搜索结果: 1-14 共查到“STATIONARITY”相关记录14条 . 查询时间(0.093 秒)
TIME TO REACH STATIONARITY IN THE BERNOULLI-LAPLACE DIFFUSION MODEL
Markov chains eigenvalues Gelfand pairs Hahn polynomials
2015/7/14
TIME TO REACH STATIONARITY IN THE BERNOULLI-LAPLACE DIFFUSION MODEL.
Structural Characterization of Taboo-Stationarity for General Processes in Two-sided Time
Quasi-stationarity
2015/7/8
This note considers the taboo counterpart ofstationarity. A general stochastic process in two-sided time is de.ned to be taboo-stationary if its global distribution does not change by shifting the ori...
On times to quasi-stationarity for birth and death processes
Probability the space independent index variable parameter the dirichlet conditions
2015/7/8
The purpose of this paper is to present a probabilistic proof of the well-known result stating that the time needed by a continuous-time finite birth and death process for going from the left en...
On quantitative convergence to quasi-stationarity。
On Convergence to Stationarity of Fractional Brownian Storage
Convergence to stationarity fractional Brownian motion storage process large deviations.
2015/7/6
With M(t):= sup0≤s≤t A(s)−s denoting the running maximum of a fractional Brownian motion A(·) with negative drift, this paper studies the rate of convergence of P(M(t)>x) to P(M>x). We define tw...
Measuring stationarity in long-memory processes
spectral density long-memory non-stationary processes goodness-of-ttests empirical spectral measure integrated periodogram locally stationary process bootstrap
2013/4/27
In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an $L_2$-distance between the spectral density of the locally stationary proce...
New semiparametric stationarity tests based on adaptive multidimensional increment ratio statistics
Gaussian fractionally integrated processes Adaptive semiparametric estimators of the meme-ory parameter test of long-memory stationarity test unit root test.
2012/9/19
In this paper, we show that the adaptive multidimensional increment ratio estimator of the long range memory parameter defined in Bardet and Dola (2012) satisfies acentral limit theorem (CLT in the se...
On the non-stationarity of financial time series: impact on optimal portfolio selection
non-stationarity of financial time series impact optimal portfolio selection Statistical Finance
2012/6/2
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provid...
Stationarity-based specification tests for diffusions when the process is nonstationary
Stationarity-based specification tests diffusions when the process nonstationary
2014/3/13
We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia (1996) for the stationary density of a diffusion process, but when the diffusion is not stationary. We co...
Monitoring Procedures to Detect Unit Roots and Stationarity
Autoregressive unit root change-point control chart nonparametric smooth-ing sequential analysis weighted partial sum process
2010/3/9
When analysing time series an important issue is to decide whether the time
series is stationary or a random walk. Relaxing these notions, we consider the problem to
decide in favor of the I(0)- or ...
Weighted Dickey-Fuller Processes for Detecting Stationarity
Autoregressive unit root change point control chart nonparametric smooth-ing sequential analysis robustness
2010/3/9
Aiming at monitoring a time series to detect stationarity as soon as possible,
we introduce monitoring procedures based on kernel-weighted sequential Dickey-Fuller
(DF) processes, and related stoppi...
Stationarity analysis of historical flood series in France and Spain (14th–20th centuries)
Stationarity analysis historical flood series France and Spain (14th–20th centuries)
2009/12/10
Interdisciplinary frameworks for studying natural hazards and their temporal trends have an important potential in data generation for risk assessment, land use planning, and therefore the sustainable...
The paper presents a method for testing second order stationarity against
the alternative that seasonal variations take place in the autocovariance
function. This is a modification of a test suggest...
In [12] it was proved that the process of waiting times
for single server queues is asymptotically stationary if
(1) a generic process X = (Xkk, 2 1) is asymptotically stationary,
(2) X satisfies c...