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Change point detection in vector autoregression
A sequential monitoring scheme is proposed to detect instability of parameters in a multivariate autoregressive process.
Statistics and probability
- 2018 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Composite Vector Stochastic Processes Model in the Task of Signals' Recognition
, autoregressive models' parameters calculation, and parametric power spectral density estimation in autoregressive composite vector stochastic processes representationThe composite vector stochastic p...
JA - Elektronika a optoelektronika, elektrotechnika
- 2016 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Alternative specification, estimation and identification of vector autoregressions
Basic themes of document: vector autoregression; estimation; identification; econometric analysis...
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
On Change Detection in Stationary Vector Autoregressive Processes
statistics which are helpful to detect a change in parameters of the p-th order vector autoregressive process, VAR(p). The test statistics are based on the concept of maximum......
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
Autoregressive Models of Submissions to Municipalities in Czech Republic
This paper studies a statistical dataset describing submissions to the municipalities in Czech Republic. The dataset contains five submission-specific subgroups as interdependent time series. The research purpose is to build a suitable model for desc...
Applied mathematics
- 2017 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Persistence Models for Customer Equity
Main topics of the document: customer equity; vector autoregressive model; impulse response function...
AE - Řízení, správa a administrativa
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Robustness in estimated macroeconomic policy factors for the Czech Republic
Main topics of the document: macroeconomic policy factors; robust estimates; vector autoregression...
AH - Ekonomie
- 2014 •
- D
Rok uplatnění
D - Stať ve sborníku
Unemployment prediction using Lasso VAR approach
Basic themes of document: dimensional reduction; vector autoregressive process; LASSO; time series forecasting...
Applied Economics, Econometrics
- 2021 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Government Expenditure Multiplier at Zero Nominal Interest Rate
Basic themes of document: government expenditure multiplier; zero lower bound; vector autoregression...
Economic Theory
- 2019 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Estimation of the Impact of Monetary Policy on Macroeconomic Variables.
Basic themes in document: vector autoregression; impulse-response function; innovation. ş Č Î ř q...
BB - Aplikovaná statistika, operační výzkum
- 2003 •
- D
Rok uplatnění
D - Stať ve sborníku
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