Πλοήγηση ανά Θέμα "Autoregressive processes"
Αποτελέσματα 1-4 από 4
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Article
Asymptotically efficient order selection in nonstationary AR processes
(2000)In this paper we investigate the issue of asymptotic efficiency in nonstationary AR(∞) processes. Since the inverse of the autocovariance matrix of the underlying process cannot be evaluated due to the fact that the matrix ...
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Article
Bootstrapping the local periodogram of locally stationary processes
(2008)Locally stationary processes are non-stationary stochastic processes the second-order structure of which varies smoothly over time. In this paper, we develop a method to bootstrap the local periodogram of a locally stationary ...
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Article
Goodness-of-fit tests for Markovian time series models: Central limit theory and bootstrap approximations
(2008)New goodness-of-fit tests for Markovian models in time series analysis are developed which are based on the difference between a fully nonparametric estimate of the one-step transition distribution function of the observed ...
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Article
On the Maximum Entropy Problem with Autocorrelations Specified on a Lattice
(1993)The maximum entropy process with autocorrelations specified on a finite lattice is identified to be a Gaussian autoregressive process with a special structure in its coefficients. The autoregressive coefficients can be ...