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A Note On Reparameterizing A Vector Autoregressive Moving Average Model To Enforce Stationarity
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Book Synopsis A Note on Reparameterizing a Vector Autoregressive Moving Average Model to Enforce Stationarity by : Craig F. Ansley
Download or read book A Note on Reparameterizing a Vector Autoregressive Moving Average Model to Enforce Stationarity written by Craig F. Ansley and published by . This book was released on 1985 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonstationary Systems: Theory and Applications by : Fakher Chaari
Download or read book Nonstationary Systems: Theory and Applications written by Fakher Chaari and published by Springer Nature. This book was released on 2021-07-21 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an overview of current and recent methods for the analysis of the nonstationary processes, focusing on cyclostationary systems that are ubiquitous in various application fields. Based on the 13th Workshop on Nonstationary Systems and Their Applications, held on February 3-5, 2020, in Grodek nad Dunajcem, Poland, the book merges theoretical contributions describing new statistical and intelligent methods for analyzing nonstationary processes, and applied works showing how the proposed methods can be implemented in practice and do perform in real-world case studies. A significant part of the book is dedicated to nonstationary systems applications, with a special emphasis on those in condition monitoring.
Book Synopsis Riskfree rate dynamics by : Michel van der Wel.
Download or read book Riskfree rate dynamics written by Michel van der Wel. and published by Rozenberg Publishers. This book was released on 2008 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Algorithm for the Exact Likelihood of a Stationary Vector Autoregressive-Moving Average Model by : José Alberto Mauricio
Download or read book An Algorithm for the Exact Likelihood of a Stationary Vector Autoregressive-Moving Average Model written by José Alberto Mauricio and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The so-called innovations form of the likelihood function implied by a stationary vector autoregressive-moving average model is considered without directly using a state-space representation. Specifically, it is shown in detail how to compute the exact likelihood by an adaptation to the multivariate case of the innovations algorithm of Ansley (1979) for univariate models. Comparisons with other existing methods are also provided, showing that the algorithm described here is computationally more efficient than the fastest methods currently available in many cases of practical interest.
Book Synopsis Long-Range Dependence and Self-Similarity by : Vladas Pipiras
Download or read book Long-Range Dependence and Self-Similarity written by Vladas Pipiras and published by Cambridge University Press. This book was released on 2017-04-18 with total page 693 pages. Available in PDF, EPUB and Kindle. Book excerpt: This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to long-range dependence and self-similarity; central and non-central limit theorems for long-range dependent series, and the limiting Hermite processes; fractional Brownian motion and its stochastic calculus; several celebrated decompositions of fractional Brownian motion; multidimensional models for long-range dependence and self-similarity; and maximum likelihood estimation methods for long-range dependent time series. Designed for graduate students and researchers, each chapter of the book is supplemented by numerous exercises, some designed to test the reader's understanding, while others invite the reader to consider some of the open research problems in the field today.
Book Synopsis Statistical Theory and Method Abstracts by :
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1987 with total page 988 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models by : STANFORD UNIV CALIF DEPT OF STATISTICS.
Download or read book Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models written by STANFORD UNIV CALIF DEPT OF STATISTICS. and published by . This book was released on 1978 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The vector autoregressive moving average model is a multivariate stationary stochastic process where the unobservable multivariate process consists of independently identically distributed random vectors. The coefficient matrices and the covariance matrix are to be estimated from an observed sequence. Under the assumption of normality the method of maximum likelihood is applied to likelihoods suitably modified for techniques in the frequency and time domains. Newton-Raphson and scoring iterative methods are presented.
Book Synopsis Strategy, Structural Adjustment to Regain Fit and Performance by : Lex Donaldson
Download or read book Strategy, Structural Adjustment to Regain Fit and Performance written by Lex Donaldson and published by . This book was released on 1986 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Reviews written by and published by . This book was released on 1990 with total page 1294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis System Dynamics in Economic and Financial Models by :
Download or read book System Dynamics in Economic and Financial Models written by and published by . This book was released on 1997-12-05 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 12 articles presented in this book have different approaches for the modelling of economic and financial processes. The topics cover a range of subjects (complex dynamics, nonlinear time series models, cointegration) and applications in the field of finance and macro economics. The articles are grouped according to the methods being applied. In the first group the authors are concerned with nonlinear dynamics; the papers in the second group are more empirically oriented; the last group contains papers on time series modelling in macro economics, with special attention for the aspect of nonstationarity. The book is intended to be one of discussion and debate on themes of common interest in economics, finance and dynamical systems. It examines the different approaches for the modelling of economic and financial processes so as to stimulate the communication of ideas and to overcome the barriers of specialization.
Book Synopsis Quarterly Review - Federal Reserve Bank of Minneapolis by : Federal Reserve Bank of Minneapolis
Download or read book Quarterly Review - Federal Reserve Bank of Minneapolis written by Federal Reserve Bank of Minneapolis and published by . This book was released on 2010 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Comparison of Estimation Methods for Vector Autoregressive Moving-average Models by : Christian Kascha
Download or read book A Comparison of Estimation Methods for Vector Autoregressive Moving-average Models written by Christian Kascha and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting by : Ken Hung
Download or read book The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting written by Ken Hung and published by . This book was released on 1986 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Maximum Likelihood Estimation of the Autoregressive Coefficients and Moving Average Covariances of Vector Autoregressive Moving Average Models by : Fereydoon Ahrabi
Download or read book Maximum Likelihood Estimation of the Autoregressive Coefficients and Moving Average Covariances of Vector Autoregressive Moving Average Models written by Fereydoon Ahrabi and published by . This book was released on 1979 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to derive asymptotically efficient estimates for the autoregressive matrix coefficients and moving average covariance matrices of the vector autoregressive moving average (VARMA) models in both time and frequency domains. To do this we shall apply the Newton-Raphson and scoring methods to the maximum likelihood equations derived from modified likelihood functions under the Gaussian Assumption.
Book Synopsis Essays on Alternative Methods of Identification and Estimation of Vector Autoregressive Moving Average Models by : George Athanasopoulos
Download or read book Essays on Alternative Methods of Identification and Estimation of Vector Autoregressive Moving Average Models written by George Athanasopoulos and published by . This book was released on 2005 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing the Fit of a Vector Autoregressive Moving Average Model by : Efstathios Paparoditis
Download or read book Testing the Fit of a Vector Autoregressive Moving Average Model written by Efstathios Paparoditis and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new procedure for testing the fit of multivariate time series model is proposed. The method evaluates in a certain way the closeness of the sample spectral density matrix of the observed process to the spectral density matrix of the parametric model postulated under the null and uses for this purpose nonparametric estimation techniques. The asymptotic distribution of the test statistic is established and an alternative, bootstrap-based method is developed in order to estimate more accurately this distribution under the null hypothesis. Goodness-of-fit diagnostics useful in understanding the test results and identifying sources of model inadequacy are introduced. The applicability of the testing procedure and its capability to detect lacks of fit is demonstrated by means of some real data examples.
Book Synopsis Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets' by : Gustavo Fruet Dias
Download or read book Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets' written by Gustavo Fruet Dias and published by . This book was released on 2017 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The online Supplement presents the proof the auxiliary Lemmas 1-6, the entire set of tables with results from the Monte Carlo and the empirical studies, and further discussion on selected topics.Full paper is available at: 'https://ssrn.com/abstract=2707176' https://ssrn.com/abstract=2707176.
