Autoregressive model (AR)
A complex autoregressive model and application to monthly temperature forecasts
... complex autoregressive model to forecasts of monthly temperature anomalies in July for 160 stations on mainland China, and compare that to three other conventional statisti- cal models based on the same ...
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THE ANALYSIS OF THE MONETARY POLICY DYNAMICS IN ROMANIA USING A STRUCTURAL VECTOR AUTOREGRESSIVE MODEL
... At this point, an important idea must be underlined. As it was specified above, the A matrix reflects the contemporaneous structural relations, that is the relations of causality or of interdependence between the ...
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The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models
... Durbin-Watson model (Durbin and Watson, 1950, 1951), the common autoregressive model, and autoregressive model with one-lagged period, AR(1) model, (Savin and White, 1978), to ...
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Controlling inflation in a cointegrated vector autoregressive model with an applicaton to US data
... Wkh qrwlrqv ri lqvwuxphqw/ lqwhuphgldwh wdujhw dqg qdo wdujhw duh ghqhg lq wkh frqwh{w ri wkh frlqwhjudwhg YDU1 D wdujhw ydul0 deoh lv vdlg wr eh frqwuroodeoh li lw fdq eh pdgh vwdwlrqdu[r] ...
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Multivariate autoregressive modelling of sea level time series from TOPEX/Poseidon satellite altimetry
... m−AR(p) model is consistent and asymptotically normal (L¨utkepohl, 1993) and is recommended, provided that the model to be fit- ted is stable (Schneider and Griffies, ...multivariate autoregressive ...
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Early detection of metabolic and energy disorders by thermal time series stochastic complexity analysis
... stochastic autoregressive model, the concepts of which match those associated with physiological systems involved and applied in male HFD rats compared with their appropriate standard food intake age- ...
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Double sampling X̄ control chart for a first order autoregressive process
... Order Autoregressive model, and furthermore, that such observations are grouped following the rational subgroup concept (each sample consists of units that were consecutively produced and the subgroups are ...
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Autoregressive modelling of species richness in the Brazilian Cerrado
... Different forms of autoregressive models have been recently applied in geographical ecology (Lichstein et al., 2002; Kelt and Tognelli, 2004; Fortin and Dale, 2005). These models have been mainly used as a way to ...
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Análise da dinâmica da evolução do valor de empresas de capital aberto nos setores de alimentos e bebitas no Brasil no período 20022012
... Threshold Autoregressive Model ), proposto inicialmente por Tong(1978) e desenvolvido por Tong e Lim (1980) e Tong (1983, 1990) e introduzido por Caner e Hansen (2001) 38 , que permite, simultaneamente, ...
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Open Identificação não linear de um manipulador eletromecânico de três graus de liberdade
... Este trabalho apresenta modelos matemáticos não lineares, multivariáveis com parâmetros estimáveis em identificação online para um manipulador eletromecânico, permitindo assim aplicações práticas de técnicas de controle ...
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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
... Similar conclusions can be reached from the results for the (2, 1, 1) DGPs presented in Table 2. We note that in this case, even though the PIC improves on HQ and SC in choosing the number of cointegrating vectors, it ...
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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
... There is a large body of literature on the e¤ect of cointegration on forecasting. Engle and Yoo (1987) compare the forecasts generated from an estimated vector error correction model (VECM) assuming that the lag ...
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Tito Paulino 16 Efeito dos dias da semana na volatilidade do índice S&P 500 um estudo empírico
... Mediante um modelo de GARCH aplicado ao mercado de ações tailandês, Ken Holden, John Thompson e Yuphin Ruangrit testaram conjuntamente todas as anomalias de mercado antes de testarem a ocorrência de efeitos de não ...
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Predictive determinants of scorpion stings in a tropical zone of south Iran: use of mixed seasonal autoregressive moving average model
... optimal model (Table ...optimal model shows that the model is statistically detected well and no signifi- cant statistical difference exists between the observed and the fitted values by ...
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Analyzing the Gaver - Lewis Pareto Process under an Extremal Perspective
... This paper is organized as follows. The tail dependence measures and conditions to be analyzed are detailed in Section 2 and applied to the GLP process in Section 3. The tail characterization provides us with methods to ...
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A (semi-)parametric functional coefficient autoregressive conditional duration model
... linear autoregressive conditional duration (ACD) model that abound in the ...smooth-transition autoregressive processes with multiple ...coefficient autoregressive conditional duration ...
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Key-words: Exchange Regime Transition, Fear of Floating, Vector Autoregressive
... The present work examines the exchange regime transition in Brazil (1994 to 2003) based on the hypothesis of the existence of changes in the interaction of exchange rate, interest rates and inflation. It also examines to ...
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Comparing conditional and stochastic volatility models: goodness of fit, forecasting and value-at-risk
... SV model also outperforms all other competing specifications in forecasting accuracy, being followed by the NGSSM which outperforms the APARCH 3 out of 4 times (again with MERVAL being the exception), by the ...
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J. Microw. Optoelectron. Electromagn. Appl. vol.16 número3
... The range and co-range resolutions given by SF-DORT with and without autoregressive vector extrapolation are shown in Fig 4. It can be observed that the peak appear at the target location with and without ...
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