Search Results - subject:"spectral density"

Factorization of a spectral density with smooth eigenvalues of a multidimensional stationary time series

Szabados, Tamás - In: Econometrics : open access journal 11 (2023) 2, pp. 1-11

density. A spectral density with smooth eigenvalues and H∞ eigenvectors gives an explicit method to factorize the spectral …The aim of this paper to give a multidimensional version of the classical one-dimensional case of smooth spectral … density and compute the Wold representation of a weakly stationary time series. A formula, similar to the Kolmogorov …

Persistent link: https://www.econbiz.de/10014362622

On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison

Shi, Shuping; Yu, Jun; Zhang, Chen - 2023

Persistent link: https://www.econbiz.de/10014320456

Uncovering hidden insights with long-memory process detection : an in-depth overview

Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15

Long-memory models are frequently used in finance and other fields to capture long-range dependence in time series data. However, correctly identifying whether a process has long memory is crucial. This paper highlights a significant limitation in using the sample autocorrelation function (ACF)...

Persistent link: https://www.econbiz.de/10014335857

Gaussian semiparametric estimation of two-dimensional intrinsically stationary

Yajima, Yoshihiro; Matsuda, Yassumasa - 2023

Persistent link: https://www.econbiz.de/10014390443

Nonparametric prediction with spatial data

Gupta, Abhimanyu; Hidalgo, Javier - 2022

Persistent link: https://www.econbiz.de/10014429995

Simulation of the electrical signal of the muscles to obtain the electromiosignal spectrum

Yeroshenko, Olha; Prasol, Igor - In: Technology audit and production reserves 2 (2022) 2/64, pp. 38-43

Persistent link: https://www.econbiz.de/10013325873

Interpreting the effect of global economic risks on crude oil market : a supply-demand perspective

Hong, Yanran; Cao, Shijiao; Xu, Pengfei; Pan, Zhigang - In: International review of financial analysis 91 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014446982

Prewhitened long-run variance estimation robust to nonstationarity

Casini, Alessandro; Perron, Pierre - In: Journal of econometrics 242 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10015075216

Simultaneous inference for autocovariances based on autoregressive sieve bootstrap

Braumann, Alexander; Kreiss, Jens‐Peter; Meyer, Marco - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 534-553

the question can be answered positively. Moreover, potential applications including spectral density estimation and an …

Persistent link: https://www.econbiz.de/10014485860

A comparative evaluation of some DSP filters vis-à-vis commonly used economic filters

Nachane, Dilip M.; Chaubal, Aditi - In: Journal of quantitative economics 20 (2022), pp. 161-190

Persistent link: https://www.econbiz.de/10013441620

1
2
3
4
5
6
7
8
9
10
Next
Last