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First-order Autoregressive Process (first-order + autoregressive_process)

Distribution by Scientific Domains
Mathematics and Statistics60%

Selected Abstracts

First-Order Autoregressive Processes with Heterogeneous Persistence

JOURNAL OF TIME SERIES ANALYSIS, Issue 3 2003
JOANN JASIAK
Abstract. We propose a semi-nonparametric method of identification and estimation for Gaussian autoregressive processes with stochastic autoregressive coefficients. The autoregressive coefficient is considered as a latent process with either a moving average or regime switching representation. We develop a consistent estimator of the distribution of the autoregressive coefficient based on nonlinear canonical decomposition of the observed process. The approach is illustrated by simulations. [source]

A statistical model for unwarping of 1-D electrophoresis gels

ELECTROPHORESIS, Issue 22 2005
Chris Glasbey Professor
Abstract A statistical model is proposed which relates density profiles in 1-D electrophoresis gels, such as those produced by pulsed-field gel electrophoresis (PFGE), to databases of profiles of known genotypes. The warp in each gel lane is described by a trend that is linear in its parameters plus a first-order autoregressive process, and density differences are modelled by a mixture of two normal distributions. Maximum likelihood estimates are computed efficiently by a recursive algorithm that alternates between dynamic time warping to align individual lanes and generalised-least-squares regression to ensure that the warp is smooth between lanes. The method, illustrated using PFGE of Escherichia coli O157 strains, automatically unwarps and classifies gel lanes, and facilitates manual identification of new genotypes. [source]

Efficient use of higher-lag autocorrelations for estimating autoregressive processes

JOURNAL OF TIME SERIES ANALYSIS, Issue 3 2002
LAURENCE BROZE
The Yule,Walker estimator is commonly used in time-series analysis, as a simple way to estimate the coefficients of an autoregressive process. Under strong assumptions on the noise process, this estimator possesses the same asymptotic properties as the Gaussian maximum likelihood estimator. However, when the noise is a weak one, other estimators based on higher-order empirical autocorrelations can provide substantial efficiency gains. This is illustrated by means of a first-order autoregressive process with a Markov-switching white noise. We show how to optimally choose a linear combination of a set of estimators based on empirical autocorrelations. The asymptotic variance of the optimal estimator is derived. Empirical experiments based on simulations show that the new estimator performs well on the illustrative model. [source]

Exact expected values of variance estimators for simulation

NAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 4 2007
Tûba Aktaran-Kalayc
Abstract We formulate exact expressions for the expected values of selected estimators of the variance parameter (that is, the sum of covariances at all lags) of a steady-state simulation output process. Given in terms of the autocovariance function of the process, these expressions are derived for variance estimators based on the simulation analysis methods of nonoverlapping batch means, overlapping batch means, and standardized time series. Comparing estimator performance in a first-order autoregressive process and the M/M/1 queue-waiting-time process, we find that certain standardized time series estimators outperform their competitors as the sample size becomes large. © 2007 Wiley Periodicals, Inc. Naval Research Logistics, 2007 [source]

Nonlinear dynamics in high-frequency intraday financial data: Evidence for the UK long gilt futures market

THE JOURNAL OF FUTURES MARKETS, Issue 11 2002
David G. McMillan
Recent research investigating the properties of high-frequency financial data has suggested that the stochastic nonlinearity widely present in such data may be characterized by heterogeneous components in conditional volatility, and nonlinear dependence of threshold autoregressive form due to market frictions. This article tests for the presence of such effects in intraday long gilt futures returns on the UK LIFFE market. Tests against the null of linearity indicate the significance of smooth transition autoregressive nonlinearities in such returns at the 5-min frequency, which entails a first-order autoregressive process with switching intercept. This nonlinear structure is robust to the presence of asymmetric and component structures in conditional variance, and consistent with the existence of heterogeneous traders facing different levels of transaction costs, noise trader risk, or capital constraints. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1037,1057, 2002 [source]