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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 ...
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 ...
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, ...