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中山大学岭南学院高级计量经济学课件（II：Time series）CH4 Unstationary Autoregressive Process
中山大学岭南学院 高级计量经济学 课件（II：Time series） CH4 Unstationary Autoregressive Process
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2017/6/14
中山大学岭南学院高级计量经济学课件（II：Time series）CH4 Unstationary Autoregressive Process。
中山大学岭南学院高级计量经济学课件（II：Time series）CH2 Stationary Autoregressive Process
中山大学岭南学院 高级计量经济学 课件（II：Time series） CH2 Stationary Autoregressive Process
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2017/6/14
中山大学岭南学院高级计量经济学课件（II：Time series）CH2 Stationary Autoregressive Process。
ON TWO-STEP ESTIMATION OF A SPATIAL AUTOREGRESSIVE MODEL WITH AUTOREGRESSIVE DISTURBANCES AND ENDOGENOUS REGRESSORS
Cliff–Ord spatial model Generalized method of moments estimation Limited information estimation
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2015/9/24
In this paper, we consider a spatial-autoregressive model with autoregressive disturbances,
where we allow for endogenous regressors in addition to a spatial lag of the dependent variable.
We sugges...
Link Prediction in Graphs with Autoregressive Features
Autoregressive Features Link Prediction Graphs
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2012/11/22
In the paper, we consider the problem of link prediction in time-evolving graphs. We assume that certain graph features, such as the node degree, follow a vector autoregressive (VAR) model and we prop...
Empirical likelihood for first-order random coefficient integer-valued autoregressive processes
INAR model Conditional least square Asymptotic distribution Hypothesis Testing Maximum empirical likelihood
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2011/11/5
This paper studies the empirical likelihood method for a first-order random coefficient integer-valued autoregressive model. The limiting distribution of the log empirical likelihood ratio statistic i...
On non-stationary threshold autoregressive models
explosive TAR(1) model least-squares estimator unit root TAR(1) model Statistics Theory
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2011/9/6
Abstract: In this paper we study the limiting distributions of the least-squares estimators for the non-stationary first-order threshold autoregressive (TAR(1)) model. It is proved that the limiting b...
Limit theorems for bifurcating autoregressive processes with missing data
Limit theorems bifurcating autoregressive processes missing data
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2011/1/4
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes when some of the data are missing. We model the process of observed d...
Limit theorems for bifurcating autoregressive processes with missing data
bifurcating autoregressive process missing data
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2011/1/20
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes when some of the data are missing.
Multifractality of the multiplicative autoregressive point processes
hydrodynamic turbulence computer network traffic
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2010/4/8
Multiplicative processes and multifractals have earned increased popularity in applications ranging from hydrodynamic turbulence to computer network traffic, from image processing to economics. We ana...
Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes
autoregressive conditional heteroskedasticity streamflow processes
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2009/11/9
Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series an...
Multivariate autoregressive modelling of sea level time series from TOPEX/Poseidon satellite altimetry
Multivariate autoregressive modelling sea level time series TOPEX/Poseidon satellite altimetry
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2009/11/9
This work addresses the autoregressive modelling of sea level time series from TOPEX/Poseidon satellite altimetry mission. Datasets from remote sensing applications are typically very large and correl...
Combination of a Conceptual Model and an Autoregressive Error Model for Improving Short Time Forecasting
Combination Conceptual Model Autoregressive Error Model
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2009/10/28
An autoregressive error model has been tested on the residuals of the conceptual
HBV-model for the EmAn catchment. The autoregresslve model gives
considerable improvements for real shorttime forecas...
Nested Threshold Autoregressive (NeTAR) Models for Studying Sources of Nonlinearity in Streamflows
Nested Threshold Autoregressive Models Sources of Nonlinearity Streamflows
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2009/10/23
Historical development of nonlinear stochastic modeling of streamflows is discussed.
Physical considerations and graphical investigations of daily streamflows
revealed that air temperature and state...
COUPLED WAVELET-AUTOREGRESSIVE MODEL FOR ANNUAL RAINFALL PREDICTION
autoregressive Wavelet - AR Model ANNUAL RAINFALL
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2009/10/12
Because rainfall is one of the most significant parameters in a hydrological model, several stochastic models have been developed to analyze and predict the rainfall process. In recent years, wavelet ...
Identification of a two-dimensional autoregressive oving average model for image signal processing
Two-dimensional ARMA Model Identification
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2010/9/14
A two-dimensional (2D) autoregressive-moving average (ARMA) model for image processing has been developed. An optimum estimation and prediction approach based on this modelling has been simulated. The...