A key application of long memory time series models concerns innation. Long memory implies that shocks have a long-lasting eeect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for innation, where the shifts may be caused by sudden oil price shocks, we examine whether evidence for long memory (...

This paper proposes a novel method for detecting foreground objects in nonstationary complex environments containing moving background objects. We derive a Bayes decision rule for classification of background and foreground changes based on inter-frame color co-occurrence statistics. An approach to store and fast retrieve color co-occurrence statistics is also established. In the proposed metho...

Three ARIMA forecast extension procedures for Census Bureau X-11 concurrent seasona adjustment were empirically tested. Forecasts were obtained from fitted seasonal ARIMA models augmented with regression terms for ouffiers, trading day effects, and Easter effects. Revisions between initia1 and fina seasonaIIy adjusted vaIues were computed. Ranked ANOVAs were used on various revision measures to...

This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the squared and the absolute values of the returns series, and the stability of the parameters across time i...

This paper analyzes the second order bias of instrumental variables estimators for a dynamic panel model with fixed effects. Three different methods of second order bias correction are considered. Simulation experiments show that these methods perform well if the model does not have a root near unity but break down near the unit circle. To remedy the problem near the unit root a weak instrument...

In recent years many tools and algorithms for model comparison and differencing were proposed. Typically, the main focus of the research laid on being able to compute the difference in the first place. Only very few papers addressed the quality of the delivered differences sufficiently. Hence, this is a general shortcoming in the state-of-the-art. Currently, there are no established community s...

ARFIMA is a time series forecasting model, which is an improve d ARMA model, the ARFIMA model proposed in this article is d emonstrated and deduced in detail. combined with network traffi c of CERNET backbone and the ARFIMA model,the result sho ws that,compare to the ARMA model, the prediction efficiency a nd accuracy has increased significantly, and not susceptible to sa mpling.

This paper presents NeuroChess, a program which learns to play chess from the final outcome of games. NeuroChess learns chess board evaluation functions, represented by artificial neural networks. It integrates inductive neural network learning, temporal differencing, and a variant of explanation-based learning. Performance results illustrate some of the strengths and weaknesses of this approach.

Artificial neural networks (ANNs) are flexible computing frameworks and universal approximators that can be applied to a wide range of time series forecasting problems with a high degree of accuracy. However, despite all advantages cited for artificial neural networks, their performance for some real time series is not satisfactory. Improving forecasting especially time series forecasting accur...

Penalized splines are widespread tools for the estimation of trend and cycle, since they allow a data driven estimation of the penalization parameter by the incorporation into a linear mixed model. Based on the equivalence of penalized splines and the Hodrick-Prescott filter, this paper connects the mixed model framework of penalized splines to the WienerKolmogorov filter. In the case that tren...