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statistics & probability (22) 22
62m10 (13) 13
60g10 (10) 10
time series (10) 10
statistics (7) 7
economic models (6) 6
mathematics - probability (6) 6
mathematics - statistics theory (6) 6
time series models (6) 6
ergodic theory (5) 5
time-series (5) 5
ergodicity (4) 4
estimators (4) 4
long memory (4) 4
secondary 60g10 (4) 4
60j05 (3) 3
62f05 (3) 3
91b84 (3) 3
convergence (3) 3
dependence (3) 3
mathematics (3) 3
primary 62m10 (3) 3
regression (3) 3
studies (3) 3
62f05, 62m10 60g10 (2) 2
autoregressive models (2) 2
autoregressive moving average (2) 2
clines (2) 2
covariance (2) 2
critical values (2) 2
fractal activity time (2) 2
fractional arima processes (2) 2
garch processes (2) 2
heavy tails (2) 2
integers (2) 2
kernel (2) 2
limit theory (2) 2
local dependence (2) 2
markov chains (2) 2
mathematical analysis (2) 2
mathematical theorems (2) 2
mathematical vectors (2) 2
mathematics, applied (2) 2
mathematics, interdisciplinary applications (2) 2
models (2) 2
moving averages (2) 2
nonlinear time series (2) 2
nonparametric estimation (2) 2
parameter (2) 2
parametric models (2) 2
partial autocorrelation functions (2) 2
polynomials (2) 2
positive harmonic-functions (2) 2
primary 62m10; secondary 60g10 (2) 2
primary: 60g10 (2) 2
probability theory and stochastic processes (2) 2
random variables (2) 2
random-variables (2) 2
sample autocovariance (2) 2
statistical theories (2) 2
statistics, general (2) 2
stochastic models (2) 2
stochastic volatility (2) 2
time-series models (2) 2
verblunsky coefficients (2) 2
60b20 60f05, 60g10, 60g70, 62m10 (1) 1
60f05 (1) 1
60g10, 60j05 62m10, 91b84 (1) 1
60g10, 60j05 62m10, 91b84. (1) 1
60g10, 62m10 60f05 (1) 1
60g51 (1) 1
60g52 (1) 1
60g55 (1) 1
62f05, 62m10 (1) 1
62g05 (1) 1
62g35 (1) 1
62h20 (1) 1
62m10, 60e10 60f05 60g10 62h15 62g20 (1) 1
62m15 (1) 1
62m15, 62m10, 60g10 (1) 1
adaptive estimation (1) 1
aic (1) 1
algorithms (1) 1
all-pass time series models (1) 1
alpha-stable law (1) 1
análise de séries temporais (1) 1
ar process (1) 1
arch (1) 1
arma (1) 1
asymptotic normality (1) 1
asymptotic-behavior (1) 1
auto (1) 1
auto- and cross-distance correlation function (1) 1
autocorrelations (1) 1
autocovariance (1) 1
autoregressive model (1) 1
autoregressive process (1) 1
band (1) 1
bandwidth (1) 1
baxter's condition (1) 1
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Bernoulli, ISSN 1350-7265, 11/2018, Volume 24, Issue 4A, pp. 2429 - 2460
The use of empirical characteristic functions for inference problems, including estimation in some special parametric settings and testing for goodness of fit,... 
Auto | Testing independence | AR process | Time series | U-statistics | Ergodicity | Fourier analysis | Residuals | Cross-distance correlation function | Strong mixing | STATISTICS | BEHAVIOR | time series | STATISTICS & PROBABILITY | residuals | DEPENDENCE | auto- and cross-distance correlation function | EMPIRICAL CHARACTERISTIC FUNCTION | testing independence | COVARIANCE | strong mixing | ergodicity
Journal Article
Bernoulli, ISSN 1350-7265, 05/2018, Volume 24, Issue 2, pp. 1351 - 1393
Journal Article
Journal of Difference Equations and Applications, ISSN 1023-6198, 04/2018, Volume 24, Issue 4, pp. 520 - 542
We study solution of the stochastic equation where A is a random matrix and B, X are random vectors, the law of (A, B) is given and X is independent of (A, B).... 
Primary: 60G10 | 62M10 | multivariate affine stochastic equation | Matrix recursion | triangular matrices | Secondary: 60B20 | regular behavior at infinity | 60J05 | 91B84 | stationary solution | MATHEMATICS, APPLIED | TAIL BEHAVIOR | STATIONARY MEASURES | RANDOM DIFFERENCE-EQUATIONS | Matrix algebra | Mathematical analysis | Formulas (mathematics) | Matrix methods
Journal Article
The Annals of Statistics, ISSN 0090-5364, 6/2007, Volume 35, Issue 3, pp. 1213 - 1237
Journal Article
Journal Article
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 09/2015, Volume 44, Issue 18, pp. 3921 - 3941
This article presents a new test for discerning whether or not two independent autoregressive moving average (ARMA) processes have the same autocovariance... 
Primary 62M10; Secondary 60G10 | ARMA | Bounded area | Autocovariance | STATISTICS & PROBABILITY | Statistical analysis | Dynamics | Mathematical analysis | Samples | Time series | Autoregressive moving average | Segments | Statistics
Journal Article
Communications in Statistics - Simulation and Computation, ISSN 0361-0918, 09/2016, Volume 45, Issue 8, pp. 2792 - 2809
The curve of correlation is a measure of local correlation between two random variables X and Y at the point X = x of the support of this variable. This... 
Primary 62G05 | 62M10 | Time series | Nonparametric estimation | 62H20 | Secondary 60G10 | Kernel | Local dependence | REGRESSION | STATISTICS & PROBABILITY | VARIANCE | BANDWIDTH | DEPENDENCE | Random variables | Kernels | Computer simulation | Correlation analysis | Stochastic processes | Consistency | Polynomials | Estimators
Journal Article
Electronic Journal of Statistics, ISSN 1935-7524, 2013, Volume 7, Issue 1, pp. 533 - 561
We consider high-frequency sampled continuous-time autoregressive moving average (CARMA) models driven by finite-variance zero-mean Levy processes. An... 
Discretely sampled process | Noise recovery | High-frequency data | Lévy process | CARMA process | noise recovery | discretely sampled process | Levy process | STOCHASTIC VOLATILITY MODELS | high-frequency data | STATISTICS & PROBABILITY
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 11/2015, Volume 44, Issue 21, pp. 4651 - 4661
For the class of autoregressive-moving average (ARMA) processes, we examine the relationship between the dual and the inverse processes. It is demonstrated... 
Primary 62M10; Secondary 60G10 | Inverse and dual processes | Inverse and ordinary autocorrelations | Non linear time series | Time reversibility | Weak ARMA models | All-pass time series models | AUTOCORRELATIONS | VIDEO | STATISTICS & PROBABILITY | Economic models | Time series
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 01/2009, Volume 38, Issue 4, pp. 447 - 460
The binomial AR(1) model of McKenzie ( 1985 ) for time series of binomial counts has a well-interpretable structure and applies well to several real-world... 
Primary 62M10 | INARMA models | Secondary 60G10 | Binomial AR(p) models | Binomial thinning | STATISTICS & PROBABILITY | SELF-DECOMPOSABILITY | MARKOV-PROCESSES
Journal Article
Journal of Theoretical Probability, ISSN 0894-9840, 3/2016, Volume 29, Issue 1, pp. 63 - 95
Journal Article
The Annals of Applied Probability, ISSN 1050-5164, 11/2004, Volume 14, Issue 4, pp. 1920 - 1949
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 10/2011, Volume 40, Issue 19-20, pp. 3509 - 3523
A new, tractable model of the stock price due to Heyde ( 1999 ) (see also Heyde and Leonenko, 2005 ) is elaborated here and used for asset price movement. The... 
Fractal activity time | Geometric Brownian motion model | Risky asset model | Student process | Primary 60G10, 62M10 | Secondary 60E99, 60F05, 60F99 | Studies | Economic models | Economic theory | Dependence
Journal Article
Statistics and Probability Letters, ISSN 0167-7152, 2012, Volume 82, Issue 2, pp. 403 - 410
We prove a representation of the partial autocorrelation function (PACF) of a stationary process, or of the Verblunsky coefficients of its normalized spectral... 
Verblunsky coefficients | Phase functions | Long memory | FARIMA processes | Partial autocorrelation functions | FRACTIONAL ARIMA PROCESSES | POSITIVE HARMONIC-FUNCTIONS | STATISTICS & PROBABILITY
Journal Article
Stochastic Analysis and Applications, ISSN 0736-2994, 05/2012, Volume 30, Issue 3, pp. 476 - 492
Risky asset models with the dependence through fractal activity time are described. The construction of the fractal activity time is implemented via... 
62M10 | Normal inverse Gaussian distribution | Fractal activity time | Primary 60G18 | Variance Gamma distribution | Lévy noise | Geometric Brownian motion | Secondary 60G10 | Ornstein-Uhlenbeck type processes | Self-similarity | MATHEMATICS, APPLIED | ORNSTEIN-UHLENBECK PROCESSES | STATISTICS & PROBABILITY | DRIVEN | Levy noise | STUDENT | FINANCE
Journal Article
The Annals of Applied Probability, ISSN 1050-5164, 11/2006, Volume 16, Issue 4, pp. 2256 - 2271
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 09/2010, Volume 39, Issue 19, pp. 3504 - 3512
This article proposes a subclass of stationary Gaussian or elliptically contoured random fields whose covariance functions are isotropic and are the linear... 
Primary 60G12 | Spartan random field | Covariance | Isotropic | Secondary 60G10, 60G60, 62M10, 62M30 | Stationary | Positive definite | MODELS | STATISTICS | STATISTICS & PROBABILITY | Statistics | Correlation
Journal Article
Journal of Applied Statistics, ISSN 0266-4763, 02/2011, Volume 38, Issue 2, pp. 261 - 271
In this work, we analyze the long-range dependence parameter for a nucleotide sequence in several different transformations. The long-range dependence... 
generalized pareto distribution | Primary: 60G10 | 62G05 | 62M10 | 62M15 | long memory models | hill estimator | Secondary: 62M20 | 62G35 | α-stable law | Generalized pareto distribution | Long memory models | Hill estimator | SAMPLE | LONG-RANGE CORRELATION | alpha-stable law | TIME-SERIES | STATISTICS & PROBABILITY | FEATURES
Journal Article
Sankhyā: The Indian Journal of Statistics, Series B (2008-), ISSN 0976-8386, 5/2013, Volume 75, Issue 1, pp. 42 - 64
Different from measures of global dependence, measures of local dependence evaluate the dependence along the support of the variables. The aim of this paper is... 
Time dependence | Error rates | Gaussian distributions | Correlations | Correlation coefficients | Time series | Stationary processes | Estimators | Consistent estimators | Contour lines | Primary 62G05, 62M10 | kernel | nonparametric estimation | time series | Secondary 60G10, 62H20 | Statistics, general | Statistics | Local dependence
Journal Article
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