Order determination and parameter estimation of autoregressive models

DISSERTATION published

Authors: A. A. (Anthony A.) McDevitt

Estimation and testing in generalized mean-reverting processes with change-point

JOURNAL ARTICLE published April 2018 in Statistical Inference for Stochastic Processes

Research funded by Natural Sciences and Engineering Research Council of Canada (303512)

Authors: Sévérien Nkurunziza | Pei Patrick Zhang

Adaptive parameter estimation of autoregressive signals from noisy observations

PROCEEDINGS ARTICLE published in ICSP '98. 1998 Fourth International Conference on Signal Processing (Cat. No.98TH8344)

On the sample variance of explosive random coefficient autoregressive processes

JOURNAL ARTICLE published December 2011 in Applied Mathematics Letters

Authors: Terence Tai-Leung Chong | Wai-Kit Leung

CARMA(p,q) generalized random processes

JOURNAL ARTICLE published December 2010 in Journal of Statistical Planning and Inference

Authors: Peter J. Brockwell | Jan Hannig

A Random Coefficient Investment Model

BOOK CHAPTER published 1971 in Statistical Inference in Random Coefficient Regression Models

Authors: P. A. V. B. Swamy

Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes

JOURNAL ARTICLE published January 1991 in Communications in Statistics - Theory and Methods

Authors: I.V. Basawa | A.K. Mallik | W.P. McCornick | J.H. Reeves | R.L. Taylor

Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference

JOURNAL ARTICLE published 1 January 2018 in Electronic Journal of Statistics

Authors: Annabel Prause | Ansgar Steland

Non-parametric estimation of the diffusion coefficient from noisy data

JOURNAL ARTICLE published October 2012 in Statistical Inference for Stochastic Processes

Authors: Emeline Schmisser

Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model

JOURNAL ARTICLE published October 2019 in Statistical Papers

Research funded by Department of Science and Technology, India (SR/S4/MS-866/13)

Authors: Manik Awale | N. Balakrishna | T. V. Ramanathan

Estimation Problems in Branching Processes with Random Environments

JOURNAL ARTICLE published 1 May 1979 in The Annals of Statistics

Authors: J. P. Dion | W. W. Esty

Estimation in nonstationary random coefficient autoregressive models

JOURNAL ARTICLE published July 2009 in Journal of Time Series Analysis

Authors: István Berkes | Lajos Horváth | Shiqing Ling

Sparse estimation for generalized exponential marked Hawkes process

JOURNAL ARTICLE published April 2023 in Statistical Inference for Stochastic Processes

Authors: Masatoshi Goda

Bayesian curve estimation by polynomial of random order

JOURNAL ARTICLE published July 1998 in Journal of Statistical Planning and Inference

Authors: Bani.K. Mallick

First-order seasonal autoregressive processes with periodically varying parameters

JOURNAL ARTICLE published May 2004 in Statistics & Probability Letters

Authors: I.V. Basawa | Robert Lund | Qin Shao

Parameter adaptive estimation of random processes

PROCEEDINGS ARTICLE published December 1975 in 1975 IEEE Conference on Decision and Control including the 14th Symposium on Adaptive Processes

Authors: A. Caglayan | H. VanLandingham

A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models

JOURNAL ARTICLE published March 1998 in Advances in Applied Probability

Authors: Andreas Rudolph

Extremal Behavior of the Generalized Integer-Valued Random Coefficient Autoregressive Process

BOOK CHAPTER published 2013 in Studies in Theoretical and Applied Statistics

Authors: Luísa Canto e Castro | Dulce Gomes | Maria da Graça Temido

Robust Tests for Time Series with an Application to First-Order Autoregressive Processes

JOURNAL ARTICLE published December 1985 in Biometrika

Authors: I. V. Basawa | R. M. Huggins | R. G. Staudte

Maximum Likelihood Estimation of Parameters of Autoregressive Processes with Moving Average Residuals and Other Covariance Matrices with Linear Structure

JOURNAL ARTICLE published 1 November 1975 in The Annals of Statistics

Authors: T. W. Anderson