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Measuring stationarity in long-memory processes
spectral density long-memory non-stationary processes goodness-of-ttests empirical spectral measure integrated periodogram locally stationary process bootstrap
2013/4/27
In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an $L_2$-distance between the spectral density of the locally stationary proce...
New semiparametric stationarity tests based on adaptive multidimensional increment ratio statistics
Gaussian fractionally integrated processes Adaptive semiparametric estimators of the meme-ory parameter test of long-memory stationarity test unit root test.
2012/9/19
In this paper, we show that the adaptive multidimensional increment ratio estimator of the long range memory parameter defined in Bardet and Dola (2012) satisfies acentral limit theorem (CLT in the se...
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 ...
Weighted Dickey-Fuller Processes for Detecting Stationarity
Autoregressive unit root change point control chart nonparametric smooth-ing sequential analysis robustness
2010/3/9
Aiming at monitoring a time series to detect stationarity as soon as possible,
we introduce monitoring procedures based on kernel-weighted sequential Dickey-Fuller
(DF) processes, and related stoppi...
In [12] it was proved that the process of waiting times
for single server queues is asymptotically stationary if
(1) a generic process X = (Xkk, 2 1) is asymptotically stationary,
(2) X satisfies c...