Search Results - subject:"STATIONARITY"

Local block bootstrap inference for trending time series

Dowla, Arif; Paparoditis, Efstathios; Politis, Dimitris - In: Metrika 76 (2013) 6, pp. 733-764

Resampling for stationary sequences has been well studied in the last couple of decades. In the paper at hand, we focus on nonstationary time series data where the nonstationarity is due to a slowly-changing deterministic trend. We show that the local block bootstrap methodology is appropriate...

Persistent link: https://www.econbiz.de/10010896480

Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator

Douc, R.; Doukhan, P.; Moulines, E. - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2620-2647

This paper deals with a general class of observation-driven time series models with a special focus on time series of counts. We provide conditions under which there exist strict-sense stationary and ergodic versions of such processes. The consistency of the maximum likelihood estimators is then...

Persistent link: https://www.econbiz.de/10010875058

Asymptotic theory for maximum deviations of sample covariance matrix estimates

Xiao, Han; Wu, Wei Biao - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2899-2920

We consider asymptotic distributions of maximum deviations of sample covariance matrices, a fundamental problem in high-dimensional inference of covariances. Under mild dependence conditions on the entries of the data matrices, we establish the Gumbel convergence of the maximum deviations. Our...

Persistent link: https://www.econbiz.de/10010875059

Inference in Non Stationary Asymmetric Garch Models

Francq, Christian; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2013

presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity condition is not … parameter, including the power but without the intercept, when strict stationarity does not hold. Two important issues can be … tested in this framework: asymmetry and stationarity. The tests exploit the existence of a universal estimator of the …

Persistent link: https://www.econbiz.de/10010857716

Economic integration and the foreign exchange

Weber, Enzo - In: International Economics and Economic Policy 10 (2013) 2, pp. 201-215

This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...

Persistent link: https://www.econbiz.de/10010865003

Multi-horizon solar radiation forecasting for Mediterranean locations using time series models

Voyant, Cyril; Paoli, Christophe; Muselli, Marc; Nivet, … - In: Renewable and Sustainable Energy Reviews 28 (2013) C, pp. 44-52

pre-processing (stationarity) we find it is not easy to differentiate between autoregressive moving average (ARMA) and … the existing prediction techniques with innovative tools: stationarity, numerical weather prediction combination, MLP and …

Persistent link: https://www.econbiz.de/10011049253

GARCH models without positivity constraints: Exponential or log GARCH?

Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of Econometrics 177 (2013) 1, pp. 34-46

multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity …

Persistent link: https://www.econbiz.de/10011052251

Inference for variograms

Bowman, Adrian W.; Crujeiras, Rosa M. - In: Computational Statistics & Data Analysis 66 (2013) C, pp. 19-31

provides an illustration of this. The suitability of simplifying assumptions such as isotropy and stationarity can then also be …

Persistent link: https://www.econbiz.de/10011056394

GARCH models without positivity constraints: Exponential or Log GARCH?

Zakoïan, Jean-Michel; Wintenberger, Olivier; Francq, … - Université Paris-Dauphine (Paris IX) - 2013

multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity …

Persistent link: https://www.econbiz.de/10011072512

Nonparametric pseudo-Lagrange multiplier stationarity testing

Landajo, Manuel; Presno, María - In: Annals of the Institute of Statistical Mathematics 65 (2013) 1, pp. 125-147

The framework of stationarity testing is extended to allow a generic smooth trend function estimated nonparametrically …

Persistent link: https://www.econbiz.de/10011000088