Browsing by Subject "Time series analysis"
Now showing items 1-15 of 15
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Article
Aggregation of spectral density estimators
(2014)Given stationary time series data, we study the problem of finding the best linear combination of a set of lag window spectral density estimators with respect to the mean squared risk. We present an aggregation procedure ...
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Article
Application of three bivariate time-varying volatility models
(2001)The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series ...
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Article
ARM A Models, Prewhitening, and Minimum Gross Entropy
(1993)The problem of spectral estimation on the basis of observations from a finite stretch of a stationary time series is considered, in connection with knowledge of a prior estimate of the spectral density. In general, the ...
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Article
Clustering of biological time series by cepstral coefficients based distances
(2008)Clustering of stationary time series has become an important tool in many scientific applications, like medicine, finance, etc. Time series clustering methods are based on the calculation of suitable similarity measures ...
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Article
Evolutionary-fuzzy prediction for strategic ID-QoS: Routing in broadband networks
(2001)This article presents an application of evolutionary-fuzzy prediction in interdomain routing of broadband network connections with Quality of Services requirements in the case of an integrated ATM and SDH networking ...
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Conference Object
Evolutionary-fuzzy prediction for strategic QoS routing in broadband networks
(IEEE, 1998)We present an application of evolutionary-fuzzy prediction in inter-domain routing of broadband network connections with Quality of Services requirements in the case of an integrated ATM and SDH networking architecture. ...
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Conference Object
Frequency-domain characterization of Singular Spectrum Analysis eigenvectors
(Institute of Electrical and Electronics Engineers Inc., 2017)Singular Spectrum Analysis (SSA) is a nonparametric approach used to decompose a time series into meaningful components, related to trends, oscillations and noise. SSA can be seen as a spectral decomposition, where each ...
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Nonparametric Maximum Entropy
(1993)The standard maximum entropy method of Burg and the resulting autoregressive model has been widely applied for spectrum estimation and prediction. A generalization of the maximum entropy formalism in a nonparametric setting ...
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On comparing several spectral densities
(2008)We investigated the problem of testing equality among spectral densities of several independent stationary processes. Our main methodological contribution is the introduction of a novel semiparametric log-linear model that ...
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On Locally Dyadic Stationary Processes
(2017)We introduce the concept of local dyadic stationarity, to account for nonstationary time series, within the framework of Walsh-Fourier analysis. We define and study time-varying, dyadic, autoregressive, moving average ...
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Article
Power divergence family of tests for categorical time series models
(2002)A fundamental issue that arises after fitting a regression model is that of testing the goodness of the fit. Our work brings together the power divergence family of goodness of fit tests and regression models for categorical ...
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Residual-based block bootstrap for unit root testing
(2003)A nonparametric, residual-based block boostrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of ...
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Article
Residual-based block bootstrap for unit root testingAAA
(2003)A nonparametric, residual-based block boostrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of ...
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Article
Systematic assessment of rigid internal combustion engine dynamic coupling
(2008)Accurate estimation of engine vibrations is essential in the design of new engines, engine mounts, and the vehicle frames to which they are attached. Mount force prediction has traditionally been simplified by assuming ...
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Article
Wavelet analysis and its statistical applications
(2000)In recent years there has been a considerable development in the use of wavelet methods in statistics. As a result, we are now at the stage where it is reasonable to consider such methods to be another standard tool of the ...