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Asymptotic Inference of Autocovariances of Stationary Processes
Autocovariance blocks of blocks bootstrapping Box-Pierce test extreme value distribution moderate deviation normal comparison physical dependence measure short range dependence stationary process summability of cumulants
2011/6/17
The paper presents a systematic theory for asymptotic inference of autocovariances of
stationary processes.We consider nonparametric tests for serial correlations based on the maximum (or
L1) and th...
Some remarks on J(o)-regularity and J(o)-singularity of q-variate stationary processes
Some remarks on J(o)-regularity J(o)-singularity q-variate stationary processes
2009/9/22
We give a new proof of Makagon's and Weron's criterion
for Jo-regularity (see [4], Theorem 5.3), and discuss some
conditions of Jo-singularity of q-variate stationary processes.
Spectral Analysis of Non-Stationary Processes Using the Fourier Transform
Spectral Analysis Non-Stationary Processes the Fourier Transform
2009/9/17
Spectral Analysis of Non-Stationary Processes Using the Fourier Transform。
A Note on Occupation Times of Stationary Processes
cyclically stationary processes diffusion processes krein's theory of strings
2009/4/24
Consider a real valued stationary process $X={X_s:, sinRR}$. For a fixed $tin RR$ and a set $D$ in the state space of $X$, let $g_t$ and $d_t$ denote the starting and the ending time, respectively, of...
A Note on Occupation Times of Stationary Processes
Note Occupation Times Stationary Processes
2009/4/7
Consider a real valued stationary process $X={X_s:, sinRR}$. For a fixed $tin RR$ and a set $D$ in the state space of $X$, let $g_t$ and $d_t$ denote the starting and the ending time, respectively, of...
The Bernstein-von Mises Theorem for Stationary Processes
Bernstein-von Mises theorem short- and long-memory stationary processes
2009/3/5
This paper discusses the asymptotic properties of the posterior density under Whittle measure. The Bernstein-von Mises theorem is shown for short- and long-memory stationary processes. Applications to...
Generalized Information Criteria in Model Selection for Locally Stationary Processes
Generalized information criterion locally stationary process minimum distance estimation misspecified models time varying spectral density
2009/3/5
The problem of fitting a parametric model of time series with time varying parameters attracts our attention. We evaluate a goodness of time varying spectral models from an information theoretic point...