相关论文: Seasonal fractional long-memory processes. A semip…

We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the…

Long memory and circulation patterns are potential sources of subseasonal-to-seasonal predictions. Here, we infer one-dimensional nonlinear stochastic models of daily temperature which capture both long memory and external driving by the…

The renewable energies prediction and particularly global radiation forecasting is a challenge studied by a growing number of research teams. This paper proposes an original technique to model the insolation time series based on combining…

Nonlinear systems are capable of displaying complex behavior even if this is the result of a small number of interacting time scales. A widely studied case is when complex dynamics emerges out of a nonlinear system being forced by a simple…

Estimation in GARMA models has traditionally been carried out under the frequentist approach. To date, Bayesian approaches for such estimation have been relatively limited. In the context of GARMA models for count time series, Bayesian…

We consider the problem of simultaneous variable selection and estimation in additive, partially linear models for longitudinal/clustered data. We propose an estimation procedure via polynomial splines to estimate the nonparametric…

Item nonresponse is frequently encountered in practice. Ignoring missing data can lose efficiency and lead to misleading inference. Fractional imputation is a frequentist approach of imputation for handling missing data. However, the…

Nonlinear regression is a useful statistical tool, relating observed data and a nonlinear function of unknown parameters. When the parameter-dependent nonlinear function is computationally intensive, a straightforward regression analysis by…

Many systems arising in biological applications are subject to periodic forcing. In these systems the forcing parameter is not only time-varying but also known to have a periodic structure. We present an approach to estimating periodic,…

This paper challenges the dominance of stochastic trend models by introducing the Seasonal-Trend-Stationary ARMA (STSA) framework, which represents univariate nonstationary time series as stationary fluctuations around deterministic trend…

We study a well-known estimator of the fractal index of a stochastic process. Our framework is very general and encompasses many models of interest; we show how to extend the theory of the estimator to a large class of non-Gaussian…

Data can be assumed to be continuous functions defined on an infinite-dimensional space for many phenomena. However, the infinite-dimensional data might be driven by a small number of latent variables. Hence, factor models are relevant for…

Many statistical estimands of interest (e.g., in regression or causality) are functions of the joint distribution of multiple random variables. But in some applications, data is not available that measures all random variables on each…

We introduce twenty four two-parameter families of advanced time series forecasting functions using a new and nonparametric approach. We also introduce the concept of powering and derive nonseasonal and seasonal models with examples in…

An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach…

Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula sequences is considered and shown to yield a rich class of…

This paper proposes a new estimation technique for fitting parametric Gibbs point process models to a spatial point pattern dataset. The technique is a counterpart, for spatial point processes, of the variational estimators for Markov…

This paper presents a comprehensive framework for time series prediction using a hybrid model that combines ARIMA and LSTM. The model incorporates feature engineering techniques, including embedding and PCA, to transform raw data into a…

In this paper, we propose and analyze a new fractional order malaria model with temporary immunity. We extend the existing malaria model to include fractional derivatives. Basic reproduction number is computed using the next generation…

We study semiparametric inference in some linear regression models with time-varying coefficients, dependent regressors and dependent errors. This problem, which has been considered recently by Zhang and Wu (2012) under the functional…