Asymptotic properties of MLEs and QMLEs of mixed regressive, spatial autoregressive models are investigated. The stochastic rates of convergence of the MLE and QMLE for such models may be less than the √ n-rate under some circumstances even though its limiting distribution is asymptotically normal. When spatially varying regressors are relevant, the MLE and QMLE of the mixed regressive, autoreg...

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P 500 index over a long period of time. Trading profits are examined using bootstrap simulation to add...

We evaluated the behavior of a multi-user multiple-input multiple-output (MIMO) system in time-varying channels using measured data. A base station for downlink or broadcast transmission requires downlink channel state information (CSI), which is outdated in time-varying environments and we encounter degraded performance due to interference. One of the countermeasures against time-variant envir...

Time series techniques are applied to Ghara-Aghaj flow records, in order to generate forecast values of the mean monthly river flows. The study of data and its correlogram shows the effect of seasonality and provide no evidence of trend. The autoregressive models of order one and two (AR1, AR2), moving average model of order one and ARMA (1,1) model are fitted to the stationary series, where th...

This article considers a semiparametric spatial autoregressive (SAR) panel data model with fixed effects and time-varying coefficients. The coefficients are allowed to follow unknown functions of time, while the other parameters assumed be constants. We propose local linear quasi-maximum likelihood estimation method obtain consistent estimators for SAR coefficient, variance error term, nonparam...

In case of a strong frequency modulated interference in a spread spectrum communication system, the interference can be effectively suppressed by applying a time-varying notch filter with its zero(s) placed at an instantaneous frequency (IF) estimate of the interference. In this paper, we present the use of a timevarying autoregressive model based IF estimator in such a scenario. We model the r...