搜索结果: 1-15 共查到“理论统计学 time series”相关记录48条 . 查询时间(0.154 秒)
Topics in Multivariate Time Series Analysis: Statistical Control, Dimension Reduction Visualization and Thir Business Applications
Topics in Multivariate Time Series Analysis Statistical Control Dimension Reduction Visualization Their Business Applications
2014/10/28
Most business processes are, by nature, multivariate and autocorrelated. Highdimensionality is rooted in processes where more than one variable is considered simultaneously to provide a more comprehen...
Fourier analysis of stationary time series in function space
Cumulants discrete Fourier transform functional data analy-sis functional time series periodogram operator spectral density operator weak depen-dence
2013/6/14
We develop the basic building blocks of a frequency domain framework for drawing statistical inferences on the second-order structure of a stationary sequence of functional data. The key element in su...
Inference and testing for structural change in time series of counts model
time series of counts Poisson autoregression likelihood estimation change-point semi-parametric test
2013/6/14
We consider here together the inference questions and the change-point problem in Poisson autoregressions (see Tj{\o}stheim, 2012). The conditional mean (or intensity) of the process is involved as a ...
Approximate Inference for Observation Driven Time Series Models with Intractable Likelihoods
Observation Driven Time Series Models Approximate Bayesian Computation Asymptotic Con-sistency Markov Chain Monte Carlo
2013/4/28
In the following article we consider approximate Bayesian parameter inference for observation driven time series models. Such statistical models appear in a wide variety of applications, including eco...
A Robust Bayesian Dynamic Linear Model to Detect Abrupt Changes in an Economic Time Series: The Case of Puerto Rico
Dynamic Models Consumer Price Index Bayesian Robustness
2013/4/28
Economic indicators time series are usually complex with high frequency data. The traditional time series methodology requires at least a preliminary transformation of the data to get stationarity. On...
Asymptotic Normality of Estimates in Flexible Seasonal Time Series Model with Weak Dependent Error Terms
seasonal time series model local linear estimates consistency and asymptotic
2013/5/2
In this paper we considered a general seasonal time series model with K-dependent and \rambda-dependent errors, which are new concepts of dependence. In this model we derived consistency and asymptoti...
Environmental Time Series Interpolation Based on Spartan Random Processes
inference precision matrix gappy data atmospheric aerosol fine particulate PM2.5
2013/4/27
In many environmental applications, time series are either incomplete or irregularly spaced. We investigate the application of the Spartan random process to missing data prediction. We employ a novel ...
This paper is a note on the use of Bayesian nonparametric mixture models for continuous time series. We identify a key requirement for such models, and then establish that there is a single type of mo...
Diagnostic Tests for Non-causal Time Series with Infinite Variance
Non-causal AR Process Infinite Variance Goodness-of-fit Portmanteau Test alpha-stabledistribution
2012/11/22
We study goodness-of-fit testing for non-causal autoregressive time series with non-Gaussian stable noise. To model time series exhibiting sharp spikes or occasional bursts of outlying observations, t...
Covariance Matrix Estimation for Stationary Time Series
Autocovariance matrix banding large deviation physical dependence mea-sure short range dependence spectral density stationary process tapering thresholding Toeplitz matrix
2011/6/20
We obtain a sharp convergence rate for banded covariance matrix estimates of stationary
processes. A precise order of magnitude is derived for spectral radius of sample covariance matrices.
We also ...
Anatomy of a Bit: Information in a Time Series Observation
entropy total correlation multivariate mutual information binding information en-tropy rate predictive information rate
2011/6/21
Appealing to several multivariate information measures|some familiar, some new here|we ana-
lyze the information embedded in discrete-valued stochastic time series. We dissect the uncertainty
of a s...
Testing for change in mean of heteroskedastic time series
Brownian bridge changes in mean functional central limit theorem heteroskedasticity time series
2011/3/24
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, ...
Translating biomarkers between multi-way time-series experiments
Machine Learning (stat.ML)
2010/12/17
Translating potential disease biomarkers between multi-species 'omics' experiments is a new direction in biomedical research. The existing methods are limited to simple experimental setups such as bas...
Confidence Sets in Time--Series Filtering
Information Theory (cs.IT) Statistics Theory (math.ST)
2010/12/17
The problem of filtering of finite--alphabet stationary ergodic time series is considered. A method for constructing a confidence set for the (unknown) signal is proposed, such that the resulting set ...
Coherence and phase synchronization：generalization to pairs of multivariate time series，and removal of zero-lag contributions
Coherence and phase synchronization generalization multivariate time series zero-lag contributions
2010/4/29
Coherence and phase synchronization between time series corresponding to
different spatial locations are usually interpreted as indicators of the “connectivity”
between locations. In neurophysiology...