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Orthogonal Defect Classification - A Concept for In-Process Measurements
- R. Chillarege, I. Bhandari, Man-Yuen Wong
- BusinessIEEE Trans. Software Eng.
- 1 November 1992
TLDR
Regression Models for Time Series Analysis
- B. Ray
- Computer ScienceTechnometrics
- 1 November 2003
TLDR
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- C. Hurvich, B. Ray
- Mathematics
- 1995
. We consider the asymptotic characteristics of the periodogram ordinates of a fractionally integrated process having memory parameter d≥ 0.5, for which the process is nonstationary, or d≤ -.5, for…
Long-range Dependence in Daily Stock Volatilities
Recent empirical studies show that the squares of high-frequency stock returns are long-range dependent and can be modeled as fractionally integrated processes, using, for example, long-memory…
The Local Whittle Estimator of Long Memory Stochastic Volatility
- C. Hurvich, B. Ray
- Mathematics, Economics
- 1 April 2001
We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns…
Spatiotemporal Variability of ENSO and SST Teleconnections to Summer Drought over the United States during the Twentieth Century
- B. Rajagopalan, E. Cook, Upmanu Lall, B. Ray
- Environmental Science
- 15 December 2000
Presented are investigations into the spatial structure of teleconnections between both the winter El Nino- Southern Oscillation (ENSO) and global sea surface temperatures (SSTs), and a measure of…
Memory in returns and volatilities of futures' contracts
Various authors claim to have found evidence of stochastic long‐memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of…
Bayesian methods for change‐point detection in long‐range dependent processes
Abstract. We describe a Bayesian method for detecting structural changes in a long‐range dependent process. In particular, we focus on changes in the long‐range dependence parameter, d, and changes…
MODELING LONG‐MEMORY PROCESSES FOR OPTIMAL LONG‐RANGE PREDICTION
- B. Ray
- Mathematics
- 1 September 1993
. We look at the implications of modeling observations from a fractionally differenced noise process using an approximating AR (p) model. The approximation is used because of computational…
Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model
- B. Ray
- Environmental Science
- 1 August 1993
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