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Measuring stationarity in long-memory processes
spectral density long-memory non-stationary processes goodness-of-ttests empirical spectral measure integrated periodogram locally stationary process bootstrap
2013/4/27
In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an $L_2$-distance between the spectral density of the locally stationary proce...
Aggregation of autoregressive random fields and anisotropic long memory
Aggregation autoregressive random fields anisotropic long memory
2013/4/27
We introduce the notion of anisotropic long memory for random fields on $\mathbb{Z}^2$ whose partial sums on incommensurate rectangles with sides growing at different rates O(n) and $O(n^{H_1/H_2})$, ...
Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
Hermite polynomials of a Gaussian process long–memory parameter non–Gaussian Rosenblatt
2011/6/16
We consider stationary processes with long memory which are non–Gaussian and represented
as Hermite polynomials of a Gaussian process. We focus on the corresponding
wavelet coefficients and study th...
Empirical process of residuals for regression models with long memory errors
Empirical process of residuals regression models
2011/3/24
We consider the residual empirical process in random design regression with long memory errors. We establish its limiting behaviour, showing that its rates of convergence are different from the rates ...
Adaptive semiparametric wavelet estimator and goodness-of-fit test for long memory linear processes
Statistics Theory (math.ST)
2010/12/17
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet {\it et al...
Adaptive estimator of the memory parameter and goodness-of-fit test using a multidimensional increment ratio statistic
Long-memory Gaussian processes goodness-of-fit test estimation of the memory parameter
2010/10/14
The Increment Ratio (IR) statistic was first defined and studied in Surgailis {\it et al.} (2008) for estimating the long-memory parameter either of a stationary or an increment stationary Gaussian p...
Long Strange Segments,Ruin Probabilities and the Effect of Memory on Moving Average Processes
Long Strange Segments Ruin Probabilities Effect Memory Moving Average Processes
2010/3/11
We obtain the rate of growth of long strange segments and the
rate of decay of infinite horizon ruin probabilities for a class of infinite moving
average processes with exponentially light tails. Th...
The tail empirical process for some long memory sequences
tail empirical process long memory sequences
2010/3/9
This paper describes limiting behaviour of tail empirical process associated with
long memory stochastic volatility models. We show that such process has dichoto-
mous behaviour, according to an int...
A Bayesian Approach to Estimating the Long Memory Parameter
Bayesian model averaging FEXP hierarchical Bayes long-range dependence Spectral density
2009/9/24
We develop a Bayesian procedure for analyzing stationary long-range
dependent processes.Specically,we consider the fractional exponential model
(FEXP)to estimate the memory parameter of a stationary...
A note on the estimation of degree of differencing in long memory time series analysis
the estimation of degree long memory time series analysis
2009/9/23
In this paper we investigate the properties of the
estimator of degree of differencing the fractional d in long memory
time series analysis via consistent spectral density estimation. It is
shown t...
Spectral Properties of Temporally Aggregated Long Memory Processes
Spectral Properties Memory Processes
2009/9/17
Spectral Properties of Temporally Aggregated Long Memory Processes。
Disaggregation of Long Memory Processes on $mathcal{C}^{infty}$ Class
Aggregation disaggregation longmemory processes mixtures
2009/4/22
We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities controlled by exponential ...
Disaggregation of Long Memory Processes on $mathcal{C}^{infty}$ Class
long memory processes short memory processes Class
2009/4/1
We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities controlled by exponential ...
Adaptive wavelet based estimator of the memory parameter for stationary Gaussian processes
Adaptive wavelet estimator memory parameter stationary Gaussian processes
2010/4/26
This work is intended as a contribution to a wavelet-based adaptive estimator of the memory parameter in the classical semi-parametric framework for Gaussian stationary processes. In particular we int...
It is generally accepted that many time series of practical interest exhibit
strong dependence, i.e., long memory. For such series, the sample autocorrelations
decay slowly and log-log periodogram p...