A Note on Reparameterizing a Vector Autoregressive Moving Average Model to Enforce Stationarity PDF Download
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Author: Craig F. Ansley
Publisher:
ISBN: 9780947187217
Category : Estimation theory
Languages : en
Pages : 17
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Book Description
Author: Craig F. Ansley
Publisher:
ISBN: 9780947187217
Category : Estimation theory
Languages : en
Pages : 17
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Book Description
Author: Fakher Chaari
Publisher: Springer Nature
ISBN: 3030821102
Category : Technology & Engineering
Languages : en
Pages : 439
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Book Description
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.
Author: Michel van der Wel.
Publisher: Rozenberg Publishers
ISBN: 905170769X
Category :
Languages : en
Pages : 155
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Book Description
Author:
Publisher:
ISBN:
Category : Statistics
Languages : en
Pages : 988
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Book Description
Author: Vladas Pipiras
Publisher: Cambridge University Press
ISBN: 1108210198
Category : Mathematics
Languages : en
Pages : 693
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Book Description
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.
Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 1294
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Book Description
Author:
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 408
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Book Description
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.
Author: Lex Donaldson
Publisher:
ISBN:
Category : Organization
Languages : en
Pages : 60
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Book Description
Author: Federal Reserve Bank of Minneapolis
Publisher:
ISBN:
Category : Federal Reserve banks
Languages : en
Pages : 72
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 490
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Book Description
