المؤلفون: Morvai, Gusztáv, Weiss, Benjamin

مصطلحات موضوعية: keyword:nonparametric estimation, keyword:stationary processes, msc:60G10, msc:60G25, msc:62G05

وصف الملف: application/pdf

Relation: mr:MR4332885; zbl:Zbl 07478632; reference:[1] Algoet, P.: The strong law of large numbers for sequential decisions under uncertainty.IEEE Trans. Inform. Theory 40 (1994), 609-633.; reference:[2] Algoet, P.: Universal schemes for learning the best nonlinear predictor given the infinite past and side information.IEEE Trans. Inform. Theory 45 (1999), 1165-1185. Zbl 0959.62078; reference:[3] Bailey, D. H.: Sequential Schemes for Classifying and Predicting Ergodic Processes.Ph.D. Thesis, Stanford University, 1976.; reference:[4] Csiszár, I., Talata, Zs.: Context tree estimation for not necessarily finite memory processes via BIC and MDL.IEEE Trans. Inform. Theory 52 (2006), 3, 1007-1016.; reference:[5] Györfi, L., Morvai, G., Yakowitz, S.: Limits to consistent on-line forecasting for ergodic time series.IEEE Trans. Inform. Theory 44 (1998), 886-892. Zbl 0899.62122, MR 1607704; reference:[6] Hoeffding, W.: Probability inequalities for sums of bounded random variables.J. Amer. 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الاتاحة: http://hdl.handle.net/10338.dmlcz/149212

المؤلفون: Morvai, Gusztáv, Weiss, Benjamin

مصطلحات موضوعية: keyword:nonparametric estimation, keyword:continuous time stationary processes, msc:60G10, msc:60G25, msc:62G05

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/148308

المؤلفون: Aliat, Billel, Hamdi, Fayçal

مصطلحات موضوعية: keyword:Markov-switching models, keyword:periodic $GARCH$ models, keyword:periodic stationarity, keyword:higher-order moments, keyword:Markov-switching $PGARCH$ models, keyword:$GMM$ method, msc:60G10, msc:62M10

وصف الملف: application/pdf

Relation: mr:MR4077137; zbl:Zbl 07217219; reference:[1] A., Aknouche,, M., Bentarzi,: On the existence of higher-order moments for periodic $GARCH$ models.Statist. Probab. Lett. 78 (2008), 3262-3268. MR 2479488, 10.1016/j.spl.2008.06.010; reference:[2] A., Aknouche,, A., Bibi,: Quasi-maximum likelihood estimation of periodic $GARCH$ and periodic $ARMA$-$GARCH$ processes.J. Time Series Anal. 28 (2009), 19-46. MR 2488634, 10.1016/j.spl.2008.06.010; reference:[3] A., Aknouche,, H., Guerbyenne,: Periodic stationarity of random coefficient periodic autoregressions.Statist. Probab. Lett. 79 (2009), 990-996. MR 2509491, 10.1016/j.spl.2008.12.012; reference:[4] B., Aliat,, F., Hamdi,: On markov-switching periodic $ARMA$ models.Comm. Statist. Theory Methods 47 (2018), 344-364. MR 3765077, 10.1080/03610926.2017.1303734; reference:[5] M., Augustyniak,: Maximum likelihood estimation of the Markov-switching $GARCH$ model.Comput. Statist. Data Anal. 76 (2014), 61-75. 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الاتاحة: http://hdl.handle.net/10338.dmlcz/148084

المؤلفون: Morita, Takehiko

مصطلحات موضوعية: keyword:strictly stationary process, keyword:martingale-coboundary decomposition, msc:28D05, msc:60G10, msc:60G42

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/147855

المؤلفون: Magiera, Wladyslaw, Libal, Urszula, Wielgus, Agnieszka

مصطلحات موضوعية: keyword:covariance matrix, keyword:higher-order statistics, keyword:adaptive, keyword:nonlinear, msc:15B05, msc:15B51, msc:60G10, msc:60G15, msc:93E24

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/147531

المؤلفون: Morvai, Gusztáv, Weiss, Benjamin

مصطلحات موضوعية: keyword:nonparametric estimation, keyword:stationary processes, msc:60G10, msc:60G25, msc:62G05

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/145780

المؤلفون: Roelly, Sylvie, Vallois, Pierre

مصطلحات موضوعية: msc:60G10, msc:60H10, Mathematics::Probability, msc:60G15, Institut für Mathematik, ddc:510, msc:60G17

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od_______266::30842ba60017b9516f5a2c25ce846242
https://publishup.uni-potsdam.de/files/9633/premath09.pdf

المؤلفون: Morvai, Gusztáv, Weiss, Benjamin

مصطلحات موضوعية: keyword:nonparametric estimation, keyword:stationary processes, msc:60G10, msc:60G25, msc:62G05

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/143061

المؤلفون: Prášková, Zuzana, Vaněček, Pavel

مصطلحات موضوعية: keyword:multivariate RCA models, keyword:parameter estimation, keyword:asymptotic variance matrix, msc:60F05, msc:60G10, msc:60G46, msc:62M10

وصف الملف: application/pdf

Relation: mr:MR2884857; zbl:Zbl 1226.62084; reference:[1] Aue, A., Horváth, L., Steinebach, J.: Estimation in random coefficient autoregressive models.J. Time Ser. Anal. 27 (2006), 60–67. Zbl 1112.62084, MR 2235147; reference:[2] Hwang, S. Y., Basawa, I. V.: Parameter estimation for generalized random coefficient autoregressive processes.J. Statist. Plann. Inference 68 (1998), 323–337. Zbl 0942.62102, MR 1629591, 10.1016/S0378-3758(97)00147-X; reference:[3] Berkes, I., Horváth, L., Ling, S.: Estimation in nonstationary random coefficient autoregressive models.J. Time Ser. Anal. 30 (2009), 395–416. Zbl 1224.62046, MR 2536060, 10.1111/j.1467-9892.2009.00615.x; reference:[4] Billingsley, P.: The Lindeberg–Lévy theorem for martingales.Proc. Amer. Math. Soc. 12 (1961), 788–792. Zbl 0129.10701, MR 0126871; reference:[5] Brandt, A.: The stochastic equation $Y_{n+1} = A_n Y_n + B_n$ with stationary coefficients.Adv. Appl. Probab. 18 (1986), 211–220. MR 0827336, 10.2307/1427243; reference:[6] Bougerol, P., Picard, N.: Strict stationarity of generalized autoregressive processes.Ann. Probab. 20 (1992), 1714–1730. Zbl 0763.60015, MR 1188039, 10.1214/aop/1176989526; reference:[7] Davidson, J.: Stochastic Limit Theory.Advanced Texts in Econometrics. Oxford University Press, Oxford 1994. MR 1430804; reference:[8] Feigin, P. D., Tweedie, R. L.: Random coefficient autoregressive processes: A Markov chain analysis of stationarity and finiteness of moments.J. Time Ser. Anal. 6 (1985), 1–14. Zbl 0572.62069, MR 0792428, 10.1111/j.1467-9892.1985.tb00394.x; reference:[9] Janečková, H., Prášková, Z.: CWLS and ML estimates in a heteroscedastic RCA(1) model.Statist. Decisions 22 (2004), 245–259. Zbl 1057.62071, MR 2125611, 10.1524/stnd.22.3.245.57064; reference:[10] Koul, H. L., Schick, A.: Adaptive estimation in a random coefficient autoregressive model.Ann. Statist. 24 (1996), 1025–1052. Zbl 0906.62087, MR 1401835, 10.1214/aos/1032526954; reference:[11] Nicholls, D. F., Quinn, B. G.: Random coefficient autoregressive models: An introduction.Lecture Notes in Statistics 11, Springer, New York 1982. Zbl 0497.62081, MR 0671255, 10.1007/978-1-4684-6273-9; reference:[12] Schick, A.: $\sqrt{n}$-consistent estimation in a random coefficient autoregressive model.Austral. J. Statist. 38 (1996), 155–160. MR 1442543, 10.1111/j.1467-842X.1996.tb00671.x; reference:[13] Schott, J.: Matrix Analysis for Statistics.Wiley Series in Probability and Statistics, Wiley, New York 1996. MR 2111601; reference:[14] Vaněček, P.: Rate of convergence for a class of RCA estimators.Kybernetika 6 (2006), 698–709. Zbl 1249.60034; reference:[15] Vaněček, P.: Estimators of multivariate RCA models.In: Bull. Internat. Statistical Institute LXII (M. I. Gomes at al., eds.), Instituto Nacional de Estatística, Lisbon 2007, pp. 4027–4030.; reference:[16] Vaněček, P.: Estimation of Random Coefficient Autoregressive Models.PhD Thesis, Charles University, Prague 2008.

الاتاحة: http://hdl.handle.net/10338.dmlcz/141654

المؤلفون: Došlá, Šárka, Anděl, Jiří

مصطلحات موضوعية: keyword:non-positive autocorrelations, keyword:linear process, msc:60G10, msc:60G99, msc:60K99, msc:62H20, msc:62M10

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/140055

المؤلفون: Hoffmann, Lars Michael

مصطلحات موضوعية: keyword:Boolean model, keyword:convex cylinder, keyword:direction distribution, keyword:least square estimator, keyword:parameter estimation, keyword:Poisson process, keyword:spherical measure, keyword:sine transform, msc:52A22, msc:60D05, msc:60G10, msc:62H11, msc:62M30, msc:65D15

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الاتاحة: http://hdl.handle.net/10338.dmlcz/140350

المؤلفون: Vaněček, Pavel

مصطلحات موضوعية: keyword:RCA, keyword:parameter estimation, keyword:rate of convergence, msc:60F05, msc:60G10, msc:62F10, msc:62M09, msc:62M10, msc:91B84

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/135745

المؤلفون: Marek, Tomáš

مصطلحات موضوعية: keyword:non-linear time series, keyword:invertibility, keyword:random coefficient moving average, msc:60G10, msc:62M09, msc:62M10

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/135690

المؤلفون: Anděl, Jiří, Ranocha, Pavel

مصطلحات موضوعية: keyword:absolute autoregression, keyword:stationary distribution, keyword:marginal distribution, msc:60G10, msc:62M05, msc:62M10

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/135689

المؤلفون: Šindelář, Jan, Knížek, Jiří

مصطلحات موضوعية: keyword:AR(1) process, keyword:unequally spaced, keyword:autocorrelation coefficient, keyword:least squares estimate, keyword:maximum likelihood estimate, msc:60G10, msc:62M10

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/135505

المؤلفون: Marhuenda, Marco A., Marhuenda, Yolanda, Morales, Domingo

مصطلحات موضوعية: keyword:multinomial distribution, keyword:algorithms, keyword:goodness-of-fit divergence tests, keyword:power divergence statistics, keyword:chi-squared tests, keyword:power comparisons, msc:60G10, msc:62G10, msc:62M10, msc:62Q05

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/135508

المؤلفون: Volf, Petr, Linka, Aleš

مصطلحات موضوعية: keyword:hazard function, keyword:goodness-of-fit test, msc:60G10, msc:60K10, msc:62M05, msc:62N02, msc:62N05

وصف الملف: application/pdf

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الاتاحة: http://hdl.handle.net/10338.dmlcz/135388

المؤلفون: Anděl, Jiří

مصطلحات موضوعية: msc:60G10, msc:62M10, msc:62M15

وصف الملف: application/pdf

Relation: mr:MR1830645; zbl:Zbl 1248.62140; reference:[1] Anděl J.: On extrapolation in some non-linear AR(1) processes.Comm. Statist. – Theory Methods 26 (1997), 581–587 MR 1436289, 10.1080/03610929708831935; reference:[2] Anděl J., Dupač V.: Extrapolations in non-linear autoregressive processes.Kybernetika 35 (1999), 383–389 MR 1704673; reference:[3] Pemberton J.: Piecewise Constant Models for Univariate Time Series.Technical Report MCS-90-04, Department of Mathematics, University of Salford, Salford 1990; reference:[4] Pemberton J.: Measuring nonlinearity in time series.In: Developments in Time Series Analysis (T. Subba Rao, ed.), Chapman and Hall, London 1993, pp. 230–240 Zbl 0880.62091, MR 1292253; reference:[5] Tong H.: Non-linear Time Series.Clarendon Press, Oxford 1990 Zbl 0835.62076; reference:[6] Young P.: Time variable and state dependent modelling of non-stationary and nonlinear time series.In: Developments in Time Series Analysis (T. Subba Rao, ed.), Chapman and Hall, London 1993, pp. 374–413 Zbl 0880.62100

الاتاحة: http://hdl.handle.net/10338.dmlcz/135359

المؤلفون: Klotz, Lutz

مصطلحات موضوعية: keyword:linear interpolation, msc:60G10, msc:60G25, msc:62H20, msc:62M20, msc:62M99

وصف الملف: application/pdf

Relation: mr:MR1773507; zbl:Zbl 1243.62124; reference:[1] Budinský P.: Improvement of interpolation under additional information.In: Proceedings of the 4th Prague Symposium on Asymptotic Statistics (P. Mandl and M. Hušková, eds.), Charles University, Prague 1989, pp. 159–167 Zbl 0711.62083, MR 1051435; reference:[2] Makagon A.: Interpolation error operator for Hilbert space valued stationary stochastic processes.Probab. Math. Statist. 4 (1984), 57–65 Zbl 0575.60040, MR 0764330; reference:[3] Makagon A., Weron A.: $q$-variate minimal stationary processes.Studia Math. 59 (1976), 41–52 Zbl 0412.60013, MR 0428419; reference:[4] Pringle R. M., Rayner A. A.: Generalized Inverse Matrices with Applications to Statistics.Griffin, London 1971 Zbl 0231.15008, MR 0314860; reference:[5] Rozanov, Yu. A.: Stationary Random Processes (in Russian).Fizmatgiz, Moscow 1963; reference:[6] Salehi H.: The Hellinger square–integrability of matrix–valued measures with respect to a non–negative hermitian measure.Ark. Mat. 7 (1967), 299–303 MR 0233951, 10.1007/BF02591023; reference:[7] Salehi H.: Application of the Hellinger integrals to $q$-variate stationary stochastic processes.Ark. Mat. 7 (1967), 305–311 MR 0236991, 10.1007/BF02591024; reference:[8] Weron A.: On characterizations of interpolable and minimal stationary processes.Studia Math. 49 (1974), 165–183 Zbl 0303.60034, MR 0341587

الاتاحة: http://hdl.handle.net/10338.dmlcz/135353

المؤلفون: Anděl, Jiří, Hrach, Karel

مصطلحات موضوعية: keyword:AR(1) model, keyword:AR(2) model, msc:60G10, msc:62M10, msc:65C60

وصف الملف: application/pdf

Relation: mr:MR1773506; zbl:Zbl 1248.62141; reference:[1] Anděl J.: Dependent random variables with a given marginal distribution.Acta Univ. Carolin. – Math. Phys. 24 (1983), 3–11 MR 0733140; reference:[2] Anděl J.: Marginal distributions of autoregressive processes.In: Trans. 9th Prague Conf. Inform. Theory, Statist. Decision Functions, Random Processes, Academia, Prague 1983, pp. 127–135 MR 0757732; reference:[3] Anděl J.: On linear processes with given moments.J. Time Ser. Anal. 8 (1987), 373–378 MR 0917790, 10.1111/j.1467-9892.1987.tb00001.x; reference:[4] Anděl J.: AR(1) processes with given moments of marginal distribution.Kybernetika 22 (1989), 337–347 Zbl 0701.62087, MR 1024709; reference:[5] Anděl J., Bartoň T.: A note on the threshold AR(1) model with Cauchy innovations.J. Time Ser. Anal. 7 (1986), 1–5 Zbl 0587.60033, MR 0832348, 10.1111/j.1467-9892.1986.tb00481.x; reference:[6] Anděl J., Garrido M.: On stationary distributions of some time series models.In: Trans. 10th Prague Conf. Inform. Theory, Statist. Decision Functions, Random Processes, Academia, Prague 1988, pp. 193–202 MR 1136274; reference:[7] Anděl J., Gómez M., Vega C.: Stationary distribution of some nonlinear AR(1) processes.Kybernetika 25 (1989), 453–460 Zbl 0701.60029, MR 1035151; reference:[8] Anděl J., Netuka I., Zvára K.: On threshold autoregressive processes.Kybernetika 20 (1984), 89–106 Zbl 0547.62058, MR 0747062; reference:[9] Bernier J.: Inventaire des modèles et processus stochastique applicables de la description des déluts journaliers des riviers.Rev. Inst. Internat. Statist. 38 (1970), 50–71 10.2307/1402324; reference:[10] Davis R. A., Rosenblatt M.: Parameter estimation for some time series models without contiguity.Statist. Probab. Lett. 11 (1991), 515–521 Zbl 0725.62079, MR 1116746, 10.1016/0167-7152(91)90117-A; reference:[11] Feller W.: An Introduction to Probability Theory and its Applications II.Wiley, New York 1966 MR 0210154; reference:[12] Gaver D. P., Lewis P. A. W.: First–order autoregressive gamma sequences and point processes.Adv. in Appl. Probab. 12 (1980), 727–745 Zbl 0453.60048, MR 0578846, 10.2307/1426429; reference:[13] Haiman G.: Upper and lower bounds for the tail of the invariant distribution of some AR(1) processes.In: Asymptotic Methods in Probability and Statistics (B. Szyszkowicz, ed.), North–Holland/Elsevier, Amsterdam 1998, pp. 723–730 Zbl 0926.62080, MR 1661513; reference:[14] Hamilton J. D.: Time Series Analysis.Princeton University Press, Princeton 1994 Zbl 0831.62061, MR 1278033; reference:[15] Loève M.: Probability Theory.Second edition. Van Nostrand, Princeton 1955 Zbl 0385.60001, MR 0203748; reference:[16] Rényi A.: Probability Theory.Akadémiai Kiadó, Budapest 1970; reference:[17] Sondhi M. M.: Random processes with specified spectral density and first–order probability density.Bell System Technical J. 62 (1983), 679–701 10.1002/j.1538-7305.1983.tb04411.x; reference:[18] Štěpán J.: Teorie pravděpodobnosti.Academia, Praha 1987; reference:[19] Tong H.: Non–linear Time Series.Clarendon Press, Oxford 1990 Zbl 0835.62076, MR 1079320; reference:[20] Research, Wolfram, Inc.: Mathematica, Version 2.2. Wolfram Research, Inc., Champaign, Illinois 1994

الاتاحة: http://hdl.handle.net/10338.dmlcz/135352