Theory and inference for a class of nonlinear models with application to time series of counts
RA Davis, H Liu - Statistica Sinica, 2016 - JSTOR
This paper studies theory and inference related to a class of time series models that
incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter …
incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter …
Intraday pairs trading strategies on high frequency data: The case of oil companies
This paper introduces novel 'doubly mean-reverting'processes based on conditional
modelling of model spreads between pairs of stocks. Intraday trading strategies using high …
modelling of model spreads between pairs of stocks. Intraday trading strategies using high …
Robust estimation for general integer-valued time series models
B Kim, S Lee - Annals of the Institute of Statistical Mathematics, 2020 - Springer
In this study, we consider a robust estimation method for general integer-valued time series
models whose conditional distribution belongs to the one-parameter exponential family. As …
models whose conditional distribution belongs to the one-parameter exponential family. As …
[图书][B] Some models for time series of counts
H Liu - 2012 - search.proquest.com
This thesis focuses on developing nonlinear time series models and establishing relevant
theory with a view towards applications in which the responses are integer valued. The …
theory with a view towards applications in which the responses are integer valued. The …
Context, computation, and optimal roc performance in hierarchical models
LB Chang, Y Jin, W Zhang, E Borenstein… - International journal of …, 2011 - Springer
It is widely recognized that human vision relies on contextual information, typically arising
from each of many levels of analysis. Local gradient information, otherwise ambiguous, is …
from each of many levels of analysis. Local gradient information, otherwise ambiguous, is …
Theory and inference for a class of observation-driven models with application to time series of counts
RA Davis, H Liu - arXiv preprint arXiv:1204.3915, 2012 - arxiv.org
This paper studies theory and inference related to a class of time series models that
incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter …
incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter …
Constrained Markov order surrogates
We describe a surrogates algorithm for symbolic time series which consists of constrained
permutation of strings and exactly preserves the n th-order Markov properties of the original …
permutation of strings and exactly preserves the n th-order Markov properties of the original …