搜索结果: 16-30 共查到“统计学 time series”相关记录73条 . 查询时间(0.979 秒)
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...
Covariance Matrix Estimation for Stationary Time Series
Autocovariance matrix banding large deviation physical dependence mea-sure short range dependence spectral density stationary process tapering thresholding Toeplitz matrix
2011/6/20
We obtain a sharp convergence rate for banded covariance matrix estimates of stationary
processes. A precise order of magnitude is derived for spectral radius of sample covariance matrices.
We also ...
Anatomy of a Bit: Information in a Time Series Observation
entropy total correlation multivariate mutual information binding information en-tropy rate predictive information rate
2011/6/21
Appealing to several multivariate information measures|some familiar, some new here|we ana-
lyze the information embedded in discrete-valued stochastic time series. We dissect the uncertainty
of a s...
Deconvolution of mixing time series on a graph
Deconvolution of mixing time latent time series state-space model
2011/6/17
In many applications we are interested in making
inference on latent time series from indirect
measurements, which are often low-dimensional
projections resulting from mixing or aggregation.
Posit...
We show how to control the generalization error of time series models wherein past values of the outcome are used to predict future values.
Testing for change in mean of heteroskedastic time series
Brownian bridge changes in mean functional central limit theorem heteroskedasticity time series
2011/3/24
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, ...
A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
Financial time series Wavelet decomposition Fuzzy regression SP500 index
2011/3/25
In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on ...
Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series
α-mixing properties almost periodically correlated time series consistency spectral analysis subsampling
2011/3/21
The aim of this article is to establish asymptotic distributions and consistency of subsampling for spectral density and for magnitude of coherence for non-stationary, almost periodically correlated t...
Translating biomarkers between multi-way time-series experiments
Machine Learning (stat.ML)
2010/12/17
Translating potential disease biomarkers between multi-species 'omics' experiments is a new direction in biomedical research. The existing methods are limited to simple experimental setups such as bas...
Confidence Sets in Time--Series Filtering
Information Theory (cs.IT) Statistics Theory (math.ST)
2010/12/17
The problem of filtering of finite--alphabet stationary ergodic time series is considered. A method for constructing a confidence set for the (unknown) signal is proposed, such that the resulting set ...
Semi-parametric dynamic time series modelling with applications to detecting neural dynamics
Dynamic time series modeling change-point testing Bayesian statistics statistics for neural data
2010/11/8
This paper illustrates novel methods for nonstationary time se-ries modeling along with their applications to selected problems in neuroscience. These methods are semi-parametric in that inferences ar...