A stochastic frontier regression model with dynamic frontier

Autor: Neelabh Rohan, T. V. Ramanathan, Bovas Abraham

Publikováno v: Communications in Statistics - Simulation and Computation. 49:1415-1428

We consider a stochastic frontier regression model with a time dependent efficiency process, which is assumed to follow an exponential autoregressive sequence. The likelihood for the model is deriv...

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::fe217118776efe9514760ba69f24047a
https://doi.org/10.1080/03610918.2015.1011333

Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations

Autor: Glaura C. Franco, Adriano Marcio Sgrancio, Flávio Augusto Ziegelmann, Pascal Bondon, Fabio Fajardo Molinares, Bovas Abraham, Valdério Anselmo Reisen, Edson Zambon Monte

Publikováno v: Mathematics and Computers in Simulation
Mathematics and Computers in Simulation, Elsevier, 2018, 146, pp.27-43. ⟨10.1016/j.matcom.2017.10.004⟩

This paper deals with the estimation of seasonal long-memory time series models in the presence of ‘outliers’. It is long known that the presence of outliers can lead to undesirable effects on the statistical estimation methods, for example, subs

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d06754c1ceeae86573ec599cf5fad666
https://doi.org/10.1016/j.matcom.2017.10.004

Stochastic volatility generated by product autoregressive models

Autor: Bovas Abraham, N. Balakrishna, P. Muhammed Anvar

Publikováno v: Stat. 8

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4235f4401c339b4456b60fe4629baa45
https://doi.org/10.1002/sta4.232

Robustness of Some Portmanteau Correlation Tests in Financial Time Series

Autor: Bovas Abraham, K V Vineetha Warriyar, Asokan Mulayath Variyath

Publikováno v: American Journal of Mathematical and Management Sciences. 35:67-76

SYNOPTIC ABSTRACTThe Box–Pierce and Ljung–Box tests are portmanteau tests generally used to test the independence in time series data. These tests can also be applied to the squares of the observations to detect independence. Because most financi

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::0176ae0493331c0c3e89c82b26849d9f
https://doi.org/10.1080/01966324.2015.1082451

George Box's contributions to time series analysis and forecasting

Autor: G. M. Ljung, Johannes Ledolter, Bovas Abraham

Publikováno v: Applied Stochastic Models in Business and Industry. 30:25-35

George Edward Pelham Box was born on October 19, 1919 in Gravesend, Kent, UK and died on March 28, 2013 in Madison, Wisconsin, USA. George Box made significant contributions to many fields of statistics including design of experiments and response su

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::902f86a2ff4bca71512fe5838f1a25ba
https://doi.org/10.1002/asmb.2016