An approach to exponential smoothing that relies on a linear single source of error state space model is outlined. A maximum likelihood method for the estimation of associated smoothing parameters is developed. Commonly used restrictions on the smoothing parameters are rationalised. Issues surrounding model identi…cation and selection are also considered. It is argued that the proposed revised ...

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on d̂ is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically ...

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain efficient estimates of...

The paper presents an analysis of the seasonality of Italian daily electricity prices. Since the correct detection of the nature, stochastic or probabilistic, of the seasonality is crucial in ARIMA modeling, a test that allows such detection is presented. The application of this test to the Italian daily prices in the years 2008-11 has pointed to the presence of deterministic seasonality in the...

This article analyses the school performance of migrants dependent on peer groups in different international schooling environments. Using data from the international OECD PISA test, we consider social interaction within and between groups of natives and migrants. Results based on social multipliers (Glaeser et al. 2000, 2003) suggest that both native-tonative and migrant-to-migrant peer effect...

We establish the rate of growth of the length of long strange intervals in an innnite moving average process whose coeecients are regularly varying at innnity. We compute the limiting distribution of the appropriately normalized length of such intervals. The rate of growth of the length of long strange intervals turns out to change dramatically once the exponent of regular variation of the coee...

Hyperbolic systems of conservation laws augumented with an entropy inequality are studied. It is shown that such systems can be written in a (quasilinear) skewselfndjoint form. Centered differencing of such a form under the smooth regime ends up with a systematic recipe for constructing quasiconservative schemes where the global entropy conservation is recovered. Employing the above formulation...

We investigate the first-order threshold moving-average model. We obtain a sufficient condition for a unique strictly stationary and ergodic solution of the model without the need to check irreducibility. We also establish necessary and sufficient conditions for its invertibility of first-order . Furthermore, we discuss the extension of the results to the first-order multiple threshold moving-a...

Let {εi : −∞ < i < ∞} be a strictly stationary sequence of linearly positive quadrant dependent random variables and P∞ i=−∞ |ai| < ∞. In this paper, we prove the precise asymptotics in the law of iterated logarithm for the moment convergence of moving-average process of the form Xk = P∞ i=−∞ ai+kεi, k ≥ 1.

In many scenarios, a contingent data source may benefit by coordinating with external heterogeneous sources upon which it depends. The administrator of this contingent source needs to update it when changes are made to the external base sources. For example, when a building design is updated, the contractor’s cost estimate must be updated, too. The goal of data coordination is to update a conti...