Time series concepts for conditional distributions

Article Abstract:

Generalization of time series analysis techniques are examined, specifically their relevance in the shift from conditional variances and mean values to unconditional distributions. Regime switching, trends, seasonality and breaks generalize easily, but forecasting, aggregation and persistence are more difficult to generalize.

Distributions, Theory of (Functional analysis), Theory of distributions

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Selecting a nonlinear time series model using weighted tests of equal forecast accuracy

Article Abstract:

Operation of a nonlinear time series model is improved via the introduction of a new criterion that performs better than currently used forecast evaluation and model selection criteria. This method is applied to the gross domestic product of the United States as an illustration.

Evaluation, Gross domestic product, Nonlinear functional analysis

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A comparison of Johansen's, Bierens' and the Subspace algorithm method for cointegration analysis

Article Abstract:

A comparative analysis is made on the performance of Johansen's, Bieren's and Subspace algorithms that are useful for testing the correlation between non-stationary time series variables.

Measurement, Correlation (Statistics)

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