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of 9
pro vyhledávání: '"Ocker, Dirk"'
Stationary and nonstationary farima models : model choice, forecasting, aggregation and intervention
Autor:
Ocker, Dirk.
Konstanz, Univ., Diss., 1999.
Externí odkaz:
http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB8672524
Autor:
Beran, Jan, Ocker, Dirk
Publikováno v:
Journal of Business & Economic Statistics, 2001 Jan 01. 19(1), 103-116.
Externí odkaz:
https://www.jstor.org/stable/1392546
Autor:
Beran, Jan, Ocker, Dirk
Publikováno v:
Journal of Computational and Graphical Statistics, 2005 Jun 01. 14(2), 339-351.
Externí odkaz:
https://www.jstor.org/stable/27594117
Autor:
Ocker, Dirk.
University, Diss., 2000--Konstanz.
Erscheinungsjahr an der Haupttitelstelle: 1999.
Erscheinungsjahr an der Haupttitelstelle: 1999.
Autor:
Beran, Jan, Ocker, Dirk
Pricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::22d469551301546b342a29bd0b3277a4
https://hdl.handle.net/10419/85192
https://hdl.handle.net/10419/85192
Autor:
Beran, Jan, Ocker, Dirk
We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserve
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::608eee2f3686bd5ac7ccc9a413e6d022
Recent results on so-called SEMIFAR models introduced by Beran (1997) are discussed. The nonparametric deterministic trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive coeffici
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::d37fa3bf47d3dd9aacba426f389ccdfa
https://hdl.handle.net/10419/77353
https://hdl.handle.net/10419/77353
Stationary and nonstationary Farima models : model choice, forecasting, aggregation and intervention
Autor:
Ocker, Dirk
Die vorliegende Dissertation befasst sich mit der Modellwahl,Vorhersage, temporalen Aggregation und Interventionsanalysestationärer und nichtstationärer fraktioneller autoregressiverProzesse, sowie einer extensiven Anwendung auf weltweiteFinanzmark
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______715::d052fba13ccd3592d55c06ee916e1c0d
Autor:
Beran, Jan, Ocker, Dirk
SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct di
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::de221fb9104b7926a15ea9316749424e
https://hdl.handle.net/10419/85217
https://hdl.handle.net/10419/85217