Tables for processes with exponential white noise
Test de hipótesis para contrastar modelos MARMA de series temporales.
El propósito de este artículo es revisar, relacionar e interpretar tests de hipótesis, tipo score, para contrastar la especificación de modelos de series temporales múltiples, así como obtener unos resultados sobre los estadísticos asociados, lo más simples posibles, a fin de utilizarlos en la etapa de identificación de los modelos.
Testing a sub-hypothesis in linear regression models with long memory covariates and errors
This paper considers the problem of testing a sub-hypothesis in homoscedastic linear regression models when the covariate and error processes form independent long memory moving averages. The asymptotic null distribution of the likelihood ratio type test based on Whittle quadratic forms is shown to be a chi-square distribution. Additionally, the estimators of the slope parameters obtained by minimizing the Whittle dispersion is seen to be -consistent for all values of the long memory parameters...
Testing linearity and modelling nonlinear time series
Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given data set, a statistical test is required. In this paper, we develop such a test of a linear hypothesis versus a general composite nonparametric alternative using the state space representation of the SV model as an errors-in-variables AR(1) model. The power of the test is analyzed. We provide a simulation study and apply the test to the HFDF96...
Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case
The testing problem on the first-order autoregressive parameter in finite sample case is considered. The innovations are distributed according to the exponential distribution. The aim of this paper is to study how much the size of this test changes when, at some time k, an innovation outlier contaminant occurs. We show that the test is rather sensitive to these changes.
Tests for the presence of trends in linear processes [Book]
Tests simultanés de permutation des rangs pour bruit-blanc multivarié
The Behaviour of the Lagrangian Multiplier Test in Testing the Orders of an ARMA-Model.
The Box-Jenkins approach to time series analysis
The Box-Jenkins approach to time series analysis and forecasting : principles and applications
The cross-validation method in the polynomial regression.
The Effect of Parameter Estimation Errors on the Variance of Forecasts
The effects of series on cointegration inference.
The efficiency of estimates in stationary autoregressive series
The empirical TES methodology: Modeling empirical time series.
The Exact Likelihood Function for a Space Time Model.
The failure of orthogonality under nonstationarity: should we care about it?
The finite automata approaches in stringology
We present an overview of four approaches of the finite automata use in stringology: deterministic finite automaton, deterministic simulation of nondeterministic finite automaton, finite automaton as a model of computation, and compositions of finite automata solutions. We also show how the finite automata can process strings build over more complex alphabet than just single symbols (degenerate symbols, strings, variables).
The Invertibility of Sampled and Aggregated ARM A Models.