Narrow search
Showing 1 - 10 of 49
Cover Image
Estimation of a nonparametric regression spectrum for multivariate time series
Beran, Jan; Heiler, Mark A. - 2007
shift does not depend on frequency, a time domain estimator of the lag-shift is defined. Asymptotic properties of the … frequency and time domain estimators are derived. Simulations and a data example illustrate the methods. -- Periodogram ; cross …
Persistent link: https://www.econbiz.de/10003876725
Cover Image
Optimal convergence rates in nonparametric regression with fractional time series errors
Feng, Yuanhua; Beran, Jan - 2007
Persistent link: https://www.econbiz.de/10003876745
Cover Image
A nonparametric regression cross spectrum for multivariate time series
Beran, Jan - 2008
We consider dependence structures in multivariate time series that are characterized by deterministic trends. Results … by a simulated example and a three-dimensional time series consisting of ECG, blood pressure and cardiac stroke volume …
Persistent link: https://www.econbiz.de/10003876876
Cover Image
On robust local polynominal estimation with long-memory errors
Beran, Jan; Feng, Yuanhua; Ghosh, Sucharita; … - 2000
Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of …
Persistent link: https://www.econbiz.de/10009783567
Cover Image
SEMIFAR models
Beran, Jan; Feng, Yuanhua; Ocker, Dirk - 1999
Recent results on so-called SEMIFAR models introduced by Beran (1997) are discussed. The nonparametric deterministic trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive coefficients are estimated by an approximate maximum...
Persistent link: https://www.econbiz.de/10009793259
Cover Image
Data-driven estimation of semiparametric fractional autoregressive models
Beran, Jan; Feng, Yuanhua - 2000
In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparametric trend and maximum likelihood estimation of the parameters. For selecting the bandwidth, the proposal of Beran and Feng (1999) based...
Persistent link: https://www.econbiz.de/10011543365
Cover Image
SEMIFAR models : a semiparametric framework for modelling trends, long range dependence and nonstationarity
Beran, Jan - 1999
Time series in many areas of application often display local or global trends. Typical models that provide statistical … difficult. Also, for some time series, several trend generating mechanisms may occur simulteneously. In this paper, a class of … flexible modelling of time series and helps the data analyst to decide whether the observed process contains a stationary short …
Persistent link: https://www.econbiz.de/10011543808
Cover Image
SEMIFAR models, with applications to commodities, exchange rates and the volatility of stock market indices
Beran, Jan; Feng, Yuanhua; Franke, Günter; Hess, Dieter; … - 1999
their potential usefulness for economic time series analysis is illustrated by analyzing several commodities, exchange rates …
Persistent link: https://www.econbiz.de/10011543928
Cover Image
On robust local polynomial estimation with long-memory errors
Beran, Jan; Feng, Yuanhua; Gosh, Sucharita; Sibbertsen, … - 2000
Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of …
Persistent link: https://www.econbiz.de/10011544323
Cover Image
Local polynomial estimation with a FARIMA-GARCH error process
Beran, Jan; Feng, Yuanhua - 1999
auxiliary result, the weak consistency of a weighted sum is obtained for second order stationary time series with short- or long …
Persistent link: https://www.econbiz.de/10011544427