نتایج جستجو برای: series test
تعداد نتایج: 1133939 فیلتر نتایج به سال:
This paper considers the estimation of the parameters of a copula via a simulated method of moments type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals of the copula that are of particular interest. The proposed approach naturally also nests method of moments ...
Funding information ETS AssetManagement Factory, Project Name: “Tecnologías de tratamiento de señal paramercados financieros” In this paper, we present a novel approach to the generation of virtual scenarios of multivariate financial data of arbitrary length and composition of assets. With this approach, decades of realistic time-synchronized data can be simulated for a large number of assets, ...
We define the AR(1) process and its properties and applications. We demonstrate the applicability of our method to model time series data consisting of daily values of the interest rate on federal funds. We show that correctly identifying the distribution of the errors terms allows for correct modelling of the data. Furthermore, we show our conclusions concerning the hypothesis test for goodnes...
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