Identification of multivariate AR-models by threshold accepting
نویسندگان
چکیده
منابع مشابه
a weighted pairwise likelihood approach to multivariate ar(1) models
in this paper, the use of weighted pairwise likelihood instead of the full likelihood in estimating the parameters of the multivariate ar(1) is investigated. a closed formula for typical elements of the godambe information(sandwich information) is presented. some efficiency calculations are also given to discuss the feasibility andcomputational advantages of the weighted pairwise likelihood app...
متن کاملTesting and Modeling Multivariate Threshold Models
Threshold autoregressive models in which the process is piecewise linear in the threshold space have received much attention in recent years. In this paper, we use predictive residuals to construct a test statistic to detect threshold nonlinearity in a vector time series and propose a procedure for building a multivariate threshold model. The thresholds and the model are selected jointly based ...
متن کاملthe application of multivariate probit models for conditional claim-types (the case study of iranian car insurance industry)
هدف اصلی نرخ گذاری بیمه ای تعیین نرخ عادلانه و منطقی از دیدگاه بیمه گر و بیمه گذار است. تعین نرخ یکی از مهم ترین مسایلی است که شرکتهای بیمه با آن روبرو هستند، زیرا تعیین نرخ اصلی ترین عامل در رقابت بین شرکتها است. برای تعیین حق بیمه ابتدا می باید مقدار مورد انتظار ادعای خسارت برای هر قرارداد بیمه را برآورد کرد. روش عمومی مدل سازی خسارتهای عملیاتی در نظر گرفتن تواتر و شدت خسارتها می باشد. اگر شر...
15 صفحه اولFitness threshold accepting over extremal optimization ranks.
We treat the problem of selecting the next degree of freedom for update in an extremal optimization algorithm designed to find the ground state of a system with a complex energy landscape. We show that there exists a best distribution for selecting the next degree of freedom in order to optimize any linear function of the state probabilities, e.g., the expected number of visits to the ground st...
متن کاملA Framework for Identification The Effective Factors In Accepting The Accepting The Electronic Word Of Mouth Advertising In Instagram
Nowadays, people rely mostly on the information gathered through word of mouth regarding the purchase of products of using services. On the other hand, due to the expansion of social networks among people and its daily usage in society, these advertisements are mostly published in social networks. However, not all these advertisements are accepted by the audiences. Therefore, the aim of this st...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 1995
ISSN: 0167-9473
DOI: 10.1016/0167-9473(94)00041-g