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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 ...
DIVERGENCE RATE OF STATE OF AR SYSTEMS WITH UNSTABLE UNIT ROOTS
Unstability AR system martingale diffe
2007/8/7
The order of weighted sum of noise sequence for stochasticsystem is estimated by using limit theory in probability. Then thedivergence rates of state of unstable AR system driven by noise ofmartingale...
INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS
Cointegration error correction models vector autoregressio
2014/3/18
This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector auto...