Testing for the buffered autoregressive processes

Testing and Modeling Threshold Autoregressive Processes

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Testing for Seasonal Unit Roots in Periodic Integrated Autoregressive Processes

On the existence of Hilbert valued periodically correlated‎ autoregressive processes

‎In this paper we provide sufficient condition for existence of a‎ ‎unique Hilbert valued ($mathbb{H}$-valued) periodically‎ ‎correlated solution to the first order autoregressive model‎ ‎$X_{n}=rho _{n}X_{n-1}+Z_{n}$‎, ‎for $nin mathbb{Z}$‎, ‎and‎ ‎formulate the existing solution and its autocovariance operator‎. ‎Also we specially investigate equivalent condition for the‎ ‎coordinate process...

Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes

Abstract. Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average) models for seasonal streamflow series). However, with McLeod-Li test and Engle’s Lagrange Multiplier test, clear evidences are found for t...

Autoregressive Negative Binomial Processes

Abstract We start by studying first-order autoregressive negative binomial (NBD) processes. We then compare maximum likelihood and moment based estimators of the parameters of the NBD INAR(1) model and show that the degree of dependence has significant effect on the quality of the estimators. Finally, we construct NBD processes with long-range dependence by using the NBD INAR(1) processes as ba...