Zobrazeno 1 - 10
of 467
pro vyhledávání: '"weakly dependent time series"'
Autor:
Hill, Jonathan B., Motegi, Kaiji
Publikováno v:
Econom. Theory 36 (2020) 907-960
This paper presents a bootstrapped p-value white noise test based on the maximum correlation, for a time series that may be weakly dependent under the null hypothesis. The time series may be prefiltered residuals. The test statistic is a normalized w
Externí odkaz:
http://arxiv.org/abs/1602.04107
Autor:
Wintenberger, Olivier
Publikováno v:
Electronic Communications in Probability 15 (2010) 489-503
In this paper we give new deviation inequalities of Bernstein's type for the partial sums of weakly dependent time series. The loss from the independent case is studied carefully. We give non mixing examples such that dynamical systems and Bernoulli
Externí odkaz:
http://arxiv.org/abs/0911.1682
Publikováno v:
Journal of Time Series Analysis (2008) \`a para\^itre
We prove uniform convergence results for the integrated periodogram of a weakly dependent time series, namely a law of large numbers and a central limit theorem. These results are applied to Whittle's parametric estimation. Under general weak-depende
Externí odkaz:
http://arxiv.org/abs/math/0701739
Autor:
ALQUIER, PIERRE, WINTENBERGER, OLIVIER
Publikováno v:
Bernoulli, 2012 Aug 01. 18(3), 883-913.
Externí odkaz:
http://dx.doi.org/10.3150/11-BEJ359
Autor:
Alquier, Pierre, Wintenberger, Olivier
Observing a stationary time series, we propose a two-step procedure for the prediction of the next value of the time series. The first step follows machine learning theory paradigm and consists in determining a set of possible predictors as randomize
Externí odkaz:
http://arxiv.org/abs/0902.2924
Publikováno v:
Dependence in Probability and Statistics. Springer (Ed.) (2006) 380
Assuming that $(X_t)_{t\in\Z}$ is a vector valued time series with a common marginal distribution admitting a density $f$, our aim is to provide a wide range of consistent estimators of $f$. We consider different methods of estimation of the density
Externí odkaz:
http://arxiv.org/abs/math/0603254
Akademický článek
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Autor:
BARDET, JEAN-MARC1, DOUKHAN, PAUL1 doukhan@ensae.fr, LEÓN, JOSÉ RAFAEL1 jleon@euler.ciens.ucv.ve
Publikováno v:
Journal of Time Series Analysis. Sep2008, Vol. 29 Issue 5, p906-945. 40p.
Akademický článek
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Autor:
Elżbieta Gajecka-Mirek, Jacek Leśkow
Publikováno v:
Applied Condition Monitoring ISBN: 9783030225285
We present new results on estimation of the periodic mean function of the periodically correlated time series that exhibits heavy tails and long memory under a weak dependence condition. In our model that is a generalization of the work of McElroy an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c0651091f68ac99092ab45483392c49
https://doi.org/10.1007/978-3-030-22529-2_2
https://doi.org/10.1007/978-3-030-22529-2_2