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Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
Point Processes Modeling Time Series Exhibiting Power-Law Statistics
2010/10/18
We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activi...
Forecasting with time-varying vector autoregressive models
time-varying vector autoregressive models
2010/12/13
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible ...
In this article we propose a generalization of the linear factor model, that combines hidden Markov chain Models (HMM) with latent factor models. The HMM generates a piece-wise constant state evolutio...