搜索结果: 1-15 共查到“统计学 long memory”相关记录17条 . 查询时间(0.046 秒)
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...
Aggregation of autoregressive random fields and anisotropic long memory
Aggregation autoregressive random fields anisotropic long memory
2013/4/27
We introduce the notion of anisotropic long memory for random fields on $\mathbb{Z}^2$ whose partial sums on incommensurate rectangles with sides growing at different rates O(n) and $O(n^{H_1/H_2})$, ...
Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
Hermite polynomials of a Gaussian process long–memory parameter non–Gaussian Rosenblatt
2011/6/16
We consider stationary processes with long memory which are non–Gaussian and represented
as Hermite polynomials of a Gaussian process. We focus on the corresponding
wavelet coefficients and study th...
Some results on random design regression with long memory errors and predictors
memory errors predictors random design
2011/3/24
This paper studies nonparametric regression with long memory (LRD) errors and predictors. First, we formulate general conditions which guarantee the standard rate of convergence for a nonparametric ke...
Empirical process of residuals for regression models with long memory errors
Empirical process of residuals regression models
2011/3/24
We consider the residual empirical process in random design regression with long memory errors. We establish its limiting behaviour, showing that its rates of convergence are different from the rates ...
Adaptive semiparametric wavelet estimator and goodness-of-fit test for long memory linear processes
Statistics Theory (math.ST)
2010/12/17
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet {\it et al...
The tail empirical process for some long memory sequences
tail empirical process long memory sequences
2010/3/9
This paper describes limiting behaviour of tail empirical process associated with
long memory stochastic volatility models. We show that such process has dichoto-
mous behaviour, according to an int...
A Bayesian Approach to Estimating the Long Memory Parameter
Bayesian model averaging FEXP hierarchical Bayes long-range dependence Spectral density
2009/9/24
We develop a Bayesian procedure for analyzing stationary long-range
dependent processes.Specically,we consider the fractional exponential model
(FEXP)to estimate the memory parameter of a stationary...
A note on the estimation of degree of differencing in long memory time series analysis
the estimation of degree long memory time series analysis
2009/9/23
In this paper we investigate the properties of the
estimator of degree of differencing the fractional d in long memory
time series analysis via consistent spectral density estimation. It is
shown t...
Spectral Properties of Temporally Aggregated Long Memory Processes
Spectral Properties Memory Processes
2009/9/17
Spectral Properties of Temporally Aggregated Long Memory Processes。
Disaggregation of Long Memory Processes on $mathcal{C}^{infty}$ Class
Aggregation disaggregation longmemory processes mixtures
2009/4/22
We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities controlled by exponential ...
Disaggregation of Long Memory Processes on $mathcal{C}^{infty}$ Class
long memory processes short memory processes Class
2009/4/1
We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities controlled by exponential ...
It is generally accepted that many time series of practical interest exhibit
strong dependence, i.e., long memory. For such series, the sample autocorrelations
decay slowly and log-log periodogram p...
Linear Prediction of Long-Memory Processes：Asymptotic Results on Mean-squared Errors
Linear Prediction Long-Memory Processes Asymptotic Results Mean-squared Errors
2010/4/29
Linear Prediction of Long-Memory Processes：Asymptotic Results on Mean-squared Errors。
Estimation errors of the Sharpe ratio for long-memory stochastic volatility models
long memory stochastic volatility Sharpe ratio
2010/4/27
The Sharpe ratio, which is defined as the ratio of the excess expected
return of an investment to its standard deviation, has been widely cited
in the financial literature by researchers and practit...