13 articles for “Autoregressive Process”

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Research ArticleOpen accessIn the abstractForecasting the Stock Exchange of Thailand uses Day of the Week Effect and Markov Regime Switching GARCHP. Sattayatham, N. Sopipan, B. PremanodeProblem statement: We forecast return and volatility of the Stock Exchange of Thailand (SET) Index. Approach: In this study, we modeled the SET Index returns using mean equation with day of the week effect and autoregressive moving-average. Next we forecast the volatility of the SET Index by using the GARCH-type model and the Markov Regime Switching GARCH (MRS-GARCH) model. Results: … …American Journal of Economics and Business Administration, Vol. 4, Issue 1 · 15 Mar 2012 · 7,865 accessesView PDF Cite

Research ArticleOpen accessIn the abstractLinear Smoothing of Noisy Spatial Temporal SeriesValter Di Giacinto, Ian dryden, Luigi ippoliti, Luca RomagnoliThe main objective of the study is the development of a linear filter to extract the signal from a spatio-temporal series affected by measurement error. We assume that the evolution of the unobservable signal can be modelled by a space time autoregressive process. In its vectorial form, the model admits a state space representation allowing the direct application of the … …Journal of Mathematics and Statistics, Vol. 1, Issue 4 · 31 Dec 2005 · 6,311 accessesView PDF Cite

Research ArticleOpen accessIn the abstractInverse Correlations for Multiple Time Series and Gaussian Random Fields and Measures of Their Linear DeterminismR.J. Bhansali, L. IppolitiFor a discrete-time vector linear stationary process, {X(t)}, admitting forward and backward autoregressive representations, the variance matrix of an optimal linear interpolator of X(t), based on a knowledge of {X(t-j), j≠0}, is known to be given by Ri(0)-1 where Ri(0) denotes the inverse variance of the process. Let A=Is-1Ri(0)ˉ1R(0)ˉ1, where R(0) denotes the variance matrix of {X(t)} and Is an … …Journal of Mathematics and Statistics, Vol. 1, Issue 4 · 31 Dec 2005 · 6,424 accessesView PDF Cite