منابع مشابه
Testing stationarity of functional time series
Economic and financial data often take the formof a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that must be addressed, before an attempt is made to statistically model such data, is whether these curves...
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Deciding whether seasonality is of a stochastic nature, and thus slowly changing over time, or deterministic and thus repeating in the same way each season can have a substantial impact on forecast accuracy. Tests for stochastic seasonality, called seasonal unit root tests, have been developed for certain common seasonal periods, like 12 (monthly data) 4 and 2, but until now have not been avail...
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In this report we describe our analysis of the influence of sea clutter non stationarity on the clutter covariance matrix estimation and its impact on the CFAR property of the normalized adaptive matched filter (NAMF). Three estimators have been considered in the analysis, i.e. the sample covariance matrix (SCM), the normalized sample covariance matrix (NSCM), and the fixed point (PF) estimator...
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The previous literature mainly assumes that the mergers and acquisitions (M&As) and their payment-forms are unpredictable prior to the first bid announcement day. Using a sample of 125 completed acquisitions between U.S. public firms from 2003 to 2006, I find that a bid offer is anticipated on average 187 trading days before the announcement day in 86% of deals. The market also anticipates the ...
متن کاملDynamic Random Coefficient Models A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models
In this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions. JEL codes: C22
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2007
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474930701639080