Related papers: Closed-form expression for finite predictor coeffi…
Fractionally integrated autoregressive moving average (FIARMA) processes have been widely and successfully used to model and predict univariate time series exhibiting long range dependence. Vector and functional extensions of these…
In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution processes. One of the models, which corresponds to general…
We introduce a recursive algorithm of conveniently general form for estimating the coefficient of a moving average model of order one and obtain convergence results for both correct and misspecified MA(1) models. The algorithm encompasses…
Producing probabilistic guarantee for several steps of a predicted signal follow a temporal logic defined behavior has its rising importance in monitoring. In this paper, we derive a method to compute the joint probability distribution of…
Periodicity is a common feature of time series. For finite-dimensional data, periodic autoregressive moving average (ARMA) models have been extensively studied. In functional time series analysis, AR models have been extended to incorporate…
A finite sum of exponential functions may be expressed by a linear combination of powers of the independent variable and by successive integrals of the sum. This is proved for the general case and the connection between the parameters in…
This paper presents new variants of the averaged alternating modified reflections (AAMR) method for the best approximation problem. Under a mild constraint qualification, we first show its weak convergence and then establish a convergence…
In this paper we define and characterize cointegrated continuous-time linear state-space models. A main result is that a cointegrated continuous-time linear state-space model can be represented as a sum of a L\'evy process and a stationary…
We present some new results on the dynamic regressor extension and mixing parameter estimators for linear regression models recently proposed in the literature. This technique has proven instrumental in the solution of several open problems…
The paper considers high frequency sampled multivariate continuous-time ARMA (MCARMA) models, and derives the asymptotic behavior of the sample autocovariance function to a normal random matrix. Moreover, we obtain the asymptotic behavior…
We describe a simple method that produces automatically closed forms for the coefficients of continued fractions expansions of a large number of special functions. The function is specified by a non-linear differential equation and initial…
We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. The model considered in the paper is very general as we do not impose any…
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of autoregressive moving-average (ARMA) models with regime changes under the assumption that the errors are uncorrelated but not necessarily independent.…
The autoregressive moving average (ARMA) model is one of the most important models in time series analysis.We consider the Bayesian estimation of an unknown spectral density in the ARMA model.In the i.i.d. cases, Komaki showed that Bayesian…
Functional variables are often used as predictors in regression problems. A commonly-used parametric approach, called {\it scalar-on-function regression}, uses the $\ltwo$ inner product to map functional predictors into scalar responses.…
This work is devoted to functional ARMA$(p, q)$ processes and approximating vector models based on functional PCA in the context of prediction. After deriving sufficient conditions for the existence of a stationary solution to both the…
In this study we show how to represent a continuous time autoregressive moving average (CARMA) as a higher order stochastic delay differential equation, which may be thought of as a continuous-time equivalent of the AR($\infty$)…
We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear algebra tools. We show that the estimator is consistent and…
The class of multivariate L\'{e}vy-driven autoregressive moving average (MCARMA) processes, the continuous-time analogs of the classical vector ARMA processes, is shown to be equivalent to the class of continuous-time state space models.…
This paper proposes the quantile unit-log-symmetric autoregressive moving average (QULS--ARMA) model for bounded time series on the open unit interval $(0,1)$. The model extends the unit-log-symmetric family by introducing a quantile-based…