Band-limited spectral estimation of autoregressive-moving-average processes

1986 ◽  
Vol 23 (A) ◽  
pp. 143-155 ◽  
Author(s):  
P. J. Thomson
Keyword(s):  
Moving Average ◽  
Spectral Estimation ◽  
Preliminary Investigation ◽  
Asymptotic Properties ◽  
Low Frequency ◽  
Real Data ◽  
Estimation Procedure ◽  
Autoregressive Moving Average ◽  
Recording Device ◽  
Band Limited

Consider an autoregressive-moving-average process of given order where it is known that a number of moving-average roots are of unit modulus. Such a situation might arise, for example, when a time series has been differenced to induce stationarity by removing a non-stationary polynomial or seasonal trend. A band-limited spectral estimation procedure is proposed for estimating the coefficients of such a process and the asymptotic properties of the estimators investigated. The asymptotic theory is illustrated with reference to simulated and real data. A preliminary investigation of the use of Akaike's AIC criterion and this procedure to determine the number of roots of unit modulus (in the case where this is unknown) is also carried out by means of simulation.The proposed band-limited spectral estimation procedure can also be used to take account of other possible effects met in practice. These include, for example, the band-limited response of a recording device or trend-contaminated low-frequency components.

Band-limited spectral estimation of autoregressive-moving-average processes

1986 ◽  
Vol 23 (A) ◽  
pp. 143-155
Author(s):  
P. J. Thomson
Keyword(s):  
Moving Average ◽  
Spectral Estimation ◽  
Preliminary Investigation ◽  
Asymptotic Properties ◽  
Low Frequency ◽  
Real Data ◽  
Estimation Procedure ◽  
Autoregressive Moving Average ◽  
Recording Device ◽  
Band Limited

Consider an autoregressive-moving-average process of given order where it is known that a number of moving-average roots are of unit modulus. Such a situation might arise, for example, when a time series has been differenced to induce stationarity by removing a non-stationary polynomial or seasonal trend. A band-limited spectral estimation procedure is proposed for estimating the coefficients of such a process and the asymptotic properties of the estimators investigated. The asymptotic theory is illustrated with reference to simulated and real data. A preliminary investigation of the use of Akaike's AIC criterion and this procedure to determine the number of roots of unit modulus (in the case where this is unknown) is also carried out by means of simulation. The proposed band-limited spectral estimation procedure can also be used to take account of other possible effects met in practice. These include, for example, the band-limited response of a recording device or trend-contaminated low-frequency components.

scholarly journals Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

2007 ◽  
Vol 44 (04) ◽  
pp. 977-989 ◽  
Author(s):  
Peter J. Brockwell ◽  
Richard A. Davis ◽  
Yu Yang
Keyword(s):  
Continuous Time ◽  
Lévy Process ◽  
Moving Average ◽  
Asymptotic Properties ◽  
Estimation Procedure ◽  
Financial Econometrics ◽  
Levy Process ◽  
Efficient Estimation ◽  
Autoregressive Moving Average ◽  
Continuous Time Processes

Continuous-time autoregressive moving average (CARMA) processes with a nonnegative kernel and driven by a nondecreasing Lévy process constitute a very general class of stationary, nonnegative continuous-time processes. In financial econometrics a stationary Ornstein-Uhlenbeck (or CAR(1)) process, driven by a nondecreasing Lévy process, was introduced by Barndorff-Nielsen and Shephard (2001) as a model for stochastic volatility to allow for a wide variety of possible marginal distributions and the possibility of jumps. For such processes, we take advantage of the nonnegativity of the increments of the driving Lévy process to study the properties of a highly efficient estimation procedure for the parameters when observations are available of the CAR(1) process at uniformly spaced times 0,h,…,Nh. We also show how to reconstruct the background driving Lévy process from a continuously observed realization of the process and use this result to estimate the increments of the Lévy process itself when h is small. Asymptotic properties of the coefficient estimator are derived and the results illustrated using a simulated gamma-driven Ornstein-Uhlenbeck process.

scholarly journals Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

2007 ◽  
Vol 44 (4) ◽  
pp. 977-989 ◽  
Author(s):  
Peter J. Brockwell ◽  
Richard A. Davis ◽  
Yu Yang
Keyword(s):  
Continuous Time ◽  
Lévy Process ◽  
Moving Average ◽  
Asymptotic Properties ◽  
Estimation Procedure ◽  
Financial Econometrics ◽  
Levy Process ◽  
Efficient Estimation ◽  
Autoregressive Moving Average ◽  
Continuous Time Processes

Continuous-time autoregressive moving average (CARMA) processes with a nonnegative kernel and driven by a nondecreasing Lévy process constitute a very general class of stationary, nonnegative continuous-time processes. In financial econometrics a stationary Ornstein-Uhlenbeck (or CAR(1)) process, driven by a nondecreasing Lévy process, was introduced by Barndorff-Nielsen and Shephard (2001) as a model for stochastic volatility to allow for a wide variety of possible marginal distributions and the possibility of jumps. For such processes, we take advantage of the nonnegativity of the increments of the driving Lévy process to study the properties of a highly efficient estimation procedure for the parameters when observations are available of the CAR(1) process at uniformly spaced times 0,h,…,Nh. We also show how to reconstruct the background driving Lévy process from a continuously observed realization of the process and use this result to estimate the increments of the Lévy process itself when h is small. Asymptotic properties of the coefficient estimator are derived and the results illustrated using a simulated gamma-driven Ornstein-Uhlenbeck process.

Continuous Autoregressive Moving Average Models

2021 ◽  
pp. 118-141
Author(s):  
Yakup Ari
Keyword(s):  
Time Series ◽  
Parameter Estimation ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Discrete Time ◽  
Moving Average ◽  
Likelihood Estimation ◽  
Real Data ◽  
Autoregressive Moving Average ◽  
The Difference

The financial time series have a high frequency and the difference between their observations is not regular. Therefore, continuous models can be used instead of discrete-time series models. The purpose of this chapter is to define Lévy-driven continuous autoregressive moving average (CARMA) models and their applications. The CARMA model is an explicit solution to stochastic differential equations, and also, it is analogue to the discrete ARMA models. In order to form a basis for CARMA processes, the structures of discrete-time processes models are examined. Then stochastic differential equations, Lévy processes, compound Poisson processes, and variance gamma processes are defined. Finally, the parameter estimation of CARMA(2,1) is discussed as an example. The most common method for the parameter estimation of the CARMA process is the pseudo maximum likelihood estimation (PMLE) method by mapping the ARMA coefficients to the corresponding estimates of the CARMA coefficients. Furthermore, a simulation study and a real data application are given as examples.

Representations of continuous-time ARMA processes

2004 ◽  
Vol 41 (A) ◽  
pp. 375-382 ◽  
Author(s):  
Peter J. Brockwell
Keyword(s):  
Continuous Time ◽  
Moving Average ◽  
Asymptotic Properties ◽  
Autoregressive Moving Average ◽  
Moving Average Process ◽  
Arma Process ◽  
Simple Modification ◽  
Arma Processes ◽  
Kernel Representation ◽  
Autoregressive Moving Average Process

Using the kernel representation of a continuous-time Lévy-driven ARMA (autoregressive moving average) process, we extend the class of nonnegative Lévy-driven Ornstein–Uhlenbeck processes employed by Barndorff-Nielsen and Shephard (2001) to allow for nonmonotone autocovariance functions. We also consider a class of fractionally integrated Lévy-driven continuous-time ARMA processes obtained by a simple modification of the kernel of the continuous-time ARMA process. Asymptotic properties of the kernel and of the autocovariance function are derived.

scholarly journals ВИКОРИСТАННЯ ПРОГРАМИ «SIMPLY TAGGING» ДЛЯ ПРОГНОЗУВАННЯ ГУСТОТИ ПТАХІВ У ГНІЗДОВИХ БІОТОПАХ

2012 ◽  
Vol 2 (2) ◽  
pp. 94
Author(s):  
О. V. Matsyura ◽  
М. V. Matsyura ◽  
А. А. Zimaroyeva
Keyword(s):  
Moving Average ◽  
Regression Line ◽  
Correlation Coefficients ◽  
Real Data ◽  
Data Series ◽  
Autoregressive Moving Average ◽  
Indirect Methods ◽  
Bird Populations ◽  
Random Fluctuations

<p>For the analysis of long-term observations data on dynamics of bird populations the most suitable methods could be the stochastic processes. Abundance (density) of birds is calculated on the integrated area of studied habitats. Using the method of autocorrelation the correlogram of changes in number of birds drawn during the study period in all the area. After that, the calculation of the autocorrelation coefficients and partial autocorrelation are performed. The most appropriate model is the mixed autoregressive moving average (ARIMA). Ecological significance of autoregressive parameters is to display the frequency of changes in the number of birds in the seasonal and long-term aspects. The sliding average is one of the simplest methods, which allows reject the random fluctuations of the empirical regression line. Validation of the model could be conducted on truncated data series (10 years). The forecast is calculated for the next two years and compared with empirical data. Calculation of correlation coefficients between the real data and the forecast is performed using non-parametric Spearman correlation coefficient. The residual rows of selected models are estimated by residual correlogram. The constructed model can be used to analyze and forecast the number of birds in breeding biotopes.</p> <p><em>Keywords: analysis, density, indirect methods, birds, Simply Tagging.</em></p> <p> </p>

Bivariate exponential and geometric autoregressive and autoregressive moving average models

1988 ◽  
Vol 20 (4) ◽  
pp. 798-821 ◽  
Author(s):  
H. W. Block ◽  
N. A. Langberg ◽  
D. S. Stoffer
Keyword(s):  
Moving Average ◽  
Real Data ◽  
Autoregressive Moving Average ◽  
Positive Dependence ◽  
Data Set ◽  
Associated Random Variables ◽  
Bivariate Exponential ◽  
Moving Average Models ◽  
Special Cases ◽  
Autoregressive Moving Average Models

We present autoregressive (AR) and autoregressive moving average (ARMA) processes with bivariate exponential (BE) and bivariate geometric (BG) distributions. The theory of positive dependence is used to show that in various cases, the BEAR, BGAR, BEARMA, and BGARMA models consist of associated random variables. We discuss special cases of the BEAR and BGAR processes in which the bivariate processes are stationary and have well-known bivariate exponential and geometric distributions. Finally, we fit a BEAR model to a real data set.

Representations of continuous-time ARMA processes

2004 ◽  
Vol 41 (A) ◽  
pp. 375-382 ◽  
Author(s):  
Peter J. Brockwell
Keyword(s):  
Continuous Time ◽  
Moving Average ◽  
Asymptotic Properties ◽  
Autoregressive Moving Average ◽  
Moving Average Process ◽  
Arma Process ◽  
Simple Modification ◽  
Arma Processes ◽  
Kernel Representation ◽  
Autoregressive Moving Average Process

Using the kernel representation of a continuous-time Lévy-driven ARMA (autoregressive moving average) process, we extend the class of nonnegative Lévy-driven Ornstein–Uhlenbeck processes employed by Barndorff-Nielsen and Shephard (2001) to allow for nonmonotone autocovariance functions. We also consider a class of fractionally integrated Lévy-driven continuous-time ARMA processes obtained by a simple modification of the kernel of the continuous-time ARMA process. Asymptotic properties of the kernel and of the autocovariance function are derived.

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