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Quantization of long memory processes
Long-memory processes Round-off error Measurement error Log-periodogram regression Detrended fluctuation analysis Hermite polynomials
2011/10/9
Abstract: We study how quantization, occurring when a continuously varying process is approximated by or observed on a grid of discrete values, changes the properties of a Gaussian long-memory process...
An efficient estimator for locally stationary Gaussian long-memory processes
efficient estimator Gaussian long-memory processes
2010/11/18
This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and str...