Similar Search Results

A time-domain test for some types of nonlinearity

Barnett, A. G.; Wolff, R. C. - 2005

The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the bispectrum is that its estimator comprises terms...

Persistent link: https://www.econbiz.de/10009447971

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models

Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2014

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is parametric and quite general, and, in particular, encompasses the...

Persistent link: https://www.econbiz.de/10010935035

Note--Computing Time-Dependent Waiting Time Probabilities in M(t)/M/s(t) Queuing Systems

Green, Linda V.; Soares, João - In: Manufacturing & Service Operations Management 9 (2007) 1, pp. 54-61

In this note we present algorithms that compute, exactly or approximately, time-dependent waiting time tail probabilities and the time-dependent expected waiting time in M(t)/M/s(t) queuing systems.

Persistent link: https://www.econbiz.de/10009218698

Fault diagnosis of wind turbine planetary gearbox under nonstationary conditions via adaptive optimal kernel time–frequency analysis

Feng, Zhipeng; Liang, Ming - In: Renewable Energy 66 (2014) C, pp. 468-477

hence highly nonstationary. Conventional spectral analysis and demodulation analysis methods are unable to identify the … characteristic frequency of gear fault from such nonstationary signals. As such, this paper presents a time–frequency analysis … methods to reveal the constituent frequency components of nonstationary signals and their time-varying features for WT …

Persistent link: https://www.econbiz.de/10010806449

Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis

Zhang, Jin-Yu; Li, Yong; Chen, Zhu-Ming - In: Computational Economics 41 (2013) 1, pp. 89-100

simulations show that the test size is seriously distorted if nonstationary stochastic volatility is ignored. To improve the … performance of the test, we propose a Bayesian test for unit root that is robust in the presence of stationary and nonstationary …

Persistent link: https://www.econbiz.de/10010866836

Simultaneous Capacity and Production Management of Short-Life-Cycle, Produce-to-Stock Goods Under Stochastic Demand

Angelus, Alexandar; Porteus, Evan L. - In: Management Science 48 (2002) 3, pp. 399-413

This paper derives the optimal simultaneous capacity and production plan for a shortlife-cycle, produce-to-stock good under stochastic demand. Capacity can be reduced as well as added, at exogenously set unit prices. In both cases studied, with and without carryover of unsold units, a target...

Persistent link: https://www.econbiz.de/10009204358

The Finite Horizon Nonstationary Stochastic Inventory Problem: Near-Myopic Bounds, Heuristics, Testing

Morton, Thomas E.; Pentico, David W. - In: Management Science 41 (1995) 2, pp. 334-343

Nonstationary stochastic periodic review inventory problems with proportional costs occur in a number of industrial …

Persistent link: https://www.econbiz.de/10009208900

Persistence-robust Granger causality testing

Bauer, Dietmar; Maynard, Alex - Department of Economics and Finance, College of … - 2010

-robust Granger causality test that accommodates i.a. stationary, nonstationary, local-to-unity, long-memory, and certain (unmodelled …

Persistent link: https://www.econbiz.de/10008455884

Order statistics for nonstationary time series

Tran, Lanh; Wu, Berlin - In: Annals of the Institute of Statistical Mathematics 45 (1993) 4, pp. 665-686

Persistent link: https://www.econbiz.de/10005616332

A State Space Model of the Economic Fundamentals

Craine, Roger; Bowman, David - Institute of Business and Economic Research (IBER), … - 1988

Persistent link: https://www.econbiz.de/10010677832