MARM processes. II: The empirically-based subclass

DOI10.1007/S11009-011-9210-6MaRDI QIDQ1945605zbMATH OpenOpenAlexFDO

Authors Xiang Zhao, Benjamin Melamed

Publication date 8 April 2013

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-011-9210-6

zbMATH Keywords

EB-MARM fitting methodologyEB-MARM forecasting methodologyempirically-based MARM processesMARM processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25)

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Cites work

• scientific article; zbMATH DE number 1332320 (Why is no real title available?)
• Algorithmic modeling of TES processes
• Arm processes and modeling methodology
• MARM processes. I: General theory
• TES: A Class of Methods for Generating Autocorrelated Uniform Variates
• The empirical TES methodology: Modeling empirical time series
• The spectral structure of tes processes
• The transition and autocorrelation structure of tes processes

Cited in

(1)

• MARM processes. I: General theory

Describes a project that uses

Uses Software

• astsa
• MultiArmLab

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