论文检索

多元时间序列的降秩模型AI 解读

This paper is concerned with the investigation of reduced rank coefficient models for multiple time series. In particular, autoregressive processes which have a structure to their coefficient matrices similar to that of classical multivariate reduced rank regression are studied in detail. The estimation of parameters and associated asymptotic theory are derived. The exact correspondence between the reduced rank regression procedure for multiple autoregressive processes and…

摘要暂缺

摘要暂缺

股票市场价格的稳定帕累托行为AI 解读

In this article we present some empirical evidence which indicates that attempts to represent the probability distribution of the rates of return on common stocks by a member of the stable Paretian family of distributions, with 1 < α < 2, may be misleading and in fact may not produce an adequate fit to observed rates of return. We offer an alternative probability model for describing rates of return based on the hypothesized phenomenon of a changing variance. We test the…

积分移动平均过程的样本自相关函数行为AI 解读

Little is known about the behaviour of the sample autocorrelation function when the generating stochastic process is nonstationary. In this note the behaviour of the sample autocorrelation function for a particular integrated moving average process is examined and the implications for model identification are discussed.

积分移动平均过程的样本自相关函数行为AI 解读

Little is known about the behaviour of the sample autocorrelation function when the generating stochastic process is nonstationary. In this note the behaviour of the sample autocorrelation function for a particular integrated moving average process is examined and the implications for model identification are discussed.