The relationship between stock markets of major developed countries and Asian emerging markets.
The Serial Correlation Structure for a Random Process with Steps.
The smoothness criterion as a trend diagnostic.
The truncated least squares method for a class of autoregressive models.
The Uniqueness of the Transfer Function of Linear System from Input-Output Observations.
The variogram and estimation error in connection with the assessment of continuous streams.
Théorème de limite centrale pour un estimateur non paramétrique de la variance d'un processus de diffusion multidimensionnelle
Théorèmes limite fonctionnels pour les processus de vraisemblance (cadre asymptotiquement non gaussien)
Threshold moving average model
Time series analysis: recursive methods and their modifications for time series with outliers and missing observations.
The recursive methods are popular in time series analysis since they are computationally efficient and flexible enough to treat various changes in character of data. This paper gives a survey of the most important type of these methods including their classification and relationships existing among them. Special attention is devoted to i) robustification of some recursive methods, capable of facing outliers in time series, and ii) modifications of recursive methods for time series with missing observations....
Time series model identification by estimating information, memory and quantiles.
This paper applies techniques of Quantile Data Analysis to non-parametrically analyze time series functions such as the sample spectral density, sample correlations and sample partial correlations. The aim is to identify the memory type of an observed time series, and thus to identify parametric time domain models that fit an observed time series. Time series models are usually tested for adequacy by testing if their residuals are white noise. It is proposed that an additional criterion of fit for...
Time series modelling of the Kobe-Osaka earthquake recordings.
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).
Time series with random parameters [Abstract of thesis]
Time-dependent statistical analysis of wide-area time-synchronized data.
Time-Reversion of VARMA processes by polynomical methods.
Time-Series Modeling in a Blackboard-Based Coupled Expert System
Towards effective dynamics in complex systems by Markov kernel approximation
Many complex systems occurring in various application share the property that the underlying Markov process remains in certain regions of the state space for long times, and that transitions between such metastable sets occur only rarely. Often the dynamics within each metastable set is of minor importance, but the transitions between these sets are crucial for the behavior and the understanding of the system. Since simulations of the original process are usually prohibitively expensive, the effective...
Transient phenomena and self-optimizing control of Markov chains