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On properties of the second order generalized autoregressive GAR(2) model with index

Shitan, Mahendran; Peiris, Shelton - In: Mathematics and Computers in Simulation (MATCOM) 80 (2009) 2, pp. 367-377

In this paper we consider a new class of time series models generated by a second order autoregressive type operator with an index. Autocorrelation and spectral properties are discussed and some explicit results are derived for a restricted class in the family. The parameter estimation is...

Persistent link: https://www.econbiz.de/10010750063

On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method

Li, Linyuan; Yao, Shan; Duchesne, Pierre - In: Computational Statistics & Data Analysis 70 (2014) C, pp. 308-327

Test procedures for serial correlation of unknown form with wavelet methods are investigated. A new test statistic is … that the choice of the wavelet function is not critical. Under the null hypothesis of no serial correlation, the asymptotic … alternatives, the wavelet-based method is consistent against serial correlation of unknown form. The test statistic is expected to …

Persistent link: https://www.econbiz.de/10010719658

Large deviations for posterior distributions on the parameter of a multivariate <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\text{ AR}(p)$$</EquationSource> </InlineE...

Macci, Claudio; Trapani, Stefano - In: Annals of the Institute of Statistical Mathematics 65 (2013) 4, pp. 703-719

We prove the large deviation principle for the posterior distributions on the (unknown) parameter of a multivariate autoregressive process with i.i.d. Normal innovations. As a particular case, we recover a previous result for univariate first-order autoregressive processes. We also show that the...

Persistent link: https://www.econbiz.de/10011000077

Spectral density of Markov-switching VARMA models

Cavicchioli, Maddalena - In: Economics Letters 121 (2013) 2, pp. 218-220

We review the main results of Francq and Zakoïan (2001) on stationarity and the autocovariance function for Markov-switching VARMA models. Then we derive a formula in closed form for the spectral density of such models, and describe some new properties of it. Our results improve those obtained...

Persistent link: https://www.econbiz.de/10011041786

Factor models in high-dimensional time series—A time-domain approach

Hallin, Marc; Lippi, Marco - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2678-2695

High-dimensional time series may well be the most common type of dataset in the so-called “big data” revolution, and have entered current practice in many areas, including meteorology, genomics, chemometrics, connectomics, complex physics simulations, biological and environmental research,...

Persistent link: https://www.econbiz.de/10011065016

Choice of Spectral Density Estimator in Ng-Perron Test: Comparative Analysis

Malik, Muhammad Irfan; Rehman, Atiq-ur- - Volkswirtschaftliche Fakultät, … - 2014

Ng and Perron (2001) designed a unit root test which incorporates the properties of DF-GLS and Phillips Perron test. Ng and Perron claim that the test performs exceptionally well especially in the presence of negative moving average. However, the performance of test depends heavily on the choice...

Persistent link: https://www.econbiz.de/10011112144

A note on using periodogram-based distances for comparing spectral densities

Jentsch, Carsten; Pauly, Markus - In: Statistics & Probability Letters 82 (2012) 1, pp. 158-164

Motivated by a recent paper of Caiado et al. (2009), we investigate testing problems for spectral densities of time series with unequal sample sizes. We thereby focus on analyzing their mathematical properties and illustrate our results in a small simulation study.

Persistent link: https://www.econbiz.de/10011039786

Comparing spectral densities of stationary time series with unequal sample sizes

Preuß, Philip; Hildebrandt, Thimo - In: Statistics & Probability Letters 83 (2013) 4, pp. 1174-1183

This paper deals with the comparison of stationary processes with unequal sample sizes. We provide a detailed theoretical framework on a test for equality of spectral densities in the bivariate case, after which the generalization of our approach to the m-dimensional case and to other...

Persistent link: https://www.econbiz.de/10011039847

Local Whittle likelihood estimators and tests for non-Gaussian stationary processes

Naito, Tomohito; Asai, Kohei; Amano, Tomoyuki; … - In: Statistical Inference for Stochastic Processes 13 (2010) 3, pp. 163-174

Persistent link: https://www.econbiz.de/10008775916

Transfer Functions

Pollock, David Stephen - Department of Economics, Leicester University - 2011

In statistical time-series analysis, signal processing and control engineering, a transfer function is a mathematical relationship between a numerical input to a dynamic system and the resulting output. The theory of transfer functions describes how the input/output relationship is affected by...

Persistent link: https://www.econbiz.de/10008799943