In this note we show how specify cointegrated vector autoregressive-moving average models and how they can be used to generate cointegrated time series.

A future increase of short-term precipitation intensities may lead to problems in sewer systems, such as increased overflow volumes and flood risks. To quantify the consequences, downscaling of climate model precipitation is required to the scales relevant in urban hydrology. In the SUDPLAN project, a system where users may upload historical time series to be used as a basis for such downscalin...

In a society, a proportion of the individuals can benefit from creativity without being creative themselves by copying the creators. This paper uses an agent-based model of cultural evolution to investigate how society is affected by different levels of individual creativity. We performed a time series analysis of the mean fitness of ideas across the artificial society varying both the percenta...

We present a new approach to generalised autoregressive conditional heteroscedasitic (GARCH) modelling for asset returns. Instead of attempting to choose a speciic distribution for the errors, as in the usual GARCH model formulation, we use a nonparametric distribution to estimate these errors. This takes into account the common problems encountered in nan-cial time series, for example, asymmet...

In this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider...

Using the spectral regression and Gaussian semiparametric methods of estimating the long-memory parameter, we test for fractional dynamic behavior in a number of important Japanese financial time series: spot exchange rates, forward exchange rates, stock prices, currency forward premia, Euroyen deposit rates, and the Euroyen term premium. Stochastic long memory is established as a feature of th...

The traditional base state with amendments model usually use the time sequence when choosing the base state to manipulate and it is usually use the extension of time point to represent the time-slot retrieval, which ignores the adjacent feature of the time point in a certain time-slot. The concept of operated base state and operation times is introduce in this paper, in which a base state with ...

This paper reviews the main estimation and prediction results derived in the context of functional time series, when Hilbert and Banach spaces are considered, specially, in the context of autoregressive processes of order one (ARH(1) and ARB(1) processes, for H and B being a Hilbert and Banach space, respectively). Particularly, we pay attention to the estimation and prediction results, and sta...