Výsledky vyhľadávania - "Inference from stochastic processes and spectral analysis"

Gaussian approximation for nonstationary time series with optimal rate and explicit construction

Autori: Bonnerjee, Soham Karmakar, Sayar Wu, Wei Biao

Zdroj: The Annals of Statistics. 52

Predmety: Time series, auto-correlation, regression, etc. in statistics (GARCH), nonstationary time series, change-point testing, FOS: Mathematics, Inference from stochastic processes and spectral analysis, Gaussian approximation, Mathematics - Statistics Theory, Statistics Theory (math.ST), simultaneous confidence band, Approximations to statistical distributions (nonasymptotic)

Popis súboru: application/xml

Prístupová URL adresa: http://arxiv.org/abs/2408.02913

Statistical Estimation for Stationary Models with Tapered Data: Statistical estimation for stationary models with tapered data

Autori: Ginovyan, M. S. Sahakyan, A. A.

Zdroj: Journal of Contemporary Mathematical Analysis (Armenian Academy of Sciences). 56:347-367

Predmety: Stationary stochastic processes, parametric and nonparametric estimation, Point estimation, stationary processes, spectral density, tapered data, Inference from stochastic processes and spectral analysis, robustness, 0101 mathematics, Nonparametric estimation, 01 natural sciences, Asymptotic properties of parametric estimators

Popis súboru: application/xml

Prístupová URL adresa: https://zbmath.org/7492885
https://doi.org/10.3103/s1068362321060030

Tempered fractional Brownian motion: Wavelet estimation, modeling and testing: Tempered fractional Brownian motion: wavelet estimation, modeling and testing

Autori: B. Cooper Boniece Gustavo Didier Farzad Sabzikar

Zdroj: Applied and Computational Harmonic Analysis. 51:461-509

Predmety: turbulence, Probability (math.PR), fractional Brownian motion, Fractional processes, including fractional Brownian motion, Mathematics - Statistics Theory, Nontrigonometric harmonic analysis involving wavelets and other special systems, Statistics Theory (math.ST), 02 engineering and technology, semi-long range dependence, wavelets, 01 natural sciences, Time series, auto-correlation, regression, etc. in statistics (GARCH), FOS: Mathematics, 0202 electrical engineering, electronic engineering, information engineering, Self-similar stochastic processes, Inference from stochastic processes and spectral analysis, tempered fractional Brownian motion, 0101 mathematics, Mathematics - Probability, 62M10, 60G18, 42C40

Popis súboru: application/xml

Prístupová URL adresa: https://www.sciencedirect.com/science/article/am/pii/S1063520318302264
http://arxiv.org/abs/1808.04935
https://www.sciencedirect.com/science/article/pii/S1063520318302264
https://ui.adsabs.harvard.edu/abs/2018arXiv180804935C/abstract

The asymptotic normality for the least squares estimator of parameters in a two dimensional sinusoidal model of observations

Autori: O. V. Ivanov O. V. Lymar

Zdroj: Theory of Probability and Mathematical Statistics. 100:107-131

Predmety: Brouwer's fixed-point theorem, asymptotic normality, least squares estimator, Random fields, image analysis, \( \mu \)-admissibility, 01 natural sciences, Functional data analysis, asymptotic uniqueness, homogeneous and isotropic Gaussian random field, General nonlinear regression, reduction theorem, Inference from stochastic processes and spectral analysis, two-dimensional sinusoidal model, 0101 mathematics, spectral measure of the regression function

Popis súboru: application/xml

Prístupová URL adresa: https://zbmath.org/7240132
https://doi.org/10.1090/tpms/1100
https://www.ams.org/journals/tpms/2020-100-00/S0094-9000-2020-01100-5/home.html

Parameter Estimation for Lévy-Driven Continuous-Time Linear Models with Tapered Data: Parameter estimation for Lévy-driven continuous-time linear models with tapered data

Autori: Mamikon S. Ginovyan

Zdroj: Acta Applicandae Mathematicae. 169:79-97

Predmety: consistency, asymptotic normality, Point estimation, tapered data, Central limit and other weak theorems, Lévy-driven continuous-time model, 01 natural sciences, parametric estimation, Stationary stochastic processes, spectral density, Inference from stochastic processes and spectral analysis, 0101 mathematics, Asymptotic properties of parametric estimators, smoothed periodogram

Popis súboru: application/xml

Prístupová URL adresa: https://zbmath.org/7341762
https://doi.org/10.1007/s10440-019-00289-7
https://link.springer.com/article/10.1007/s10440-019-00289-7

On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models

Autori: A. V. Ivanov N. N. Leonenko I. V. Orlovskyi

Zdroj: Statistical Inference for Stochastic Processes. 23:129-169

Predmety: Lévy-driven linear noise process, consistency, asymptotic normality, Probability (math.PR), least squares estimator, Mathematics - Statistics Theory, Statistics Theory (math.ST), 62J02, 62M10, 16. Peace & justice, Time series, auto-correlation, regression, etc. in statistics (GARCH), nonlinear regression model, General nonlinear regression, spectral density, FOS: Mathematics, Inference from stochastic processes and spectral analysis, Nonlinear processes (e.g., \(G\)-Brownian motion, \(G\)-Lévy processes), Levitan polynomials, Mathematics - Probability, Whittle estimator

Popis súboru: application/xml; application/pdf

Prístupová URL adresa: https://link.springer.com/content/pdf/10.1007/s11203-019-09206-z.pdf
http://arxiv.org/abs/1909.10457
https://orca.cardiff.ac.uk/id/eprint/125279/7/Ivanov2019_Article_OnTheWhittleEstimatorForLinear.pdf
https://arxiv.org/abs/1909.10457
https://arxiv.org/pdf/1909.10457v1
http://ui.adsabs.harvard.edu/abs/2019arXiv190910457I/abstract
https://link.springer.com/content/pdf/10.1007/s11203-019-09206-z.pdf
https://ideas.repec.org/a/spr/sistpr/v23y2020i1d10.1007_s11203-019-09206-z.html
https://orca.cardiff.ac.uk/125279/
https://link.springer.com/article/10.1007/s11203-019-09206-z

A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN: A test for weak stationarity in the spectral domain

Autori: Hidalgo, Javier Souza, Pedro C.L.

Zdroj: Econometric Theory. 35:547-600

Predmety: Non-Markovian processes: hypothesis testing, Asymptotic distribution theory in statistics, HB, 01 natural sciences, Applications of statistics to biology and medical sciences, meta analysis, Time series, auto-correlation, regression, etc. in statistics (GARCH), stationarity, Brownian bridge, Monte Carlo experiment, Inference from stochastic processes and spectral analysis, asymptotic distribution, 0101 mathematics, inflation dynamics, QA, Applications of statistics to economics

Popis súboru: application/xml; application/pdf

Prístupová URL adresa: http://eprints.lse.ac.uk/103002/1/TestingStability.pdf
http://wrap.warwick.ac.uk/111209/1/WRAP-test-weak-stationarity-spectral-domain-Souza-2018.pdf
https://www.cambridge.org/core/journals/econometric-theory/article/test-for-weak-stationarity-in-the-spectral-domain/4FEEB694923DB855F1B2FC463EC7FE7F
https://eprints.lse.ac.uk/103002/
http://eprints.lse.ac.uk/103002/

Locally stationary spatio-temporal processes

Autori: Yasumasa Matsuda Yoshihiro Yajima

Zdroj: Japanese Journal of Statistics and Data Science. 1:41-57

Predmety: spatially dependent spectral density function, Whittle likelihood estimation, Inference from spatial processes, seasonal AR model, compound Poisson, spatial nonstationarity, 01 natural sciences, locally stationary process, Time series, auto-correlation, regression, etc. in statistics (GARCH), CARMA kernel, 13. Climate action, Inference from stochastic processes and spectral analysis, 0101 mathematics, Applications of statistics to environmental and related topics

Popis súboru: application/xml

Prístupová URL adresa: http://altmetrics.ceek.jp/article/hdl.handle.net/10097/00122062
https://link.springer.com/article/10.1007/s42081-018-0003-9/fulltext.html
https://link.springer.com/article/10.1007/s42081-018-0003-9

A Frequency‐Domain Test to Check Equality in Spectral Densities of Multiple Time Series With Unequal Lengths: A frequency-domain test to check equality in spectral densities of multiple time series with unequal lengths

Autori: Lei Jin

Zdroj: Journal of Time Series Analysis. 39:618-633

Predmety: Time series, auto-correlation, regression, etc. in statistics (GARCH), Asymptotic properties of nonparametric inference, 0502 economics and business, 05 social sciences, spectral density, autocovariance, Inference from stochastic processes and spectral analysis, log periodogram, order selection, time series, 0101 mathematics, 01 natural sciences, local alternatives

Popis súboru: application/xml

Prístupová URL adresa: https://ideas.repec.org/a/bla/jtsera/v39y2018i4p618-633.html
https://rss.onlinelibrary.wiley.com/doi/10.1111/jtsa.12291
https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12291

Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain

Autori: Suhasini Subba Rao Junho Yang

Zdroj: The Annals of Statistics. 49

Predmety: discrete Fourier transform, biorthogonal transforms, Toeplitz inverse, Point estimation, Mathematics - Statistics Theory, Statistics Theory (math.ST), periodogram, 01 natural sciences, Time series, auto-correlation, regression, etc. in statistics (GARCH), second order stationary time series, FOS: Mathematics, quasi-likelihoods, Inference from stochastic processes and spectral analysis, 0101 mathematics

Popis súboru: application/xml

Prístupová URL adresa: http://arxiv.org/pdf/2001.06966
http://arxiv.org/abs/2001.06966
https://ui.adsabs.harvard.edu/abs/2020arXiv200106966S/abstract
https://projecteuclid.org/journals/annals-of-statistics/volume-49/issue-5/Reconciling-the-Gaussian-and-Whittle-likelihood-with-an-application-to/10.1214/21-AOS2055.full

Statistical inference for quantiles in the frequency domain

Autori: Yan Liu

Zdroj: Statistical Inference for Stochastic Processes. 20:369-386

Predmety: quantile test, 0502 economics and business, 05 social sciences, Inference from stochastic processes and spectral analysis, frequency domain, periodogram, asymptotic distribution, 0101 mathematics, Nonparametric estimation, stationary process, 01 natural sciences

Popis súboru: application/xml

Prístupová URL adresa: https://zbmath.org/6821281
https://doi.org/10.1007/s11203-017-9166-4
https://waseda.pure.elsevier.com/en/publications/statistical-inference-for-quantiles-in-the-frequency-domain
https://ideas.repec.org/a/spr/sistpr/v20y2017i3d10.1007_s11203-017-9166-4.html
https://link.springer.com/article/10.1007/s11203-017-9166-4

Analysis of Non‐Stationary Modulated Time Series with Applications to Oceanographic Surface Flow Measurements: Analysis of non-stationary modulated time series with applications to oceanographic surface flow measurements

Autori: Arthur P. Guillaumin Adam M. Sykulski Sofia C. Olhede a ďalší

Zdroj: Journal of Time Series Analysis

Predmety: Mathematics, Interdisciplinary Applications, SPECTRAL DENSITY-ESTIMATION, Statistics & Probability, MODELS, physics.ao-ph, 01 natural sciences, PARAMETERS, missing data, 1403 Econometrics, surface drifters, Interdisciplinary Applications, Inference from stochastic processes and spectral analysis, Econometrics, 14. Life underwater, 0101 mathematics, stat.AP, Modulation, Whittle likelihood, Science & Technology, 0103 Numerical and Computational Mathematics, non-stationary, 0104 Statistics, non‐stationary, periodogram, modulation, physics.flu-dyn, Time series, auto-correlation, regression, etc. in statistics (GARCH), stat.ME, 13. Climate action, Physical Sciences, Applications of statistics to environmental and related topics, Mathematics

Popis súboru: application/xml

Prístupová URL adresa: https://discovery.ucl.ac.uk/1496574/1/Olhede_1605.09107v2.pdf
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3021405
https://discovery.ucl.ac.uk/1496574/
http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12244/full
https://eprints.lancs.ac.uk/id/eprint/87310/
https://ideas.repec.org/a/bla/jtsera/v38y2017i5p668-710.html
https://jglobal.jst.go.jp/en/detail?JGLOBAL_ID=201702290900027108
http://hdl.handle.net/10044/1/98143
https://discovery-pp.ucl.ac.uk/id/eprint/1496574/

ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES: Asymptotic theory for spectral density estimates of general multivariate time series

Autori: Wu W. B. Zaffaroni P.

Zdroj: Econometric Theory. 34:1-22

Predmety: Mathematics, Interdisciplinary Applications, Economics, Statistics & Probability, Social Sciences, 01 natural sciences, NUMBER, Business & Economics, Asymptotic properties of nonparametric inference, REGRESSION, 1403 Econometrics, Interdisciplinary Applications, Inference from stochastic processes and spectral analysis, Econometrics, 0101 mathematics, Applications of statistics to economics, ORIGIN KERNELS, Science & Technology, Asymptotic distribution theory in statistics, 0104 Statistics, TRUNCATION, Mathematical Methods, Social Sciences, Mathematical Methods, uniform convergence, factor models, nonparametric, Time series, auto-correlation, regression, etc. in statistics (GARCH), Physical Sciences, FACTOR MODELS, Mathematics, Mathematical Methods In Social Sciences

Popis súboru: application/xml; application/pdf

Prístupová URL adresa: https://www.cambridge.org/core/journals/econometric-theory/article/abs/asymptotic-theory-for-spectral-density-estimates-of-general-multivariate-time-series/8FCD3DFFD9A30DEF356EEE8DD203030D
https://ideas.repec.org/a/cup/etheor/v34y2018i01p1-22_00.html
http://hdl.handle.net/10044/1/74345
https://hdl.handle.net/11573/1417127
https://doi.org/10.1017/S0266466617000068

Spectral analysis of expanding one-dimensional chaotic transformations

Autori: Lopes, Artur Oscar Souza, Rafael Rigão Lopes, Silvia Regina Costa

Zdroj: Repositório Institucional da UFRGS
Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS

Predmety: Ergodic theorems, spectral theory, Markov operators, expanding maps, Time series, auto-correlation, regression, etc. in statistics (GARCH), Processos estocasticos estacionarios : Series temporais caoticas, spectral density, Sistemas dinamicos : Medidas invariantes : Analise espectral : Densidade espectral, Inference from stochastic processes and spectral analysis, spectral distribution function, 0101 mathematics, 01 natural sciences, expanding one-dimensional chaotic transformations, stationary stochastic processes, zeta function

Popis súboru: application/xml; application/pdf

Prístupová URL adresa: https://zbmath.org/989770
http://hdl.handle.net/10183/204983

Spectral analysis of chaotic transformations

Autori: Lopes, Artur Oscar Lopes, Silvia Regina Costa Souza, Rafael Rigão

Zdroj: Repositório Institucional da UFRGS
Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS

Predmety: Analise espectral : Densidade espectral : Transformacoes caoticas, Stationary stochastic processes, Processos estocasticos estacionarios : Series temporais caotcas, chaotic time series, Inference from stochastic processes and spectral analysis, spectral distribution function, periodogram, spectral analysis

Popis súboru: application/xml; application/pdf

Prístupová URL adresa: https://zbmath.org/1053611
http://hdl.handle.net/10183/204987

On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

Autori: Loubaton, Philippe Rosuel, Alexis Vallet, Pascal

Prispievatelia: Loubaton, Philippe Rosuel, Alexis Vallet, Pascal

Zdroj: Journal of Multivariate Analysis. 194:105124

Predmety: FOS: Computer and information sciences, Asymptotic distribution theory in statistics, Probability (math.PR), 05 social sciences, Time Series, Mathematics - Statistics Theory, Statistics Theory (math.ST), 01 natural sciences, spectral analysis, [STAT] Statistics [stat], Spectral Analysis, Methodology (stat.ME), High Dimensional Statistics, Time series, auto-correlation, regression, etc. in statistics (GARCH), independence test, high-dimensional statistics, Independence Test, 0502 economics and business, FOS: Mathematics, Inference from stochastic processes and spectral analysis, time series, 0101 mathematics, Hypothesis testing in multivariate analysis, Mathematics - Probability, Statistics - Methodology

Popis súboru: application/xml; application/pdf

Prístupová URL adresa: http://arxiv.org/abs/2107.02891

A test for second order stationarity of a multivariate time series

Autori: Suhasini Subba Rao Carsten Jentsch

Zdroj: Journal of Econometrics. 185:124-161

Predmety: Applications of statistics to actuarial sciences and financial mathematics, nonlinear time series, discrete Fourier transform, 05 social sciences, local stationarity, 01 natural sciences, Economic time series analysis, Time series, auto-correlation, regression, etc. in statistics (GARCH), testing for stationarity, 0502 economics and business, Inference from stochastic processes and spectral analysis, 14. Life underwater, 0101 mathematics, stationary bootstrap

Popis súboru: application/xml

Prístupová URL adresa: http://mammen.vwl.uni-mannheim.de/fileadmin/user_upload/mammen/Jentsch/jentsch_subbarao_multivariate_test_stationarity_webpage_revision2.pdf
https://ideas.repec.org/a/eee/econom/v185y2015i1p124-161.html
https://EconPapers.repec.org/RePEc:eee:econom:v:185:y:2015:i:1:p:124-161
http://mammen.vwl.uni-mannheim.de/fileadmin/user_upload/mammen/Jentsch/jentsch_subbarao_multivariate_test_stationarity_webpage_revision2.pdf
https://agris.fao.org/agris-search/search.do?recordID=US201900027337
https://www.sciencedirect.com/science/article/abs/pii/S030440761400195X

Joint convergence of sample autocovariance matrices when $p/n\to 0$ with application: Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application

Autori: Bhattacharjee, Monika Bose, Arup

Zdroj: Ann. Statist. 47, no. 6 (2019), 3470-3503

Predmety: 58C40, sample autocovariance matrices, limiting spectral distribution, estimation, Asymptotic distribution theory in statistics, asymptotic normality, 37M10, moving average process, 01 natural sciences, testing of hypothesis, Moving average process, Time series, auto-correlation, regression, etc. in statistics (GARCH), 62M10, Time series analysis of dynamical systems, Inference from stochastic processes and spectral analysis, Spectral theory, eigenvalue problems on manifolds, trace, 0101 mathematics, Hypothesis testing in multivariate analysis

Popis súboru: application/xml; application/pdf

Prístupová URL adresa: https://zbmath.org/7151068
https://doi.org/10.1214/18-aos1785
https://projecteuclid.org/journals/annals-of-statistics/volume-47/issue-6/Joint-convergence-of-sample-autocovariance-matrices-when-p-nto-0/10.1214/18-AOS1785.full
https://projecteuclid.org/euclid.aos/1572487400

Bootstrap estimation of population spectrum with replicated time series

Autori: Flores, C. N. Hernández Romero, J. Artiles Santana, P. Saavedra a ďalší

Prispievatelia: Flores, C. N. Hernández Romero, J. Artiles Santana, P. Saavedra a ďalší

Zdroj: Revista de la Academia Canaria de Ciencias: = Folia Canariensis Academiae Scientiarum[ISSN 1130-4723],v. 8 (1), p. 19-29
accedaCRIS portal de investigación de la Universidad de las Palmas de Gran Canaria
instname

Predmety: replicated time series, Nonparametric statistical resampling methods, Inference from stochastic processes and spectral analysis, periodogram, population spectrum, spectrum estimator, bootstrap

Popis súboru: application/xml

Prístupová URL adresa: http://hdl.handle.net/10553/57468
http://dialnet.unirioja.es/servlet/articulo?codigo=2899000
https://zbmath.org/1106558

Population spectrum comparison test

Autori: Artiles-Romero, J. Hernández-Flores, C. N. Luengo-Merino, I. a ďalší

Prispievatelia: Artiles-Romero, J. Hernández-Flores, C. N. Luengo-Merino, I. a ďalší

Zdroj: Revista de la Academia Canaria de Ciencias: = Folia Canariensis Academiae Scientiarum[ISSN 1130-4723],v. 15 (1), p. 21-29
accedaCRIS portal de investigación de la Universidad de las Palmas de Gran Canaria
instname

Predmety: Time series, auto-correlation, regression, etc. in statistics (GARCH), Test, replicated time series, Mallows metric, 5302 Econometría, Nonparametric statistical resampling methods, Inference from stochastic processes and spectral analysis, spectral estimate, periodogram, bootstrap, Población, Nonparametric hypothesis testing

Popis súboru: application/xml

Prístupová URL adresa: http://dialnet.unirioja.es/servlet/articulo?codigo=2773631
http://hdl.handle.net/10553/57520
https://zbmath.org/2201191