In this thesis, a new univariate-multivariate portmanteau test is derived. The proposed test statistic can be used for diagnostic checking ARMA, VAR, FGN, GARCH, and TAR time series models as well as for checking randomness of series and goodness-of- fit VAR models with stable Paretian errors....

Baigiamajame magistro darbe nagrinėjami pagrindiniai Baltijos šalių – Lietuvos, Latvijos ir Estijos makroekonominiai rodikliai. Aprašytos Baltijos šalių ūkio dinamikos ir raidos tendencijos. Atlikta pirminė statistinių duomenų analizė, kurios metu nustatyti pagrindinių Baltijos...

Modern societies are facing energy and environmental challenges. In a framework of climate change, escalating global energy consumption, declining fossil sources and uncertainties regarding future supply, one key question of the 21st century is how to secure a clean and efficient power...

Aimed at providing the anticipatory ability for the proactive traffic control systems, a new adaptive online short-term univariate traffic condition forecasting method is presented in this dissertation by assimilating knowledge from previous research. Using 15-minute traffic flow series as a...

The stylized fact of time-varying volatility in financial series is commonly accepted amongst scholars as well as practitioners. The GARCH model has been exceptionally successful in this area. Our approach, the minimally cross-entropic conditional density (MCECD) model, is a generalization of...

Motivated by the problem of setting prediction intervals in time series analysis, we suggest two new methods for conditional distribution estimation. The first method is based on locally fitting a logistic model and is in the spirit of recent work on locally parametric techniques in density...

In this thesis we study three basic issues related to international black tea markets: Are black tea markets integrated? Where is the price of black tea discovered? Are there leaders and followers in black tea markets? We use two statistical techniques as engines of analysis. First, we use time...

This paper uncovers the relationship between stock markets and exchange ratesin seven countries by employing stable aggregate currency (SAC) for the period of 1973-2004. Ordinary Least Squares (OLS) regression, time series methods, and directedacyclic graphs are applied to the daily data on...