Search Results - subject:"AR(1) process"

A note on the early warning system of change points : combination of regime switching and threshold models

Habibi, Reza - In: Financial studies 28 (2024) 2, pp. 6-18

underlying process for change detection obeys an AR(1) process. States are latent variables specifying whether a special time …

Persistent link: https://www.econbiz.de/10015065127

On autoregressive processes with Lindley-distributed innovations : modeling and simulation

Nitha, K. U.; Krishnarani, S. D. - In: Statistics in transition : an international journal of … 25 (2024) 3, pp. 31-47

In this paper, we develop an autoregressive process of order one, assuming that the innovation random variable has a Lindley distribution. The key properties of the process are investigated. Five distinct estimation techniques are used to estimate the parameters and simulation studies are...

Persistent link: https://www.econbiz.de/10015127210

Estimating a gradual parameter change in an AR(1)-process

Hušková, Marie; Prášková, Zuzana; Steinebach, Josef G. - In: Metrika 85 (2021) 7, pp. 771-808

Persistent link: https://www.econbiz.de/10014497477

A Note on Modelling Dynamics in Happiness Estimations

Piper, Alan - Volkswirtschaftliche Fakultät, … - 2013

modelling dynamics two ways the note discusses are via a lagged dependent variable, and via an AR(1) process. The usefulness and …

Persistent link: https://www.econbiz.de/10011112322