Zobrazeno 1 - 10
of 18
pro vyhledávání: '"M. Shelton Peiris"'
Autor:
M. Shelton Peiris, Manabu Asai
Publikováno v:
Econometrics, Vol 4, Iss 3, p 37 (2016)
In recent years, fractionally-differenced processes have received a great deal of attention due to their flexibility in financial applications with long-memory. This paper revisits the class of generalized fractionally-differenced processes generated
Externí odkaz:
https://doaj.org/article/849e409ea966428a9e33f5537bdf13cd
Autor:
Mahendran Shitan, M. Shelton Peiris
Publikováno v:
Communications in Statistics - Simulation and Computation. 37:560-570
This article evaluates the performance of two estimators namely, the Maximum Likelihood Estimator (MLE) and Whittle's Estimator (WE), through a simulation study for the Generalised Autoregressive (GAR) model. As expected, it is found that for the par
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e5f6682d8b7271f0ebae97d2b2e40b10
https://doi.org/10.1080/03610910701649598
https://doi.org/10.1080/03610910701649598
Autor:
William K. Bertram, M. Shelton Peiris
Publikováno v:
Computational Statistics & Data Analysis. 51:3627-3630
This paper examines a misclassification problem that can arise when modelling data which contains low frequency components. We illustrate this problem by fitting GAR(1) and AR(1) models to volume and transaction frequency data from the Australian Sto
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a8c34f3728f55462c03e589c27217e2f
https://doi.org/10.1016/j.csda.2006.12.007
https://doi.org/10.1016/j.csda.2006.12.007
Publikováno v:
Applied Mathematics Letters. 20:177-182
This paper considers a class of volatility models generated by autoregressive (AR) type models with indices. Some results associated with the autocorrelation function (acf) of this class are given and the spectral density is obtained in terms of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d5432f8294937a34a11aaa238be7c359
https://doi.org/10.1016/j.aml.2006.04.001
https://doi.org/10.1016/j.aml.2006.04.001
Publikováno v:
Metrika. 54:131-138
This paper considers the class of m-variate autoregressive moving average (ARMA) processes with stable innovations and time dependent coefficients. A set of suitable AR and MA regularity conditions is given to ensure existence and uniqueness of valid
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b5f53793213c6461e6124d6afa79237
https://doi.org/10.1007/s001840100127
https://doi.org/10.1007/s001840100127
Autor:
M. Shelton Peiris
Publikováno v:
Microelectronics Reliability. 36:1375-1378
Forecasting is a very important phenomenon in many problems in real world (e.g. Engineering, Science, Economics, etc.) situations. This note addresses some problems of improving the accuracy of forecasts and show that one method is superior than the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0b27eb74e04f08cba9c27ea4493f6094
https://doi.org/10.1016/0026-2714(96)00016-9
https://doi.org/10.1016/0026-2714(96)00016-9
Autor:
Roman R. Poznański, M. Shelton Peiris
Publikováno v:
Mathematical Medicine and Biology. 13:207-222
The expectation (mean) and variance of the depolarization in the absence of a threshold for action-potential generation is obtained in a neuron model represented by a tapering equivalent cable with a random (white noise) synaptic input current at a p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08a248049f9a5a837074e415dc03f71e
https://doi.org/10.1093/imammb/13.3.207
https://doi.org/10.1093/imammb/13.3.207
Autor:
N. Singh, M. Shelton Peiris
Publikováno v:
Biometrical Journal. 38:741-752
This paper derives easy-to-calculate preditors for seasonal and nonseasonal fractionally integrated autoregressive-moving average (ARIMA (p, d, q) × (P, D, Q)s) models with both differencing parameters d and D assuming values on the real line. It is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fef0752c727da8a428e6e822c015cee5
https://doi.org/10.1002/bimj.4710380615
https://doi.org/10.1002/bimj.4710380615
Autor:
M. Shelton Peiris
Publikováno v:
Calcutta Statistical Association Bulletin. 44:151-156
This paper considers forecasts of the sum of a particular component of two independent Gaussian vector moving average processes. The efficiency of forecasts are compared via ( a) the corresponding component models, ( b) the joint vector models and (
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e3a4ea4c9a977ab6c2bb48a23fdd906
https://doi.org/10.1177/0008068319940302
https://doi.org/10.1177/0008068319940302
Autor:
M. Shelton Peiris
Publikováno v:
Communications in Statistics - Theory and Methods. 19:2847-2852
The paper considers vector ARMA processes with nonstationary innovations. It is suggested that this class of models provide a very efficient framework for nonstationary problems. A generalization of the Yule-Walker equations relating the underlying p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::56e5dca2cd5dad09ffccd61727b310f2
https://doi.org/10.1080/03610929008830352
https://doi.org/10.1080/03610929008830352