
Reason L. Machete, Leonard A. Smith
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Oceanography, 2013 In this issue of Oceanography, Holliday and Cunningham (2013) extol the significance of long-term data sets in understanding the marine environment and, in particular, climate change.
Simon Boxall
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Mandelbrot's Stochastic Time Series Models
Earth and Space Science, 2019 I survey and illustrate the main time series models that Mandelbrot introduced into time series analysis in the 1960s and 1970s. I focus particularly on the members of the additive fractional stable family including Lévy flights and fractional Brownian ...
N. W. Watkins
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Explainable Time Series Tree: An Explainable Top-Down Time Series Segmentation Framework
IEEE Access, 2023 A wide range of Machine Learning algorithms can model time series to address classification, forecasting, and clustering problems. However, time series may exhibit characteristics that complicate these tasks, such as repeating patterns and seasonal ...
Vitor de Castro Silva +3 more
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