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FunctionaL Regular Variation of Levy-driven Multivariate Mixed Moving Average Processes
cadlag sample paths functional regular variation heavy tails Levy basis mixed moving average process
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2012/4/18
We consider the functional regular variation in the space $\mathbb{D}$ of c\`adl\`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t = \int\int f(A, t - s) \Lambda (d A...
High-frequency sampling and kernel estimation for continuous-time moving average processes
CARMA process continuous-time moving average process discretely sampled process FICARMA process gamma kernel
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2011/9/19
Abstract: Interest in continuous-time processes has increased rapidly in recent years, largely because of the high-frequency data available in many areas of application, particularly in finance and tu...
On the precise asymptotics in complete moment convergence of moving average processes under NA random variables
Complete convergence Moving average Negatively associated random variable
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2010/9/10
On the precise asymptotics in complete moment convergence of moving average processes under NA random variables.
A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES
Multiple MA process spectral factorizat
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2007/12/17
Sometimes we have to compute the parameters of a multiple moving average process from its known autocovariances or spectral density. This paper proposes an iterative method by establishing a state spa...