Wavelet based time-varying vector autoregressive modelling
نویسندگان
چکیده
منابع مشابه
Wavelet based time-varying vector autoregressive modelling
Vector autoregressive (VAR) modelling is one of the most popular approaches in multivariate time series analysis. The parameters interpretation is simple, and provide an intuitive identification of relationships and Granger causality among time series. However, the VAR modelling requires stationarity conditions which could not be valid in many practical applications. Locally stationary or time ...
متن کاملForecasting with time-varying vector autoregressive models
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility covariance matrix of the time series is modelled via inverted Wishart and singular multivariate beta distributions allowing a fully conjugate Bayesian infere...
متن کاملTime-varying modeling of gene expression regulatory networks using the wavelet dynamic vector autoregressive method
MOTIVATION A variety of biological cellular processes are achieved through a variety of extracellular regulators, signal transduction, protein-protein interactions and differential gene expression. Understanding of the mechanisms underlying these processes requires detailed molecular description of the protein and gene networks involved. To better understand these molecular networks, we propose...
متن کاملNonlinear Wavelet Estimation of Time-varying Autoregressive Processes
We consider nonparametric estimation of the parameter functions a i () , i = 1; : : : ; p , of a time-varying autoregressive process. Choosing an orthonormal wavelet basis representation of the functions a i , the empirical wavelet coeecients are derived from the time series data as the solution of a least squares minimization problem. In order to allow the a i to be functions of inhomogeneous ...
متن کاملNonlinear wavelet estimation of time- varying autoregressive processes
R A I N E R DA H L H AU S , 1 M I C H A E L H . N E U M A N N 2 and RAINER VON SACHS 3 Institut fuÈ r Angewandte Mathematik, UniversitaÈ t Heidelberg, Im Neuenheimer Feld 294, D-69120 Heidelberg, Germany. E-mail: [email protected] SFB 373, Humboldt-UniversitaÈ t zu Berlin, Spandauer Strasse 1, D-10178 Berlin, Germany. E-mail: [email protected] Institut de Statistique, U...
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: Computational Statistics & Data Analysis
سال: 2007
ISSN: 0167-9473
DOI: 10.1016/j.csda.2006.10.027