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nonstationary time series

См. также в других словарях:

  • Bilinear time–frequency distribution — Bilinear time–frequency distributions, or quadratic time–frequency distributions, arise in a sub field field of signal analysis and signal processing called time–frequency signal processing, and, in the statistical analysis of time series data.… …   Wikipedia

  • Nobel Prizes — ▪ 2009 Introduction Prize for Peace       The 2008 Nobel Prize for Peace was awarded to Martti Ahtisaari, former president (1994–2000) of Finland, for his work over more than 30 years in settling international disputes, many involving ethnic,… …   Universalium

  • Detrended fluctuation analysis — In stochastic processes, chaos theory and time series analysis, detrended fluctuation analysis (DFA) is a method for determining the statistical self affinity of a signal. It is useful for analysing time series that appear to be long memory… …   Wikipedia

  • Granger, Clive W.J. — ▪ Welsh economist born September 4, 1934, Swansea, Wales       Welsh economist, corecipient of the Nobel Prize for Economics in 2003 for his development of techniques for analyzing time series data with common trends. He shared the award with… …   Universalium

  • Markov chain — A simple two state Markov chain. A Markov chain, named for Andrey Markov, is a mathematical system that undergoes transitions from one state to another, between a finite or countable number of possible states. It is a random process characterized …   Wikipedia

  • Markov switching multifractal — In financial econometrics, the Markov switching multifractal (MSM) is a model of asset returns that incorporates stochastic volatility components of heterogeneous durations.[1][2] MSM captures the outliers, log memory like volatility persistence… …   Wikipedia

  • Hilbert-Huang transform — The Hilbert Huang Transform (HHT) is a way to decompose a signal into so called intrinsic mode functions (IMF), and obtain instantaneous frequency data. It is designed to work well for data that are nonstationary and nonlinear. In contrast to… …   Wikipedia

  • Peter C. B. Phillips — Peter Charles Bonest Phillips (* 23. März 1948 in Weymouth, England) ist ein neuseeländischer Wirtschaftswissenschaftler. Inhaltsverzeichnis 1 Leben und Wirken 2 Auszeichnungen 3 Mitgliedschaften …   Deutsch Wikipedia

  • statistics — /steuh tis tiks/, n. 1. (used with a sing. v.) the science that deals with the collection, classification, analysis, and interpretation of numerical facts or data, and that, by use of mathematical theories of probability, imposes order and… …   Universalium

  • Statistical finance — Statistical finance, [ J P Bouchaud, An introduction to Statistical Finance, Physica A 313 (2002) 238 251] sometimes called econophysics, [ V. Perou, E. Gopikrishnan, L A Amaral, M. Meyer, H. E. Stanley, Phys. Rev. E 60 6519 (1999)] is an… …   Wikipedia

  • Hurst exponent — In fractal geometry, the generalized Hurst exponent, named H in honor of both Harold Edwin Hurst (1880 1978) and Ludwig Otto Hölder (1859 1937) by Benoît Mandelbrot, is referred to as the index of dependence, and is the relative tendency of a… …   Wikipedia

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