搜索结果: 1-9 共查到“经济学 nonstationary”相关记录9条 . 查询时间(0.138 秒)
Inventory Management with Partially Observed Nonstationary Demand
Inventory management Markov modulated Poisson process hidden Markov model partially observable demand censored demand.
2012/9/14
We consider a continuous-time model for inventory management with Markov mod-ulated non-stationary demands. We introduce active learning by assuming that the state of the world is unobserved and must ...
Stationarity-based specification tests for diffusions when the process is nonstationary
Stationarity-based specification tests diffusions when the process nonstationary
2014/3/13
We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia (1996) for the stationary density of a diffusion process, but when the diffusion is not stationary. We co...
On Prediction Errors in Regression Models with Nonstationary Regressors
accumulated prediction errors final prediction error least squares estimators random walk models.
2011/4/2
In this article asymptotic expressions for the final prediction error (FPE) and the accumulated prediction error (APE) of the least squares predictor are obtained in regression models with nonstationa...
Superfamily classification of nonstationary time series based on DFA scaling exponents
Superfamily classification DFA scaling exponents
2010/11/3
The superfamily phenomenon of time series with different dynamics can be charac-terized by the motif rank patterns observed in the nearest-neighbor networks of the time series in phase space. However,...
Functional-coefficient models for nonstationary time series data
Nonstationary Nonlinearity Semiparametric estimation
2011/4/2
This paper studies functional coefficient regression models with nonstationary time series data, allowing also for stationary covariates. A local linear fitting scheme is developed to estimate the coe...
Time vs. Ensemble Averages for Nonstationary Time Series
Time Ensemble Averages Nonstationary Time Series
2010/12/17
We analyze the question whether sliding window time averages applied to stationary increment processes converge to a limit in probability. The question centers on averages, correlations, and densities...
Integration I(d) of Nonstationary Time Series: Stationary and nonstationary increments
Integration Nonstationary Time Series Stationary nonstationary increments
2010/12/17
The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called integration I(d). A class of regression mod...
Multifractal detrended cross-correlation analysis for two nonstationary signals
Multifractal detrended cross-correlation analysis nonstationary signals
2010/12/17
It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new meth...
Semiparametric Estimation of a Nonstationary Panel Data Transformation Model under Symmetry
Panel Data Transformation Model Nonstationarity Fixed-effects model Maximum Rank Correlation Estimator
2010/7/2
This paper considers semiparametric estimation of a nonstationary transformation model with panel data. While nonstationarity is a common phenomenon in applied research, one of the drawbacks of most e...