搜索结果: 1-12 共查到“统计学其他学科 Time Series”相关记录12条 . 查询时间(0.106 秒)
ARMA Time-Series Modeling with Graphical Models
ARMA Time-Series Modeling Graphical Models
2012/9/19
We express the classic ARMA time-series model as a directed graphical model. In doing so, we find that the deterministic re-lationships in the model make it effectively impossible to use the EM algori...
Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Time Series Clustering Approach
2012/9/18
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Time Series Clustering Approach
2012/9/18
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Changepoint detection for high-dimensional time series with missing data
Change point detection high-dimensional time series missing data
2012/9/17
This paper describes a novel approach to changepoint detection when the observed high-dimensional data may have missing elements. The performance of classical methods for changepoint detection typical...
Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
efficient estimation fractional Brownian motion Fisher information general monotone sequence regular variation slowly varying functions spectral density.
2012/9/18
Mimicking the maximum likelihood estimator, we construct first order Cramer-Rao efficient and explicitly computable estimators for the scale parameterσ2 in the model Zi,n =σn−βXi+Yi, i = 1, . . ...
On the prediction of functional time series
Dimension reduction Forecasting, Functional autoregressions Functional principal components, Functional time series Particulate matter Vector autoregressions
2012/9/17
This paper addresses the prediction of functional time series. Existing contributions to this problem have largely focused on the special case of rst-order functional autoregressive processes because...
Causal Inference on Time Series using Structural Equation Models
Causal Inference Time Series Structural Equation Models
2012/9/19
Causal inference uses observations to infer the causal structure of the data generating system.We study a class of functional models that we call Time Series Models with Independent Noise (TiMINo). Th...
SiZer for time series: A new approach to the analysis of trends
Autocovariance function estimation Local linear fit Scale-space method SiZer Time series
2009/9/16
Smoothing methods and SiZer are a useful statistical tool for discovering statistically significant structure in data. Based on scale space ideas originally developed in the computer vision literature...
Structural shrinkage of nonparametric spectral estimators for multivariate time series
structural shrinkage nonparametric spectral estimators multivariate time series
2009/9/16
In this paper we investigate the performance of periodogram based estimators of the spectral density matrix of possibly high-dimensional time series. We suggest and study shrinkage as a remedy against...
Timescale effect estimation in time-series studies of air pollution and health: A Singular Spectrum Analysis approach
Airborne particulate matter PM10 Singular Spectrum Analysis - SSA Generalized additive models - GAM
2009/9/16
A wealth of epidemiological data suggests an association between mortality/morbidity from pulmonary and cardiovascular adverse events and air pollution, but uncertainty remains as to the extent implie...
Estimation in a class of nonlinear heteroscedastic time series models
Conditional least-squares estimation Conditional likelihood estimation Heteroscedastic models Kernel density estimation LATEX2ε
2009/9/16
Parameter estimation in a class of heteroscedastic time series models is investigated. The existence of conditional least-squares and conditional likelihood estimators is proved. Their consistency and...
Modeling threshold exceedance probabilities of spatially correlated time series
threshold exceedance probability PM10 smoothing spatial interpolation spatial time series visualization
2009/9/16
The Commission of the European Union, as well the United States Environmental Protection Agency, have set limit values for some pollutants in the ambient air that have been shown to have adverse effec...