منابع مشابه
Lecture 2 : ARMA Models ∗ 1 ARMA Process
As we have remarked, dependence is very common in time series observations. To model this time series dependence, we start with univariate ARMA models. To motivate the model, basically we can track two lines of thinking. First, for a series xt, we can model that the level of its current observations depends on the level of its lagged observations. For example, if we observe a high GDP realizati...
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This paper established the ARMA-GJR-AL model of dynamic risk VaR and CVaR measurement. Considering from aspects of the correlation and volatility and residual distribution characteristics, studying the dynamic risk measures of VaR and CVaR based on ARMA-GJR-AL model. Through empirical research, Risk prediction and accuracy of inspection are given of the Shanghai stock market and the New York st...
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This paper presents a unified framework of stationary ARMA processes for discrete-valued time series based on Pegram’s [Pegram, G.G.S., 1980. An autoregressive model for multilag markov chains. J. Appl. Probab. 17, 350–362] mixing operator. Such a stochastic operator appears to be more flexible than the currently popular thinning operator to construct Box and Jenkins’ type stationary ARMAproces...
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Using a perturbation matrix, we introduced a hyperplane used to define a generalized null-spectrum, based on both the signal and noise subspaces, while the MUSIC and Min-Norm null-spectra are defined based only on the noise subspace. With the generalized nullspectrum, we derived the upper and lower bounds of a class of the generalized null-spectrum, called the maximum and minimum null-spectra, ...
متن کاملRobust Estimation for Arma Models
This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where ...
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ژورنال
عنوان ژورنال: Annales de Bretagne et des pays de l'Ouest
سال: 2011
ISSN: 0399-0826,2108-6443
DOI: 10.4000/abpo.2141