Search Results - subject:"Linear processes"

Asymptotic behavior of central order statistics from stationary processes

Dembińska, Anna - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 348-372

linear processes with both absolutely continuous and discrete innovations. …

Persistent link: https://www.econbiz.de/10011064987

Summability of stochastic processes : a generalization of integration for non-linear processes

Berenguer-Rico, Vanessa; Gonzalo, Jesús - In: Journal of econometrics 178 (2014) 1, pp. 331-341

Persistent link: https://www.econbiz.de/10010256847

Nonparametric Estimation of Conditional Medians for Linear and Related Processes

Honda, Toshio - Graduate School of Economics, Hitotsubashi University - 2007

from two mutually independent linear processes. The linear processes may show long-range dependence.The estimator of the …

Persistent link: https://www.econbiz.de/10004992563

Nonparametric Density Estimation for Linear Processes with Infinite Variance

Honda, Toshio - Graduate School of Economics, Hitotsubashi University - 2006

We consider nonparametric estimation of marginal density functions of linear processes by using kernel density … asymptotic distributions depend on both the coefficients of linear processes and the tail behavior of the innovations. In some …

Persistent link: https://www.econbiz.de/10004992572

Block sampling under strong dependence

Zhang, Ting; Ho, Hwai-Chung; Wendler, Martin; Wu, Wei Biao - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2323-2339

by Hall et al. (1998) [11] on functionals of Gaussian processes and Nordman and Lahiri (2005) [16] on linear processes …. In particular, we allow nonlinear transforms of linear processes. Under suitable conditions on physical dependence …

Persistent link: https://www.econbiz.de/10011065039

Distribution free goodness-of-fit tests for linear processes

Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos - London School of Economics (LSE) - 2005

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett’s...

Persistent link: https://www.econbiz.de/10010928781

Distribution Free Goodness-of-Fit Tests for Linear Processes

Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos - Suntory and Toyota International Centres for Economics … - 2005

Distribution Free Goodness-of-Fit Tests for Linear Processes* by Miguel A. Delgado Universidad Carlos III …; spectral distribution; linear processes; martingale decomposition; local alternatives; omnibus, smooth and directional tests …- tle estimator θ T and they are satisfied for all parametric linear processes used in practice. Standard ARMA models …

Persistent link: https://www.econbiz.de/10005151148

Efficient algorithm for estimating the parameters of a chirp signal

Lahiri, Ananya; Kundu, Debasis; Mitra, Amit - In: Journal of Multivariate Analysis 108 (2012) C, pp. 15-27

Chirp signals play an important role in the statistical signal processing. Recently Kundu and Nandi (2008) [8] derived the asymptotic properties of the least squares estimators of the unknown parameters of the chirp signals model in the presence of stationary noise. Unfortunately they did not...

Persistent link: https://www.econbiz.de/10010572286

Monitoring parameter change in time series models

Na, Okyoung; Lee, Youngmi; Lee, Sangyeol - In: Statistical Methods and Applications 20 (2011) 2, pp. 171-199

Persistent link: https://www.econbiz.de/10009149446

Comparing Several Parametric and Nonparametric Approaches to Time Series Clustering: A Simulation Study

Díaz, Sonia; Vilar, José - In: Journal of Classification 27 (2010) 3, pp. 333-362

Persistent link: https://www.econbiz.de/10008775695