Regular measures and entropy on pseudo-compact spaces
Time series models for Earth's crust kinematics
Deterministic and stochastic approach to modeling common trends has been applied to time series of horizontal coordinates of the permanent GPS station Modra – Piesky (recorded weekly during the period of 4 years).
Comparing measure theoretic entropy for -finite measures with topological entropy
Applications of regime-switching models based on aggregation operators
A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.
Goodwyn's theorem for sequential entropy on pseudocompact spaces
Entropy for noninvariant measures
Copula approach to residuals of regime-switching models
The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.
Modelling financial time series using reflections of copulas
We have intensified studies of reflections of copulas (that we introduced recently in [6]) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold.
Regime-switching models of time series with cubic spline transition function in geodetic application
A new class of Smooth Transition Autoregressive models, based on cubic spline type transition functions, has been introduced and subjected to comparison with models based on the traditional logistic transition functions. A very high degree of similarity between the two model classes has been demonstrated. The new class of models can be slightly preferable because of its more simple formal and geometrical structure that may enable users more convenient manipulation in statistical inference procedures....
Random noise and perturbation of copulas
For a random vector characterized by a copula we study its perturbation characterizing the random vector affected by a noise independent of both and . Several examples are added, including a new comprehensive parametric copula family .
Univariate conditioning of copulas
The univariate conditioning of copulas is studied, yielding a construction method for copulas based on an a priori given copula. Based on the gluing method, g-ordinal sum of copulas is introduced and a representation of copulas by means of g-ordinal sums is given. Though different right conditionings commute, this is not the case of right and left conditioning, with a special exception of Archimedean copulas. Several interesting examples are given. Especially, any Ali-Mikhail-Haq copula with a given...
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