搜索结果: 1-7 共查到“理论统计学 ARMA”相关记录7条 . 查询时间(0.093 秒)
Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
Strictly stationary solutions multivariate ARMA equations i.i.d. noise
2011/6/17
We obtain necessary and sufficient conditions for the existence of strictly stationary
solutions of multivariate ARMA equations with independent and identically
distributed noise. For general ARMA(p...
Distribution processes of the fractional ARMA type, mixing properties
Distribution processes the fractional ARMA type mixing properties
2009/9/22
In this Pa per we firstly study f, the inverse Laplace transform of F(s) = n,=(,s - 0 3 . The distribution f is then used to
define a family of linear distribution processes. This family generalizes
...
On adaptive estimation based on ranks in ARMA processes
Local asymptotic normality (LAN) asymptotic linearity locally asymptotically minimax (LAM)
2009/9/21
This paper describe6 the adaptive estimation problem
based on ranks for the parameter of an ARMA process. Tbe local
asymptotic normality property with a ranked based central sequence
allows for the...
On ARMA(1,q) models with bounded and periodically correlated solutions
Periodically correlated ARMA model periodic coefficients
2009/9/21
In this paper, motivated by [2], we derive necessary
and suficient conditions for bounded and periodically correlated solutions
to the system of equations described by ARMA(1, q) model.
KALMAN-TYPE RECURSIONS FOR TIME-VARYING ARMA MODELS AND THEIR IMPLICATION FOR LEAST SQUARES PROCEDURE
Kalman-type recursions least squares procedure state-space representations time-varying ARMA models
2009/9/18
This paper is devoted to ARMA models with timedependent
coefficients, including well-known periodic ARMA models. We
provide state-space representations and Kalman-type recursions to derive a
Wold–C...
A characterization of ARMA and Fractional ARIMA models with infinitely divisible innovations
Asymptotic dependence Infinitely divisible distributions ARMA Fractionally integrated ARMA Stable distributions Long memory
2010/4/27
The object of this paper is to study the asymptotic dependence structure of the linear
time series models with infinitely divisible innovations by the use of their characteristic
functions. Autoregr...
Estimation of AR and ARMA models by stochastic complexity
minimum description length principle Fisher information normalized maximum likelihood universal model Monte Carlo technique
2010/4/27
In this paper the stochastic complexity criterion is applied to estimation
of the order in AR and ARMA models. The power of the criterion
for short strings is illustrated by simulations. It requires...