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Probit transformation for kernel density estimation on the unit interval
transformation kernel density estimator boundary bias local likelihood density estimation local log-polynomial density estimation
2013/4/27
Kernel estimation of a probability density function supported on the unit interval has proved difficult, because of the well known boundary bias issues a conventional kernel density estimator would ne...
Unified theoretical framework for unit root and fractional unit root
First autoregression fractional integration explosive processes unit root fractional unit
2012/11/22
To distinguish between purely fractionally integrated (FI) processes, we propose in this article an appropriate fractional Dickey-Fuller test (F-DF). This extends the familiar Dickey-Fuller (1979) typ...
Monitoring Procedures to Detect Unit Roots and Stationarity
Autoregressive unit root change-point control chart nonparametric smooth-ing sequential analysis weighted partial sum process
2010/3/9
When analysing time series an important issue is to decide whether the time
series is stationary or a random walk. Relaxing these notions, we consider the problem to
decide in favor of the I(0)- or ...
Inference for MA(1) processes with a root on or near the unit circle
Inference for MA(1) processes a root on or near the unit circle
2009/9/22
This paper considers maximum likelihood estimation
(MLE) for MA(1) processes when the moving average parameter is on
or near the unit circle. The asymptotic theory to be presented allows
the use of...
Sojourn time of some reflected Brownian motion in the unit disk
reflected Brownian motion boundary value problems fractional linear transformation
2009/9/22
We study the heat diffusion in a domain with an obstacle
inside. More precisely, we are interested in the quantity of heat
in so far as a function of the position of the heat source at time 0. This
...
On some connections between random partitions of the unit segment and the Poisson process
some connections random partitions of the unit segment the Poisson process
2009/9/22
Let D, be the diameter of a partition of the interval [0, t]
by renewal moments of a standard Poisson process. Then DJln t + 1 for
t + co, in probability. Other theorems on diameters are obtained. J...
Testing of Unit and Fractional Roots in the Context of Deterministic Trends with Weakly Autocorrelated Disturbances
Testing of Unit Fractional Roots Deterministic Trends
2009/9/17
Testing of Unit and Fractional Roots in the Context of Deterministic Trends with Weakly Autocorrelated Disturbances。