'Autoregressive process' diaporamas de présentation

Modeling Risk Factors

Modeling Risk Factors. Introduction. Risk ? Volatility ? Measure of dispersion Most used distributions: Normal and Log-Normal Stylized facts ? empirical distribution is not normal. Normal Distribution. It is easy Stable under addition: sum of normal random variables is normal

1.2k views • 79 slides

Autoregressive Integrated Moving Average (ARIMA) models

Autoregressive Integrated Moving Average (ARIMA) models. - Forecasting techniques based on exponential smoothing General assumption for the above models: times series data are represented as the sum of two distinct components ( deterministc & random)

1.18k views • 66 slides

Time Series Basics

Fin250f: Lecture 8.1 Spring 2010 Reading: Brooks, chapter 5.1-5.7. Time Series Basics. Outline. Linear stochastic processes Autoregressive process Moving average process Lag operator Model identification PACF/ACF Information Criteria. Stochastic Processes. Time Series Definitions.

816 views • 44 slides

Charles University

473 views • 37 slides

The General Linear Model (GLM)

The General Linear Model (GLM). Klaas Enno Stephan Translational Neuromodeling Unit (TNU) Institute for Biomedical Engineering, University of Zurich & ETH Zurich Laboratory for Social & Neural Systems Research (SNS), University of Zurich

410 views • 31 slides

Auto Regressive, Integrated, Moving Average

338 views • 26 slides

Combining Sampling and Autoregression for Motion Synthesis

Combining Sampling and Autoregression for Motion Synthesis. David Oziem , Neill Campbell, Colin Dalton, David Gibson and Barry Thomas. Project Group. Motion Ripper Project Methods of motion capture. Re-using captured motion signatures. Synthesising new or extend motion sequences.

358 views • 24 slides

External Debt Sustainability the Case of Romanian Economy

External Debt Sustainability the Case of Romanian Economy. MSc Student: Ioan Tudor Boengiu Supervisor: Professor MOISA A LTAR. Academy of Economic Studies Doctoral School of Finance and Banking. Bucharest, July 2010. Contents. Introduction Literature review Methodological issues

420 views • 23 slides

X-ray Variability of AGN

X-ray Variability of AGN. Brandon C. Kelly, Ma?gorzata Sobolewska, Aneta Siemiginowska ApJ, 2011, 730, 52. Quasar (Active Galactic Nuclei). X-ray Emission. AGN X-ray Variability is Aperiodic. XMM Lightcurve for MRK 766. Vaughan & Fabian (2003). What do the random fluctuations tell us?.

392 views • 22 slides

Econometrics 1

Econometrics 1. Lecture 11 Stationarity and AR MA and ARMA Processes. Stationary and Nonstationary Series. Spurious Regression. Four ways of checking stationarity. Partial autocorrelation function and Ljung and Box statistics. Unit Root and Non-stationarity. Time Dependent Variance.

547 views • 20 slides

Univariate analysis: Analysis of a the properties of a X and Y

Univariate analysis: Analysis of a the properties of a X and Y Bivariate analysis: Analysis of the relationship between X and Y. Definition of time series: a series of succesive observation over time; e.g. daily, monthly, yearly Output series: Y t Input series: X t

401 views • 20 slides