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Compounding approach for univariate time...

Schäfer, Rudi...

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Compounding approach for univariate time series with non-stationary variances by Schäfer, Rudi ( Author )

Content Provider	Lemonjar Open Access
Publisher	N.A
Publication Date	07-03-2015
Summary	A defining feature of non-stationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for long time horizons, however, averages over the time-dependent parameters. To model the long-term statistical behavior, we compound the local distribution with the distribution of its parameters. Here we consider two concrete, but diverse examples of such non-stationary systems, the turbulent air flow of a fan and a time series of foreign exchange rates. Our main focus is to empirically determine the appropriate parameter distribution for the compounding approach. To this end we have to estimate the parameter distribution for univariate time series in a highly non-stationary situation.
ISBN	-
Item Type	Article
File Type	pdf
File Size	36.88 KB
Language	English
Subjects	-
Unlimited	MYR 0.01
Total read	-
URL	https://arxiv.org/abs/1503.02177

Citation

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AMA 11th EditionReferences

Schäfer, Rudi. Compounding approach for univariate time series with non-stationary variances. N.A. March 07, 2015. Accessed November 07, 2024. https://online.provdatabase.com/cite/18412

APA 7th EditionReferences

Schäfer, Rudi. (2015). Compounding approach for univariate time series with non-stationary variances. N.A. https://online.provdatabase.com/cite/18412

Chicago 17th EditionReferences

Schäfer, Rudi. Compounding approach for univariate time series with non-stationary variances. N.A. 2015. https://online.provdatabase.com/cite/18412

HarvardReferences

Schäfer, Rudi. (2015). Compounding approach for univariate time series with non-stationary variances. [Online]. N.A. Available from: https://online.provdatabase.com/cite/18412. (Accessed 07 November 2024).

Harvard AustraliaReferences

Schäfer, Rudi, 2015, Compounding approach for univariate time series with non-stationary variances, N.A, viewed 07 November 2024, <https://online.provdatabase.com/cite/18412>

MLA 9th EditionWorks Cited

Schäfer, Rudi. Compounding approach for univariate time series with non-stationary variances. N.A, 2015. PROV Database, https://online.provdatabase.com/cite/18412.

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