Výsledky vyhledávání - "Trapletti, Adrian"

Kniha

On the ergodicity and stationarity of the ARMA (1,1) recurrent neural network process

Autor: Trapletti, Adrian, Leisch, Friedrich, Hornik, Kurt

In this note we consider the autoregressive moving average recurrent neural network ARMA-NN(1, 1) process. We show that in contrast to the pure autoregressive process simple ARMA-NN processes exist which are not irreducible. We prove that the control

Externí odkaz: http://epub.wu.ac.at/652/1/document.pdf

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Kniha

Cointegration and exchange market efficiency. An analysis of high frequency data.

Autor: Trapletti, Adrian, Geyer, Alois, Leisch, Friedrich

A cointegration analysis on a triangle of high frequency exchange rates is presented. Market efficiency requires the triangle to be cointegrated and the cointegration term to be a martingale difference sequence. We find empirical evidence against mar

Externí odkaz: http://epub.wu.ac.at/1346/1/document.pdf

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Kniha

Stationary and integrated autoregressive neural network processes

Autor: Trapletti, Adrian, Leisch, Friedrich, Hornik, Kurt

We consider autoregressive neural network (ARNN) processes driven by additive noise. Sufficient conditions on the network weights (parameters) are derived for the ergodicity and stationarity of the process. It is shown that essentially the linear par

Externí odkaz: http://epub.wu.ac.at/302/1/document.pdf

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Kniha

On the stationarity of autoregressive neural network models

Autor: Leisch, Friedrich, Trapletti, Adrian, Hornik, Kurt

We analyze the asymptotic behavior of autoregressive neural network (AR-NN) processes using techniques from Markov chains and non-linear time series analysis. It is shown that standard AR-NNs without shortcut connections are asymptotically stationary

Externí odkaz: http://epub.wu.ac.at/1612/1/document.pdf

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