A log log law for unstable ARMA models with applications to time series analysis
نویسندگان
چکیده
منابع مشابه
a time-series analysis of the demand for life insurance in iran
با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند
A Log Log Law for Maximal Uniform Spacings
McGill University Let X1 , X2, • . . be a sequence of independent uniformly distributed random variables on [0, 1] and Kn be the kth largest spacing induced by X 1 , X12 . We show that P(Kn < (log n log3n log 2)/n i .o .) = 1 where log, is the j times iterated logarithm. This settles a question left open in Devroye (1981) . Thus, we have lim inf(nKn log n + log3n) _ -log 2 almost surely, and li...
متن کاملARMA Time-Series Modeling with Graphical Models
We express the classic ARMA time-series model as a directed graphical model. In doing so, we find that the deterministic relationships in the model make it effectively impossible to use the EM algorithm for learning model parameters. To remedy this problem, we replace the deterministic relationships with Gaussian distributions having a small variance, yielding the stochastic ARMA (σARMA) model....
متن کاملTime series analysis of a Web search engine transaction log
a The Harold and Inge Marcus Department of Industrial and Manufacturing Engineering, College of Engineering, The Pennsylvania State University, University Park, PA 16802, United States 329F Information Sciences and Technology Building, College of Information Sciences and Technology, The Pennsylvania State University, University Park, PA 16802, United States c Faculty of Information Technology, ...
متن کاملAnalysis of ecological time series with ARMA(p,q) models.
Autoregressive moving average (ARMA) models are useful statistical tools to examine the dynamical characteristics of ecological time-series data. Here, we illustrate the utility and challenges of applying ARMA (p,q) models, where p is the dimension of the autoregressive component of the model, and q is the dimension of the moving average component. We focus on parameter estimation and model sel...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1992
ISSN: 0047-259X
DOI: 10.1016/0047-259x(92)90021-7