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Characterizing price index behavior through fluctuation dynamics
price index behavior fluctuation dynamics Statistical Finance
2012/6/4
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets...
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
Durbin-Watson statistic first-order autoregressive process Statistical test for serial correlation
2011/7/25
Abstract: The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the...