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Relevant bibliographies by topics / Autoregression (Statistics) Vector analysis

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Dissertations / Theses

Academic literature on the topic 'Autoregression (Statistics) Vector analysis'

Author: Grafiati

Published: 4 June 2021

Last updated: 15 February 2022

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Dissertations / Theses on the topic "Autoregression (Statistics) Vector analysis"

1

Sharp, Gary David. "Lag length selection for vector error correction models." Thesis, Rhodes University, 2010. http://hdl.handle.net/10962/d1002808.

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This thesis investigates the problem of model identification in a Vector Autoregressive framework. The study reviews the existing research, conducts an extensive simulation based analysis of thirteen information theoretic criterion (IC), one of which is a novel derivation. The simulation exercise considers the evaluation of seven alternative error restricted vector autoregressive models with four different lag lengths. Alternative sample sizes and parameterisations are also evaluated and compared to results in the existing literature. The results of the comparative analysis provide strong supp

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2

Sumner, Steven W. "Bank equity and the monetary transmission mechanism /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2003. http://wwwlib.umi.com/cr/ucsd/fullcit?p3099930.

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3

Chung, Joonho. "Empirical study on the effects of monetary policy on the exchange rates : the role of uncertainty in monetary policy /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9901229.

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4

Assefa, Yared. "Time series and spatial analysis of crop yield." Thesis, Kansas State University, 2012. http://hdl.handle.net/2097/15142.

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Master of Science<br>Department of Statistics<br>Juan Du<br>Space and time are often vital components of research data sets. Accounting for and utilizing the space and time information in statistical models become beneficial when the response variable in question is proved to have a space and time dependence. This work focuses on the modeling and analysis of crop yield over space and time. Specifically, two different yield data sets were used. The first yield and environmental data set was collected across selected counties in Kansas from yield performance tests conducted for multiple years. T

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5

Lien, Oskarsson Mathias, and Christopher Lin. "A simplified approach in FAVAR estimation." Thesis, Uppsala universitet, Statistiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-353035.

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In the field of empirical macroeconomics factor-augmented vector autoregressive (FAVAR) models have become a popular tool in explaining how economic variables interact over time. FAVAR is based upon a data-reduction step using factor estimation, which are then employed in a vector autoregressive model. This paper aims to study alternative methods regarding factor estimation. More precisely, we compare the generally used principal component method with the uncomplicated common correlated effect estimation. Results show low divergence between the two factor estimation methods employed, indicatin

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6

Koller, Simon. "Multiple Time Series Analysis of Freight Rate Indices." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-288500.

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In this master thesis multiple time series of shipping industry and financial data are analysed in order to create a forecasting model to forecast freight rate indices. The data of main interest which are predicted are the two freight rate indices, BDI and BDTI, from the Baltic Exchange. The project investigates the possibilities for aggregated Vector Autoregression(VAR) models to outperform simple univariate models, in this case, an Autoregressive Integrated Moving Average(ARIMA) with seasonal components. The other part of this thesis is to model market shocks in the freight rate indices, giv

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7

Jeon, Kyung-Seong. "An examination of stock market properties : vector autoregression approach /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841304.

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8

Zhang, Wei. "A sensitivity study on identification schemes of the structural vector autoregression /." free to MU campus, to others for purchase, 2001. http://wwwlib.umi.com/cr/mo/fullcit?p3025669.

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9

Birch, Gary Edward. "Single trial EEG signal analysis using outlier information." Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/28626.

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The goal of this thesis work was to study the characteristics of the EEG signal and then, based on the insights gained from these studies, pursue an initial investigation into a processing method that would extract useful event related information from single trial EEG. The fundamental tool used to study the EEG signal characteristics was autoregressive modeling. Early investigations pointed to the need to employ robust techniques in both model parameter estimation and signal estimation applications. Pursuing robust techniques ultimately led to the development of a single trial processing meth

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10

Alj, Abdelkamel. "Contribution to the estimation of VARMA models with time-dependent coefficients." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209651.

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Dans cette thèse, nous étudions l’estimation de modèles autorégressif-moyenne mobile<p>vectoriels ou VARMA, `a coefficients dépendant du temps, et avec une matrice de covariance<p>des innovations dépendant du temps. Ces modèles sont appel´es tdVARMA. Les éléments<p>des matrices des coefficients et de la matrice de covariance sont des fonctions déterministes<p>du temps dépendant d’un petit nombre de paramètres. Une première partie de la thèse<p>est consacrée à l’étude des propriétés asymptotiques de l’estimateur du quasi-maximum<p>de vraisemblance gaussienne. La convergence presque sûre et la n

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