Fitting time series models to nonstationary processes
نویسندگان
چکیده
منابع مشابه
Fitting Time-Series Input Processes for Simulation
Providing accurate and automated input modeling support is one of the challenging problems in the application of computer simulation. The models incorporated in current input-modeling software packages often fall short because they assume independent and identically distributed processes, even though dependent time-series processes occur naturally in many real-life systems. This paper introduce...
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This research was supported by the Army, Navy, Air Force and NASA under a contract. administered by the Office of Naval Research, with Yale University; by the National Science Foundation under Grant GU-2059 and the Air Force Office of Scientific Research under Contract AFOSR-68-l4l5 with the University of North Carolina at Chapel Hill. ** The major portion of the research for this paper was don...
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∗Preliminary Comments are welcome. Paper written for the Handbook of Financial Econometrics edited by Yacine Aı̈t-Sahalia and Lars Peter Hansen. We thank Darrell Duffie, Benoit Perron and Mark Watson for discussions and Seoyeon Lee for research assistance. Bandi acknowledges financial support from the IBM Corporation Faculty Research Fund at the University of Chicago. Phillips thanks fhe NSF for...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1997
ISSN: 0090-5364
DOI: 10.1214/aos/1034276620