Buscar
Mostrando ítems 1-10 de 152
Adaptive Radar Detection Algorithm Based on an Autoregressive GARCH-2D Clutter Model
(Institute of Electrical and Electronics Engineers, 2014-06)
We propose a model for radar clutter that combinesan autoregressive (AR) process with a two-dimensional generalizedautoregressive conditional heteroscedastic (GARCH-2D) process.Based on this model, we derive an adaptive ...
The finite-sample size of the BDS test for GARCH standardized residuals
(2014-05-05)
This paper uses a multivariate response surface methodology to analyze the size distortion of the BDS test when applied to standardized residuals of rst-order GARCH processes. The results show that the asymptotic standard ...
The Finite-Sample Size of the BDS Test for GARCH Standardized ResidualsThe Finite-Sample Size of the BDS Test for GARCH Standardized Residuals
(Sociedade Brasileira de Econometria, 2012)
The finite-sample size of the BDS test for GARCH standardized residuals
(Sociedade Brasileira de Econometria, 2012-04-25)
This paper uses a multivariate response surface methodology to analyze the size distortion of the BDS test when applied to standardized residuals of rst-order GARCH processes. The results show that the asymptotic standard ...
Radar detection algorithm for GARCH clutter model
(Elsevier Inc, 2013-07)
We propose a GARCH model to represent the clutter in radar applications. We fit this model to real sea clutter data and we show that it represents adequately the statistics of the data. Then, we develop a detection test ...
Mensuração de risco de mercado com modelo Arma-Garch e distribuição T assimétrica
(2017-08-22)
A proposta do estudo é aplicar ao Ibovespa, modelo paramétrico de VaR de 1 dia, com distribuição dos retornos dinâmica, que procura apreciar características empíricas comumente apresentadas por séries financeiras, como ...