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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Showing 1 to 3 of 3 (0.026 seconds)

Spelling suggestions: "subject:"ARMA frocesses"" "subject:"ARMA eprocesses""

1

Některé funkce ARMA procesů / Some functions of ARMA processes

Štufka, Miroslav January 2013 (has links)
This study provides a comprehensive overview of changes in the autoregressive-moving- average model (ARMA) when applied to various functions. First, the necessary and sufficient condition for a weakly stationary stochastic process described by ARMA is given. Next, some particular transformations of ARMA processes are presented: first, non- correlated and generic sums of ARMA processes; next, products of independent and dependent Gaussian ARMA processes; and finally, time aggregations, namely, systematic sampling and temporal aggregations. Tables are included to clearly summarize special cases of particular transformations. Some of these cases are then demonstrated through concrete examples. In addition to theoretical results, extensive numerical simulation in statistical software R is also given, which systematically covers the obtained results.
2

Nestacionární časové řady / Non-stationary time series

Večeřa, Jakub January 2014 (has links)
This thesis focuses on option of omitting the stationarity assumption, which is usually used in the financial time series analysis. The theory of semi-stationary processes is introduced. This type of process has time-dependent spectra (the evolutionary spectra) in comparison with stationary process. The evolutionary spectra estimator is derived using a linear filter and then averaged in time to reduce any fluctuations caused by randomness. Predictions and variance estimates are retrieved from the estimated time dependent spectra. The semi-stationary processes theory is applied to the ARMA processes with time-dependent coefficients, a coefficient estimator based on evolutionary spectra is suggested. Calculations are performed in R software. Powered by TCPDF (www.tcpdf.org)
3

Time series analysis : textbook for students of economics and business administration ; [part 2]

Strohe, Hans Gerhard January 2004 (has links)
No description available.
Zeitreihenanalyse
Stationärer Prozess
Spektraldichte
Autokorrelation
Time Series Analysis
Stationary Stochastic Processes
ARMA Processes
Autocorrelation
Spectral Density
ARIMA Models
ARCH
GARCH
Economics

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