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Precision of yule-walker methods for the arma spectral model
(2004-12-01)
In this work a new method is proposed of separated estimation for the ARMA spectral model based on the modified Yule-Walker equations and on the least squares method. The proposal of the new method consists of performing ...
Precision of yule-walker methods for the arma spectral model
(2004-12-01)
In this work a new method is proposed of separated estimation for the ARMA spectral model based on the modified Yule-Walker equations and on the least squares method. The proposal of the new method consists of performing ...
A Bayesian Analysis of Spectral ARMA Model
(Hindawi Publishing Corporation, 2012-01-01)
Bezerra et al. (2008) proposed a new method, based on Yule-Walker equations, to estimate the ARMA spectral model. In this paper, a Bayesian approach is developed for this model by using the noninformative prior proposed ...
A Bayesian Analysis of Spectral ARMA Model
(Hindawi Publishing Corporation, 2012-01-01)
Bezerra et al. (2008) proposed a new method, based on Yule-Walker equations, to estimate the ARMA spectral model. In this paper, a Bayesian approach is developed for this model by using the noninformative prior proposed ...
A Bayesian Analysis of Spectral ARMA Model
(Hindawi Publishing CorporationNew YorkEUA, 2012)
A Bayesian Analysis of Spectral ARMA Model
(Hindawi Publishing Corporation, 2014)
A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
(2023-03)
The class of locally stationary processes assumes a time-varying (tv) spectral representation and finite second moment. Different areas have observed phenomena with heavy tail distributions or infinite variance. Using ...
Indirect inference for locally stationary ARMA processes with stable innovations
(2020)
The class of locally stationary processes assumes that there is a time-varying spectral representation, that is, the existence of finite second moment. We propose the α-stable locally stationary process by modifying the ...