𝔖 Bobbio Scriptorium
✦   LIBER   ✦

ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS

✍ Scribed by Alastair Hall

Book ID
111039750
Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
209 KB
Volume
15
Category
Article
ISSN
0143-9782

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Modelling non-normal first-order autoreg
Modelling non-normal first-order autoregressive time series
✍ C. H. Sim πŸ“‚ Article πŸ“… 1994 πŸ› John Wiley and Sons 🌐 English βš– 684 KB

We shall first review some non-normal stationary first-order autoregressive models. The models are constructed with a given marginal distribution (logistic, hyperbolic secant, exponential, Laplace, or gamma) and the requirement that the bivariate joint distribution of the generated process must be s

Misspecified prediction for time series
Misspecified prediction for time series
✍ In-Bong Choi; Masanobu Taniguchi πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 205 KB

## Abstract Let {__X__~__t__~} be a stationary process with spectral density __g__(λ).It is often that the true structure __g__(λ) is not completely specified. This paper discusses the problem of misspecified prediction when a conjectured spectral density __f__~θ~(λ), θ∈Θ, is fitted to __g__(λ). Th