Search Results - "AUTOREGRESSIVE models"

Explaining Returns Through Valuation.

Authors: Johannesson, Erik Ohlson, James A.

Source: Journal of Accounting, Auditing & Finance. Jul2025, Vol. 40 Issue 3, p941-966. 26p.

Subject Terms: *EARNINGS per share, *STOCHASTIC processes, *VALUATION, AUTOREGRESSIVE models, LEAST squares

Forecasting the growth of Ambystoma mexicanum via artificial neural networks based on water quality parameters in intensive culture systems.

Authors: Axel Vera-Cortes, Christian Juan Carbajal-Hernández, José Samantha Morales-Rodríguez, Úrsula et al.

Source: Journal of Animal Behavior & Biometeorology. Jul2025, Vol. 13 Issue 3, p1-18. 18p.

Subjects: Artificial neural networks, Autoregressive models, Water quality, Transfer functions, Water temperature

A class of generalized autoregressive score panel stochastic frontier models.

Authors: Tran, Kien C. Michaelides, Panayotis G.

Source: Journal of Productivity Analysis. Dec2025, Vol. 64 Issue 3, p235-253. 19p.

Subject Terms: *BAYESIAN analysis, *ENDOGENEITY (Econometrics), STOCHASTIC frontier analysis, AUTOREGRESSIVE models, STATISTICAL models

Whittle likelihood estimation in INAR(p) process.

Authors: Zeng, Xiaoqiang Kakizawa, Yoshihide

Source: Communications in Statistics: Simulation & Computation. 2025, Vol. 54 Issue 11, p4949-4963. 15p.

Subject Terms: *UNCERTAINTY (Information theory), *SIMULATION methods & models, *ESTIMATION theory, FREQUENCY-domain analysis, AUTOREGRESSIVE models, ASYMPTOTIC analysis, STATIONARY processes

Moment estimation of uncertain autoregressive model and its application in financial market.

Authors: Liu, Yang Qin, Zhongfeng

Source: Communications in Statistics: Simulation & Computation. 2025, Vol. 54 Issue 10, p4324-4343. 20p.

Subject Terms: *PARAMETER estimation, *STATISTICAL hypothesis testing, *UNCERTAINTY (Information theory), *FINANCIAL markets, AUTOREGRESSIVE models, MOMENTS method (Statistics), INFERENTIAL statistics

Parameters estimation of uncertain autoregressive model based on modified maximum likelihood approach.

Authors: Liu, Yang Qin, Zhongfeng

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 24, p7966-7985. 20p.

Subject Terms: *PARAMETER estimation, *ALGORITHMS, *FORECASTING, AUTOREGRESSIVE models, MAXIMUM likelihood statistics, OUTLIERS (Statistics), INFERENTIAL statistics

Forecasting based on a multivariate autoregressive threshold model (MTAR) with a multivariate Student's t error distribution: A Bayesian approach.

Authors: Rivera Garzón, Nicolás Calderón Villanueva, Sergio Alejandro Espinosa, Oscar

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 22, p7084-7104. 21p.

Subject Terms: *FORECASTING, *STOCK price indexes, *FINANCIAL databases, AUTOREGRESSIVE models, PREDICTION models, T-test (Statistics), STATISTICAL models

Spatial INAR(1,1) model based on mixing Pegram and binomial thinning operators with fitting striga counts.

Authors: Ghodsi, Alireza S. Bakouch, Hassan

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 21, p6988-6996. 9p.

Subject Terms: *SIMULATION methods & models, AUTOREGRESSIVE models, STATISTICAL models, TWO-dimensional models, MAXIMUM likelihood statistics, OPERATOR equations

Statistical inference for partially linear varying coefficient autoregressive models.

Authors: Luo, Feng Fan, Guoliang

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 21, p6761-6778. 18p.

Subject Terms: AUTOREGRESSIVE models, NONLINEAR statistical models, LEAST squares, LIKELIHOOD ratio tests, STATISTICAL models, INFERENTIAL statistics, NONLINEAR systems

On the dependence of a minimum autoregressive exponential-type process.

Authors: Ferreira, Marta¹ (AUTHOR) msferreira@math.uminho.pt

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 20, p6527-6535. 9p.

Subject Terms: *RISK assessment, *STOCHASTIC processes, *STATISTICAL correlation, *GLOBALIZATION, AUTOREGRESSIVE models, EXTREME value theory

A first-order random coefficient mixed-thinning threshold integer-valued autoregressive model to analyze the COVID-19 data.

Authors: Li, Qi Liu, Xiufang Peng, Jianlong

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 19, p6360-6388. 29p.

Subject Terms: *COVID-19, *SIMULATION methods & models, *ESTIMATION theory, *RANDOM variables, AUTOREGRESSIVE models, STATISTICAL models, HETEROGENEITY

Spatial variational Bayesian analysis of functional magnetic resonance imaging data with spatially varying autoregressive orders.

Authors: Amanpour, Farzaneh Tabatabaei, Seyyed Mohammad Alavi Majd, Hamid

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 19, p6325-6339. 15p.

Subject Terms: *ALGORITHMS, FUNCTIONAL magnetic resonance imaging, AUTOREGRESSIVE models, ISING model, GAUSSIAN Markov random fields, SPATIOTEMPORAL processes

Score-based bootstrap test for serial dependence in count time series.

Authors: Palazzo, Lucio Ievoli, Riccardo

Source: Journal of Statistical Computation & Simulation. Nov2025, Vol. 95 Issue 17, p3682-3704. 23p.

Subject Terms: *STATISTICAL hypothesis testing, *TIME series analysis, AUTOREGRESSIVE models, AUTOCORRELATION (Statistics), SKEWNESS (Probability theory), RESAMPLING (Statistics), POISSON distribution

Time-varying spatio-temporal models by wavelets.

Authors: Chen, Yangyang Morettin, Pedro A. Chiann, Chang

Source: Journal of Statistical Computation & Simulation. Nov2025, Vol. 95 Issue 16, p3442-3468. 27p.

Subject Terms: *TIME series analysis, SPATIOTEMPORAL processes, AUTOREGRESSIVE models, WAVELETS (Mathematics), DYNAMIC models

Bayesian analysis for varying coefficient autoregressive models.

Authors: Wu, Ying Xiong, Shifeng Tang, Zhipeng et al.

Source: Journal of Statistical Computation & Simulation. Oct2025, Vol. 95 Issue 15, p3353-3378. 26p.

Subject Terms: *BAYESIAN analysis, *MONTE Carlo method, *DATA analysis, AUTOREGRESSIVE models, GAUSSIAN processes, STATISTICAL models

A root estimator for a spatial autoregressive model with convex combined spatial weight matrices.

Authors: Chen, Yahui Han, Xiaoyi Zhang, Feng

Source: Spatial Economic Analysis. Oct2025, p1-19. 19p. 6 Illustrations.

Subject Terms: *MONTE Carlo method, *STATISTICAL errors, AUTOREGRESSIVE models, ASYMPTOTIC normality, OPTIMIZATION algorithms

Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!

Authors: Gruber, Luis Kastner, Gregor

Source: International Journal of Forecasting. Oct2025, Vol. 41 Issue 4, p1589-1619. 31p.

Subject Terms: *ECONOMIC forecasting, *ECONOMIC statistics, AUTOREGRESSIVE models

Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts.

Authors: Harvey, David I. Leybourne, Stephen J. Tatlow, Benjamin S. et al.

Source: Oxford Bulletin of Economics & Statistics. Oct2025, Vol. 87 Issue 5, p880-898. 19p.

Subject Terms: *ECONOMIC bubbles, *STATISTICAL hypothesis testing, *COINTEGRATION, *MONTE Carlo method, AUTOREGRESSIVE models

Threshold MIDAS Forecasting of Canadian Inflation Rate.

Authors: Chen, Chaoyi Sun, Yiguo Rao, Yao

Source: Journal of Forecasting. Oct2025, p1. 21p. 5 Illustrations.

Subject Terms: *FORECASTING, *ECONOMIC indicators, AUTOREGRESSIVE models, COMPARATIVE studies, STATISTICAL models, PREDICTIVE tests

The statistics of information ratios when excess returns over the benchmark follow an autoregressive and moving average process.

Authors: Ahn, Keunbae Lee, Dong-Hwa

Source: Applied Economics Letters. Aug2025, p1-7. 7p.

Subject Terms: *BOX-Jenkins forecasting, *ABNORMAL returns, *GENERALIZED method of moments, *STATISTICS, AUTOREGRESSIVE models, MOVING average process, ASYMPTOTIC distribution