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A multiple filter test for change point detection in renewal processes with varying variance
A multiple filter test change point detection renewal processes varying variance
2013/4/27
Non-stationarity of the event rate is a persistent problem in modeling time series of events, such as neuronal spike trains. Motivated by a variety of patterns in neurophysiological spike train record...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
Corrected portmanteau tests for VAR models with time-varying variance
VAR model Unconditionally heteroscedastic errors Residual autocorrelations Portmanteau tests
2011/6/20
The problem of test of fit for Vector AutoRegressive (VAR) processes
with unconditionally heteroscedastic errors is studied. The volatility structure is
deterministic but time-varying and allows for...