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A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter estimation, model selection and volatility prediction. Classical and Bayesian techniques are used for the estimation of the model parameters. It turns out that… (More)

- D. N. Politis
- IEEE Signal Processing Letters
- 2005

The spectral estimation method based on the average of short, tapered periodograms is re-examined. The bias of such estimators is typically O(1/b/sup 2/), where b is the length of the short blocks. Much of the current research on multitapering has been focusing on reducing the proportionality constant implicit in the term O(1/b/sup 2/). In this letter, we… (More)

- B. Choi, D. N. Politis
- IEEE Transactions on Signal Processing
- 2007

We show that there exists a causal 2-D linear process in the nonsymmetric half-plane having the same autocorrelations as a noncausal 2-D linear process in the whole-plane; this property is called the autocorrelation equivalence relation, and can be used for practical fitting and modeling of 2-D processes. Some causal 2-D autoregressive (AR) models with… (More)

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