Search Results - subject:"Spectral density"

Factorization of a spectral density with smooth eigenvalues of a multidimensional stationary time series

Szabados, Tamás - In: Econometrics : open access journal 11 (2023) 2, pp. 1-11

density. A spectral density with smooth eigenvalues and H∞ eigenvectors gives an explicit method to factorize the spectral …The aim of this paper to give a multidimensional version of the classical one-dimensional case of smooth spectral … density and compute the Wold representation of a weakly stationary time series. A formula, similar to the Kolmogorov …

Persistent link: https://www.econbiz.de/10014362622

Gaussian semiparametric estimation of two-dimensional intrinsically stationary

Yajima, Yoshihiro; Matsuda, Yassumasa - 2023

Persistent link: https://www.econbiz.de/10014390443

On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison

Shi, Shuping; Yu, Jun; Zhang, Chen - 2023

Persistent link: https://www.econbiz.de/10014320456

Uncovering hidden insights with long-memory process detection : an in-depth overview

Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15

Long-memory models are frequently used in finance and other fields to capture long-range dependence in time series data. However, correctly identifying whether a process has long memory is crucial. This paper highlights a significant limitation in using the sample autocorrelation function (ACF)...

Persistent link: https://www.econbiz.de/10014335857

Nonparametric prediction with spatial data

Gupta, Abhimanyu; Hidalgo, Javier - 2022

Persistent link: https://www.econbiz.de/10014429995

Simulation of the electrical signal of the muscles to obtain the electromiosignal spectrum

Yeroshenko, Olha; Prasol, Igor - In: Technology audit and production reserves 2 (2022) 2/64, pp. 38-43

Persistent link: https://www.econbiz.de/10013325873

Simultaneous inference for autocovariances based on autoregressive sieve bootstrap

Braumann, Alexander; Kreiss, Jens‐Peter; Meyer, Marco - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 534-553

the question can be answered positively. Moreover, potential applications including spectral density estimation and an …

Persistent link: https://www.econbiz.de/10014485860

Characterising cycles exhibited by important financial sections in the South African economy

Wet, Milan C. de; Botha, Ilse - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012018957

Kernel block bootstrap

Parente, Paulo M. D. C.; Smith, Richard J. - 2018

This article introduces and investigates the properties of a new bootstrap method for time-series data, the kernel block bootstrap. The bootstrap method, although akin to, offers an improvement over the tapered block bootstrap of Paparoditis and Politis (2001), admitting kernels with unbounded...

Persistent link: https://www.econbiz.de/10011941512

Kernel block bootstrap

Parente, Paulo M. D. C.; Smith, Richard J. - 2018 - This draft: July 2018

Persistent link: https://www.econbiz.de/10011878210