The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
We consider an alternative approach based on copulas to investigate dependence structures of stationary Markov type time series vector. Based on the properties of parametric estimators of the 2SPMLE, we propose a method of parametric estimation of three-stage pseudo maximum likelihood estimation and investigate the asymptotic normality of parametric estimators.
In this paper we propose a Bayesian framework for estimation of parameters of a mixture of autoregressive model, for time series clustering. The proposed approach is based on variational principles and provides a tractable approximation to the true posterior density that minimizes Kullback-Liebler(KL) divergence w.r.t prior distribution. The proposed approach is applied both on simulated and real...
The present paper deals with modification of the neural networks estimation method of the maximal Lyapunov exponent (MLE) for chaotic time series and development of this method for processing series with real world application. Namely, the necessity to use committees of neural networks for MLE calculation is strongly grounded. The method of estimating the Lyapunov exponent calculation error is elaborated...
A novel approach to fast ARMA spectral estimation is proposed. The proposed approach is based on a correlation version of the recently introduced Suboptimum Maximum Likelihood technique, and significantly reduces the computational and memory storage requirements, while maintaining the high estimation accuracy. The consistency of the proposed estimator is established, and a modified version that overcomes...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.