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 Detecting Autocovariance Change in Time Series. A Simple Technique using Moving Window to Detect Change Point in Time Series
Наименование:

Detecting Autocovariance Change in Time Series. A Simple Technique using Moving Window to Detect Change Point in Time Series

автор Wisam Y. издательство Книга по Требованию Информационные технологии в экономике
Cтраниц 104        мягкая обложка       
Аннотация:This requires the development of new adjustments to existing time series change point tests. The ability of this moving window technique to detect changes in the lag one autocovariance of autoregressive and moving average time series is studied. The use of standard tests of time series change points is inappropriate because of the correlations imposed by the moving windows. The test does not involve direct fitting of an assumed model for the time series. We illustrate the application of this new test on UK Treasury bill rates and airline travel data. A new test to detect changes in the covariance structure of a time series is developed. It is based on detecting changes in autocovariances calculated in a moving window through the series.
Автор: Wisam Y.
Издательство: Книга по Требованию
Год:2009
Цена:
1980 руб
Нет в наличии
Поиск: Detecting Autocovariance Change in Time Series. A Simple Technique using Moving Window to Detect Change Point in Time Series
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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Система образов романа Томаса Мэлори Смерть Артура

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