High moment partial sum processes of residuals in GARCH models and their applications

High Moment Partial Sum Processes of Residuals in Garch Models

In this paper we construct high moment partial sum processes based on residuals of a GARCH model when the mean is known to be 0. We consider partial sums of kth powers of residuals, CUSUM processes and self-normalized partial sum processes. The kth power partial sum process converges to a Brownian process plus a correction term, where the correction term depends on the kth moment μk of the inno...

the relationship between academic self-concept and academic achievement in english and general subjects of the students of high school

according to research, academic self-concept and academic achievement are mutually interdependent. in the present study, the aim was to determine the relationship between the academic self-concept and the academic achievement of students in english as a foreign language and general subjects. the participants were 320 students studying in 4th grade of high school in three cities of noor, nowshah...

investigation of single-user and multi-user detection methods in mc-cdma systems and comparison of their performances

در این پایان نامه به بررسی روش های آشکارسازی در سیستم های mc-cdma می پردازیم. با توجه به ماهیت آشکارسازی در این سیستم ها، تکنیک های آشکارسازی را می توان به دو دسته ی اصلی تقسیم نمود: آشکارسازی سیگنال ارسالی یک کاربر مطلوب بدون در نظر گرفتن اطلاعاتی در مورد سایر کاربران تداخل کننده که از آن ها به عنوان آشکارساز های تک کاربره یاد می شود و همچنین آشکارسازی سیگنال ارسالی همه ی کاربران فعال موجود در...

Semi-markov Decision Processes and Their Applications in Replacement Models

We consider the problem of minimizing the long-run average expected cost per unit time in a semiMarkov decision process with arbitrary state and action space. Using the idea of successive approximations, sufficient conditions for the existence of an optimal stationary policy are given. These results are applied to solve the replacement problem with a semi-Markov shock model.

Two Robust Fuzzy Regression Models and Their Applications in Predicting Imperfections of Cotton Yarn