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  • Search: subject:"AR(1) models"
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AR(1) models 2 Characterization of distributions 1 Time series 1 binomial AR(1) models 1 case study 1 control charts 1 normal outlier tests 1 short time series 1 statistical process control 1
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Undetermined 3
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Article 3
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Undetermined 3
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Caroni, Chrysseis 1 Karioti, Vassiliki 1 Moriña, D. 1 Puig, P. 1 Valero, J. 1 Weiss, Christian 1
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Journal of Applied Statistics 1 Metrika 1 Statistical Papers / Springer 1
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RePEc 3
Showing 1 - 3 of 3
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A characterization of the innovations of first order autoregressive models
Moriña, D.; Puig, P.; Valero, J. - In: Metrika 78 (2015) 2, pp. 219-225
Suppose that <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$Y_t$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mi>Y</mi> <mi>t</mi> </msub> </math> </EquationSource> </InlineEquation> follows a simple AR(1) model, that is, it can be expressed as <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$Y_t= \alpha Y_{t-1} + W_t$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <msub> <mi>Y</mi> <mi>t</mi> </msub> <mo>=</mo> <mi mathvariant="italic">α</mi> <msub> <mi>Y</mi> <mrow> <mi>t</mi> <mo>-</mo> <mn>1</mn> </mrow> </msub> <mo>+</mo> <msub> <mi>W</mi> <mi>t</mi> </msub> </mrow> </math> </EquationSource> </InlineEquation>, where <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$W_t$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mi>W</mi> <mi>t</mi> </msub> </math> </EquationSource> </InlineEquation> is a white noise with mean equal to <InlineEquation ID="IEq4"> <EquationSource Format="TEX">$$\mu $$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi mathvariant="italic">μ</mi> </math> </EquationSource> </InlineEquation> and variance <InlineEquation ID="IEq5"> <EquationSource Format="TEX">$$\sigma ^2$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msup> <mi mathvariant="italic">σ</mi> <mn>2</mn> </msup> </math> </EquationSource> </InlineEquation>. There are...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>
Persistent link: https://www.econbiz.de/10011151392
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Monitoring correlated processes with binomial marginals
Weiss, Christian - In: Journal of Applied Statistics 36 (2009) 4, pp. 399-414
Few approaches for monitoring autocorrelated attribute data have been proposed in the literature. If the marginal process distribution is binomial, then the binomial AR(1) model as a realistic and well-interpretable process model may be adequate. Based on known and newly derived statistical...
Persistent link: https://www.econbiz.de/10004992274
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Simple detection of outlying short time series
Karioti, Vassiliki; Caroni, Chrysseis - In: Statistical Papers 45 (2004) 2, pp. 267-278
Persistent link: https://www.econbiz.de/10008486790
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