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Full-Text Articles in Physical Sciences and Mathematics
Analysis And Applications Of Autoregressive Moving Average Models With Stochastic Variance, Shelton Peiris, Ramprasad Bhar, David E. Allen
Analysis And Applications Of Autoregressive Moving Average Models With Stochastic Variance, Shelton Peiris, Ramprasad Bhar, David E. Allen
Research outputs pre 2011
It is known that volatility plays a central role in financial modelling problems. This paper studies, in detail, a class of discrete time stochastic volatility (SV) models driven by ARMA models with innovations having a stochastic variances. The auto- correlation function of this class of models is derived and methods of identification of such processes are described. An example is added to illustrate the development of the theory over the standard methods.
Methods For The Estimation Of Missing Values In Time Series, David S. Fung
Methods For The Estimation Of Missing Values In Time Series, David S. Fung
Theses: Doctorates and Masters
Time Series is a sequential set of data measured over time. Examples of time series arise in a variety of areas, ranging from engineering to economics. The analysis of time series data constitutes an important area of statistics. Since, the data are records taken through time, missing observations in time series data are very common. This occurs because an observation may not be made at a particular time owing to faulty equipment, lost records, or a mistake, which cannot be rectified until later. When one or more observations are missing it may be necessary to estimate the model and also …