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Dissertations / Theses on the topic 'Stationarity'

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Published: 4 June 2021
Last updated: 10 June 2023

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1

Aldayel, Omar. "Evaluation of MIMO Non- Stationarity." Thesis, KTH, Signalbehandling, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-53761.

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The transmission performance of MIMO systems can be highly improved under stationary channel conditions where the channel statistics are constant. Unfortunately, mobile radio channels are not stationary all the time. Instead, they are stationary for finite time durations, so-called the stationarity regions. If these stationarity regions are relatively large, then the channel statistics can be utilized during each stationarity region to enhance the transmission performance. Therefore, it is necessary to examine the stationarity of mobile channels and characterize the stationarity regions. This thesis investigates the non-stationarity of measured MIMO channels and proposes some stationarity metrics to measure it. These metrics are: the CMD proposed by [1 ], NCMD and DES. Each one of the metrics is relevant to different types of transmission schemes and scenarios. The CMD may not be accurate for some transmission scenarios; therefore, the NCMD, which is a normalized version of CMD, is proposed. Theoretically, the NCMD can be at most 100% higher than the CMD for a 4x4 MIMO system. For beamforming scenario, the DES metric can be used to describe the non-stationarity of few eigenvectors taken from the channel variance. Under the measured MIMO channels, it was found that the CMD overestimates the stationarity regions compared to the NCMD and DES metrics particularly under the NLOS routes.
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2

André, Gustaf. "Testing a MIMO Channel for Stationarity." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-239374.

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There is an increasing demand for better communication networks, e.g. better data rates and an improved bandwidth. As a response there is a lot of research being invested towards MIMO systems as a possible solution.In this paper data from a MIMO system with a fixed transmitter (8 antennas) and a mobile receiver (4 antennas) was investigated. The goal was to estimate the duration, during which, the MIMO system could be considered stationary. This was done by first estimating a correlation matrix for every time sample and then using the Correlation Matrix Distance function to measure how similar or dissimilar the different correlation matrices were within fixed time intervals. This was looked at from both the transmitter and receiver side. The result shows that the stationarity lasts for about 1.34 seconds and 5.2 seconds respectively for the receiver and transmitter.
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3

Rao, Yao. "Essays in panel stationarity and cointegration tests." Thesis, University of Liverpool, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.437525.

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4

Pol, Marjon van der. "Intertemporal preferences for health : a comparison of the discounted utility model and hyperbolic models and of intertemporal preferences across health outcome." Thesis, University of Aberdeen, 2000. http://digitool.abdn.ac.uk/R?func=search-advanced-go&find_code1=WSN&request1=AAIU602020.

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It is standard practice to assume the discounted utility (DU) model on the part of the economic agents. This thesis tests the key axiom of the DU model (stationarity) in the health domain. Intertemporal preferences for health are of interest because of the debate over the appropriate treatment of future health effects in economic evaluation and of the relationship between intertemporal preferences and health-affecting behaviour. Social intertemporal preferences for fatal changes in health and private and social intertemporal preferences for non-fatal changes were elicited from members of the general public. Private intertemporal preferences for non-fatal changes were elicited from university students. Stationarity was violated in all three studies indicating that the DU model does not accurately describe individuals' intertemporal preferences. Psychologists dissatisfied with the DU model have developed hyperbolic models which replace the stationarity axiom by a generalised stationarity axiom. This thesis compared the descriptive properties of the DU model and hyperbolic discounting models in the health domain. The results showed that the hyperbolic discounting models fitted the data better than the DU model. This indicates that hyperbolic models should be preferred in the analyses of health affecting behaviour. Whether they should also be used in economic evaluations is likely to depend on other criteria as well as descriptive superiority. To inform the debate about the appropriate discount rate for health effects in economic evaluations this thesis investigated whether intertemporal preferences differ across outcomes within the health domain. The results showed that private and social intertemporal preferences for non-fatal changes in health are very similar. More differences were found between intertemporal preferences for fatal changes and non-fatal changes. This indicates that the debate over the relationship between individuals' preferences and the social discount rate is less important and that the debate should perhaps focus more on whether the rate should depend on the type of health outcome of the intervention.
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5

Leisch, Friedrich, Adrian Trapletti, and Kurt Hornik. "On the stationarity of autoregressive neural network models." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1998. http://epub.wu.ac.at/1612/1/document.pdf.

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We analyze the asymptotic behavior of autoregressive neural network (AR-NN) processes using techniques from Markov chains and non-linear time series analysis. It is shown that standard AR-NNs without shortcut connections are asymptotically stationary. If linear shortcut connections are allowed, only the shortcut weights determine whether the overall system is stationary, hence standard conditions for linear AR processes can be used.
Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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6

Toalá, Enríquez Rosemberg. "Stationarity of asymptotically flat non-radiating electrovacuum spacetimes." Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/89265/.

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It is proven that a solution to the Einstein-Maxwell equations whose gravitational and electromagnetic radiation fields vanish at infinity is in fact stationary in a neighbourhood of spatial infinity. That is, if in adapted coordinates the Weyl and Faraday tensors decay suitably fast and there is an asymptotically-to-all-orders Killing vector field, then this is indeed a Killing vector field in the region outside the bifurcate horizon of a sphere of sufficiently large radius. In particular, electrovacuum time-periodic spacetimes, which are truly dynamical, do not exist. This can be interpreted as a mild form of the statement: “Gravitational waves carry energy away from an isolated system". This is an extension of earlier work by Alexakis and Schlue, and Bičák, Scholtz and Tod, to include matter/energy models, in this case electromagnetism. It is also shown that the same result holds when the Einstein's equations are coupled to a massless Klein-Gordon field.
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7

Boyer, Alexandre. "Bidimensional stationarity of random models in the plane." Thesis, université Paris-Saclay, 2022. http://www.theses.fr/2022UPASM011.

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Dans le cadre de cette thèse,trois modèles ont été étudiés indépendamment. Ils ont en commun d’être des modèles aléatoires définis dans le plan et possédant une propriété de stationnarité bidimensionnelle. Le premier est le modèle de Hammersley stationnaire dans le quart de plan, introduit et étudié par Cator et Groeneboom.Nous présentons ici une preuve probabiliste des fluctuations gaussiennes dans le cas non critique. Le deuxième modèle peut être vu comme une version stationnaire du problème d’O’Connell-Yor. La preuve de sa stationnarité est obtenue en introduisant une discrétisation de ce modèle dont nous montrons la stationnarité, puis en observant que cette stationnarité est préservée à la limite. Enfin,le troisième modèle est une classe généralede systèmes aléatoires de lignes brisées dansle quart de plan, dont on montre la réversibilité. Cette classe contient de nombreux processus classiques comme des modèles de percolation de dernier passage. La nouveauté ici est qu’un poids est associé à chaque ligne
In this PhD thesis, three models have been independently studied. They all have in common to be random models defined in the plane and having a two-dimensional stationarity property. The first one is Hammersley’s stationary model in the quarter plane, introduced and studied by Cator and Groeneboom. We present here a probablistic proof the Gaussian fluctuations in the non-critical case. The second model can be seen as a stationary modification ofO’Connell-Yor’s problem. The proof of its stationarity is obtained by introducing a discretisation of this model, by proving its stationairty and then by observing that this stationarity is preserved in the limit. Finally, the third model is a general class of random systems of horizontal and vertical weighted broken lines on the quarter plane whose distribution are proved to be reversible. This class of systems generalizes several classical processes of the same kind. The noveltycomes here from the introduction of a weight associated with each line
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8

Collings, Jared M. "Clustering Methods for Delineating Regions of Spatial Stationarity." Diss., CLICK HERE for online access, 2007. http://contentdm.lib.byu.edu/ETD/image/etd2175.pdf.

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9

Chang, Kuo-Hwa. "Extreme queues and stationarity of heavy-traffic service systems." Diss., Georgia Institute of Technology, 1992. http://hdl.handle.net/1853/25441.

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10

Addona, Vittorio. "Stationarity in a prevalent cohort study with follow-up." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=100309.

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In a prevalent cohort study with follow-up, the incidence process is not directly observed since only the onset times of prevalent cases can be ascertained. Several important consequences follow if one can establish stationarity of the incidence process: (1) The useful epidemiological relationship between prevalence, incidence, and mean duration holds, (2) There is improved efficiency when estimating the underlying survivor function from a prevalent cohort study with follow-up, (3) The constancy of the incidence rate is established, and (4) The constant incidence rate can be estimated using data from a prevalent cohort study.
We propose a formal test for stationarity using data from a prevalent cohort study with follow-up, and establish new characterizations of stationarity, and of useful types of departure from stationarity.
A dual to the problem of establishing stationarity by comparing the backward and forward recurrence times is addressed. Assuming stationarity of the underlying incidence process, we use the backward and forward recurrence times to verify whether the underlying survival distribution is independent of the date of onset. In doing so, we characterize specific types of dependence of the underlying survival distribution on calendar time.
If the data are consistent with stationarity of the incidence rate, then a natural next step is to estimate the (constant) incidence rate. We derive the nonparametric maximum likelihood estimator of the constant incidence rate, prove that the estimator is weakly consistent, and show how one may construct an asymptotic confidence interval for the incidence rate. One main advantage of our procedure is that it only requires the completion of a single prevalent cohort study with follow-up.
We apply our test for stationarity to data obtained as part of the Canadian Study of Health and Aging to verify that the incidence rate of dementia amongst the elderly in Canada has remained constant. Upon concluding that this constancy is, plausible, we estimate the incidence rate.
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11

Alphey, Marcus J. T. "Blind source separation : the effects of signal non-stationarity." Thesis, University of Edinburgh, 2002. http://hdl.handle.net/1842/11220.

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This thesis investigates the effect of non-stationarity reduction, in the form of silence removal, on the performance of blind separation and deconvolution techniques for speech signals. An information-maximisation-based system is used for the separation of instantaneously mixed signals, and a decorrelating system for convolutively mixed signals. An introduction to the concepts of adaptive signal processing, blind signal processing and artificial neural networks is presented. A review of approaches to solving the blind signal separation and deconvolution problems is provided. The susceptibility of the information-maximisation approach to signal non-stationarity is discussed and two methods of silence identification and removal are compared and used to pre-process data before blind separation. The "infomax" approach is used to separate instantaneous mixtures, and is also modified to incorporate silence assessment and removal techniques to form an on-line system. Further modifications are made to the algorithm to investigate the effect of alternative update strategies, and these are compared with experimental results from identical modifications to diverse separating algorithms. A performance metric is used to assess the quality of separation achieved. The application of these techniques to convolutively mixed speech signals is also investigated, using the CoB1iSS algorithm. The effectiveness of the application of the silence removal techniques to both the time domain and frequency domain representations of the outputs is tested. While this form of non-stationarity reduction improves the rate of convergence for instantaneous mixtures, it does not cause any significant improvement in separation performance under most of the experimental conditions tested. No significant difference in performance was noted for the separation of convolutive mixtures in either the time or frequency domain.
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12

Zhang, Jing. "Three Essays on House Prices: Stationarity, Dynamics, and Expectations." The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1397436206.

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13

Palmer, Laura Michelle. "Impacts of Stationarity Assumption in Floodplain Management: Case Studies." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1483386481824778.

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14

Dahlman, Rikard, and Ebba Johansson. "A comparative study regarding weakly stationarity assumptions and time dependency : Signal processing of vibrational loading and its influence on fatigue life." Thesis, Linnéuniversitetet, Institutionen för maskinteknik (MT), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-77740.

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Simplifications regarding calculations of fatigue life due to vibrational loading is based on weakly stationarity assumptions which is a time independent method. The hypothesis was based on the uncertainty of these assumptions. The aim of this study was to examine whether the analysed data fulfilled the assumptions of weakly stationarity. It was determined that the assumption was not valid for most signals and a comparison of time dependent methods should be performed to evaluate the difference compared with the time independent method. Two time dependent methods were constructed and implemented on the signals based on the results of performed stationarity tests. The result determined that a decrease in fatigue life of an investigated weld might occur for the two time dependent methods compared with the time independent method. The method which was considered to produce the most accurate results was also the most constrained as to the amount of data that fulfilled its requirements. A conclusion was drawn that signals containing more data was necessary to achieve conclusive results of the fatigue life. The hypothesis was proven to be mostly true since most of the analysed signals were found to be piecewise weakly stationary.
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15

Sikdar, Khokan Chandra. "Application of geographically weighted regression for assessing spatial non-stationarity /." Internet access available to MUN users only, 2003. http://collections.mun.ca/u?/theses,172881.

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16

Guasti, Giovanna, Ralf Engbert, Ralf T. Krampe, and Jürgen Kurths. "Phase transitions, complexity, and stationarity in the production of polyrhythms." Universität Potsdam, 2000. http://opus.kobv.de/ubp/volltexte/2007/1493/.

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Contents: 1 Introduction 2 Experiment 3 Data 4 Symbolic dynamics 4.1 Symbolic dynamics as a tool for data analysis 4.2 2-symbols coding 4.3 3-symbols coding 5 Measures of complexity 5.1 Word statistics 5.2 Shannon entropy 6 Testing for stationarity 6.1 Stationarity 6.2 Time series of cycle durations 6.3 Chi-square test 7 Control parameters in the production of rhythms 8 Analysis of relative phases 9 Discussion 10 Outlook
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17

Heveling, Matthias. "Bijective point maps, point-stationarity and characterization of Palm measures." Karlsruhe : Univ.-Verl. Karlsruhe, 2005. http://deposit.d-nb.de/cgi-bin/dokserv?idn=979772591.

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18

Reade, J. J. ames. "Macroeconomic modelling and forecasting in the face of non-stationarity." Thesis, University of Oxford, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.495733.

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19

Kane, S. A. "Significance tests of probability non-stationarity of security price returns /." The Ohio State University, 1992. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487780393266049.

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20

Flegel, Michael L. "Constraint qualifications and stationarity concepts for mathematical programs with equilibrium constraints." Doctoral thesis, [S.l.] : [s.n.], 2005. http://deposit.ddb.de/cgi-bin/dokserv?idn=975013661.

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21

Mendy, Sang Taphou. "Quasi-stationarity of stochastic models for the spread of infectious diseases." Thesis, University of Liverpool, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507720.

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22

Pezo, Danilo Verfasser], Jürgen [Akademischer Betreuer] [Franke, and Rainer [Akademischer Betreuer] Dahlhaus. "Local stationarity for spatial data / Danilo Pezo ; Jürgen Franke, Rainer Dahlhaus." Kaiserslautern : Technische Universität Kaiserslautern, 2018. http://d-nb.info/1151120537/34.

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23

Ahn, Byung Chul. "Testing the null of stationarity and cointegration in multiple time series." The Ohio State University, 1994. http://rave.ohiolink.edu/etdc/view?acc_num=osu1277321569.

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24

Huh, Seungho. "SAMPLE SIZE DETERMINATION AND STATIONARITY TESTING IN THE PRESENCE OF TREND BREAKS." NCSU, 2001. http://www.lib.ncsu.edu/theses/available/etd-20010222-121906.

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Traditionally it is believed that most macroeconomic time series represent stationary fluctuations around a deterministic trend. However, simple applications of the Dickey-Fuller test have, in many cases, been unable to show that major macroeconomic variables are stationary univariate time series structure. One possible reason for non-rejection of unit roots is that the simple mean or linear trend function used by the tests are not sufficient to describe the deterministic part of the series. To address this possibility, unit root tests in the presence of trend breaks have been studied by several researchers.In our work, we deal with some issues associated with unit root testing in time series with a trend break.The performance of various unit root test statistics is compared with respect to the break induced size distortion problem. We examine the effectiveness of tests based on symmetric estimators as compared to those based on the least squares estimator.In particular, we show that tests based on the weighted symmetric estimator not only eliminate thespurious rejection problem but also have reasonably good power properties when modified to allow for a break.We suggest alternative test statistics for testing the unit root null hypothesis in the presence of a trend break. Our new test procedure, which we call the ``bisection'' method, is based on the idea of subgrouping. This is simpler than other methods since the necessity of searching for the break is avoided.Using stream flow data from the US Geological Survey, we perform a temporal analysis of some hydrologicvariables. We first show that the time series for the target variables are stationary, then focus on finding the sample size necessary to detect a mean change if one occurs. Three different approaches are used to solve this problem: OLS, GLS and a frequency domain method. A cluster analysis of stations is also performed using these sample sizes as data.We investigate whether available geographic variables can be used to predict cluster membership.

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25

Raza, Haider. "Adaptive learning for modelling non-stationarity in EEG-based brain-computer interfacing." Thesis, Ulster University, 2016. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695308.

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Non-stationary learning (NSL) refers to the process that can learn rules from data, adapt to shifts, and improve the performance of the system with its experience while operating in the non-stationary environments (NSE). While data processing in NSE, a covariate shift is a major challenge wherein the input data distribution may shift during transitioning from training to testing phase. Covariate shift is one of the fundamental challenges in electroencephalogram (EEG) based brain-computer interface (BCI) systems and these can be often found during multiple trials over different sessions of EEG data recording. Due to these covariate shifts, low performance in terms of classification accuracy has been a confounding factor of conventional BCI systems for motor imagery detection. This research proposes three different steps to designing a novel framework of adaptive learning for modelling non-stationary systems. Firstly, a covariate shift detection (CSD) test has been designed based on an exponentially weighted moving average (EWMA) control chart. The CSD test is a fully data-driven method, and it does not require any assumption on the data distribution to detect the covariate shift. Secondly, transductive-inductive learning based covariate shift adaptation (CSA) algorithms have been proposed, which are based on active and passive approaches to non-stationary learning. To estimate the effectiveness of the proposed adaptive algorithms, extensive experiments have been performed on both synthetic and EEG datasets. The proposed methods are benchmarked against the state-of-the-art methods. In this way, the resulting system utilizes unlabelled data for both the CSD and classifier adaptation purposes and correspondingly implements motor imagery-related classification of single-trial EEG. Lastly, an online active approach based CSA algorithm has been proposed for the non- stationary adaptation in EEG signals for neuro-rehabilitation systems. The online BCI paradigm has been tested on 21 healthy subjects. The result for the online adaptive BCI system has shown a statistically significant improvement over the non-adaptive BCI system. The research contributions collectively provide an efficient method for accounting non-stationarity in data during learning in NSEs.
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26

Antoniadou, Ifigeneia. "Accounting for non-stationarity in the condition monitoring of wind turbine gearboxes." Thesis, University of Sheffield, 2013. http://etheses.whiterose.ac.uk/4838/.

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Increasing growth of wind turbine systems suggests a more systematic research around their design, operation and maintenance is needed. These systems operate under challenging enviromental conditions and failure of some of their parts, for the time being, is frequent, although undesirable. Wind turbine gearboxes, more particularly, seem to be so problematic that some wind turbine designs avoid including them. Structural health monitoring and condition monitoring of wind turbines appear to be necessary in order to determine the condition and lifespan of the wind turbine components and the drivetrain respectively. In this way reparative actions could be taken whenever needed resulting in reduction of maintenance costs. This thesis focuses on the condition monitoring of wind turbine gearboxes, taking into account the varying loads that they endure. Currently, the vibration-based damage detection methods used in real life wind turbine condition monitoring systems are based on conventional methods that generally fail to detect damage at its early stage under the operational conditions observed in wind turbines. Load and speed variations of the drivetrain that are observed commonly in wind turbines influence the vibration signals and can possibly affect potential damage features. This shows a demand for effective methods for early damage detection. Developments in the area of advanced signal processing should be examined and applied in damage detection of wind turbine gearboxes. Methods from time-frequency analysis, time-scale analysis, pattern recognition, multivariate statistics and econometrics are examined in this study in a condition monitoring context. One important part of the work presented is the development of a simple gearbox model interfaced with realistic wind loading, a model feature that appears to be novel. Other interesting aspects of this thesis are related to the use of the empirical mode decomposition method for time-frequency analysis. The use of Teager-Kaiser energy operator as an alternative technique to Hilbert transform for the estimation of the instantaneous characteristics of the decomposed signals is one of these aspects. The study showed that for some cases and under certain conditions this operator could help to improve the time-frequency analysis. Another aspect is the observation of the change of the number of the intrinsic mode functions produced, for the different load and damage cases, during the decomposition process. This observation was connected theoretically with what is known as the mode mixing problem of the empirical mode decomposition method. For the feature discrimination part of this work, the simplest novelty detection method, outlier analysis, was used in a slightly different manner than in previous studies and the results obtained were compared with a novel adaptive thresholding technique, the 3D phase-space thresholding method. The previously described approaches were applied on the simulated gearbox data but also on real wind turbine gearbox data. Finally, cointegration analysis was proposed as a potential method for removing the effects of the gearbox load variations. This is a novel concept for the condition monitoring of wind turbine gearboxes. An approach which makes it possible to use data from just a single sensor in order to perform cointegration analysis was developed and the process for applying multiscale cointegration using either wavelets or the empirical mode decomposition method was discussed. This final part of the work is an initial step towards applying cointegration to condition monitoring data.
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27

Surowiec, Thomas Michael. "Explicit stationarity conditions and solution characterization for equilibrium problems with equilibrium constraints." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2010. http://dx.doi.org/10.18452/16087.

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Die vorliegende Arbeit beschaeftigt sich mit Gleichgewichtsproblemen unter Gleichgewichtsrestriktionen, sogenannten EPECs (Englisch: Equilibrium Problems with Equilibrium Constraints). Konkret handelt es sich um gekoppelte Zwei-Ebenen-Optimierungsprobleme, bei denen Nash- Gleichgewichte fuer die Entscheidungen der oberen Ebene gesucht sind. Ein Ziel der Arbeit besteht in der Formulierung dualer Stationaritaetsbedingungen zu solchen Problemen. Als Anwendung wird ein oligopolistisches Wettbewerbsmodell fuer Strommaerkte betrachtet. Zur Gewinnung qualitativer Hypothesen ueber die Struktur der betrachteten Modelle (z.B. Inaktivitaet bestimmter Marktteilnehmer) aber auch fuer moegliche numerische Zugaenge ist es wesentlich, EPEC-Loesungen explizit bezueglich der Eingangsdaten des Problems zu formulieren. Der Weg dorthin erfordert eine Strukturanalyse der involvierten Optimierungsprobleme (constraint qualifications, Regularitaet), die Herleitung von Stabilitaetsresultaten bestimmter mengenwertiger Abbildungen und die Nutzung von Transformationsformeln fuer die sogenannte Ko-Ableitung. Weitere Schwerpunkte befassen sich mit der Beziehung zwischen verschiedenen dualen Stationaritaetstypen (S- und M-Stationaritaet) sowie mit stochastischen Erweiterungen der betrachteten Problemklasse, sogenannten SEPECs.
This thesis is concerned with equilibrium problems with equilibrium constraints or EPECs. Concretely, we consider models composed by coupling together two-level optimization problems, the upper-level solutions to which are non-cooperative (Nash-Cournot) equilibria. One of the main goals of the thesis involves the formulation of dual stationarity conditions to EPECs. A model of oligopolistic competition for electricity markets is considered as an application. In order to profit from qualitative hypotheses concerning the structure of the considered models, e.g., inactivity of certain market participants at equilibrium, as well as to provide conditions useful for numerical procedures, the ablilty to formulate EPEC solutions in relation to the input data of the problem is of considerable importance. The way to do this requires a structural analysis of the involved optimization problems, e.g., constraints qualifications, regularity; the derivation of stability results for certain multivalued mappings, and the usage of transformation formulae for so-called coderivatives. Further important topics address the relationship between various dual stationarity types, e.g., S- and M-stationarity, as well as the extension of the considered problem classes to a stochastic setting, i.e., stochastic EPECs or SEPECs.
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28

Barwary, Sara, and Tina Abazari. "Preprocessing Data: A Study on Testing Transformations for Stationarity of Financial Data." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254301.

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In thesis within Industrial Economics and Applied Mathematics in cooperation with Svenska Handelsbanken given transformations was examined in order to assess their ability to make a given time series stationary. In addition, a parameter α belonging to each of the transformation formulas was to be decided. To do this an extensive study of previous research was conducted and two different tests of hypothesis where obtained to confirm output. A result was concluded where a value or interval for α was chosen for each transformation. Moreover, the first difference transformation is proven to have a positive effect on stationarity of financial data.
Det här kandidatexamensarbetet inom Industriell Ekonomi och tillämpad matematik i samarbete med Handelsbanken undersöker givna transformationer för att bedöma deras förmåga att göra givna tidsserier stationära. Dessutom skulle en parameter α tillhörande varje transformations formel bestämmas. För att göra detta utfördes en omfattande studie av tidigare forskning och två olika hypotestester gjordes för att bekräfta output. Ett resultat sammanställdes där ett värde eller ett intervall för α valdes till varje transformation. Dessutom visade det sig att "first difference" transformationen är bra för stationäritet av finansiell data.
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29

Lilarit, Sopirat. "An improved approach to testing for non-stationarity in economic time series." Thesis, Queensland University of Technology, 1997.

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30

HE, Xin. "Modeling church services supply and performance, using geographically weighted regression." Thesis, University of Gävle, Ämnesavdelningen för samhällsbyggnad, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-5801.

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The objective of this study is to develop a multiple linear regression model that measures the relationship between the church services supply and the attendance to the services in the Uppsala diocese, Church of Sweden. By reviewing previous models and examining the nature of data available, two research questions were introduced, namely, the problem of omitted variables and the problem of spatial autocorrelation. For the first question, two methods were compared, namely, the Y-lag method and the first-differenced equation. Statistical tests then showed that the latter was more preferable for this study. For the second question, geographically weighted regression was used to examine the spatial variations in relationships estimated by above modeling strategies. However, no significant spatial variation was found for them. In conclusion, by using the ordinary least square estimation for the first-differenced equation the most suitable regression model was obtained. The data showed no need to consider the issue of spatial non-stationarity.

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31

Hutton, Richard Shane. "Modeling the United States Unemployment Rate with the Preisach Model of Hysteresis." Thesis, Virginia Tech, 2009. http://hdl.handle.net/10919/32595.

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A system with hysteresis is one that exhibits path dependent but rate independent memory. Hysteresis can be observed physically through the magnetization of a ferromagnetic material. In order to mathematically describe systems with hysteresis, we use the Preisach model. A discussion of the Preisach model is given as well as a method for computing the hysteretic transformation of an input variable. The focus of this paper is hysteresis in economics, namely, unemployment. We consider essential time series techniques for analyzing time series data, i.e. unit root testing for stationarity. However, we point out problems in modeling hysteresis with these techniques and argue that unit root tests cannot capture the selective memory of a system with hysteresis. For that, hysteresis in economic time series data is modeled using the Preisach model. We test the explanatory power of the previous unemployment rate on the current unemployment rate using both a hysteretic and non-hysteretic model. We find that the non-hysteretic model is better at explaining current unemployment rates, which suggests hysteresis is not present in the United States unemployment rate.
Master of Science
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32

Heveling, Matthias [Verfasser]. "Bijective point maps, point-stationarity and characterization of Palm measures / von Matthias Heveling." Karlsruhe : Univ.-Verl. Karlsruhe, 2006. http://d-nb.info/979772591/34.

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Chetalova, Desislava [Verfasser], and Thomas [Akademischer Betreuer] Guhr. "Dependencies and non-stationarity in financial time series / Desislava Chetalova. Betreuer: Thomas Guhr." Duisburg, 2015. http://d-nb.info/1080478825/34.

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34

Trapletti, Adrian, Friedrich Leisch, and Kurt Hornik. "On the ergodicity and stationarity of the ARMA (1,1) recurrent neural network process." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1999. http://epub.wu.ac.at/652/1/document.pdf.

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In this note we consider the autoregressive moving average recurrent neural network ARMA-NN(1, 1) process. We show that in contrast to the pure autoregressive process simple ARMA-NN processes exist which are not irreducible. We prove that the controllability of the linear part of the process is sufficient for irreducibility. For the irreducible process essentially the shortcut weight corresponding to the autoregressive part determines whether the overall process is ergodic and stationary.
Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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35

Bui, Hoa. "Extremality and stationarity of collections of sets : metric, slope and normal cone characterisations." Thesis, Federation University of Australia, 2019. http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/178600.

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Variational analysis, a relatively new area of research in mathematics, has become one of the most powerful tools in nonsmooth optimisation and neighbouring areas. The extremal principle, a tool to substitute the conventional separation theorem in the general nonconvex environment, is a fundamental result in variational analysis. There have seen many attempts to generalise the conventional extremal principle in order to tackle certain optimisation models. Models involving collections of sets, initiated by the extremal principle, have proved their usefulness in analysis and optimisation, with non-intersection properties (or their absence) being at the core of many applications: recall the ubiquitous convex separation theorem, extremal principle, Dubovitskii Milyutin formalism and various transversality/regularity properties. We study elementary nonintersection properties of collections of sets, making the core of the conventional definitions of extremality and stationarity. In the setting of general Banach/Asplund spaces, we establish nonlinear primal (slope) and linear/nonlinear dual (generalised separation) characterisations of these non-intersection properties. We establish a series of consequences of our main results covering all known formulations of extremality/ stationarity and generalised separability properties. This research develops a universal theory, unifying all the current extensions of the extremal principle, providing new results and better understanding for the exquisite theory of variational analysis. This new study also results in direct solutions for many open questions and new future research directions in the fields of variational analysis and optimisation. Some new nonlinear characterisations of the conventional extremality/stationarity properties are obtained. For the first time, the intrinsic transversality property is characterised in primal space without involving normal cones. This characterisation brings a new perspective on intrinsic transversality. In the process, we thoroughly expose and classify all quantitative geometric and metric characterisations of transversality properties of collections of sets and regularity properties of set-valued mappings.
Doctor of Philosophy
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36

Pavlíček, Tomáš. "Segmentace pro časově-variantní systémy a jejich implementace." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2014. http://www.nusl.cz/ntk/nusl-220605.

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This thesis is interested in describing stationary random discrete signals, especially) in music discrete signals. Here is described when is signal stationary and when is not stationary. It contains tip for preprocessing of signal for accurate recognition of local stationarity. Thesis contain mathematical definition of parameters of random digital signals, which are used for stationarity recognition. It is followed by description of basic windows, their categories, describing of their parameters and comparing of each. In next part of thesis are described mothods of segmentations with constant window constant overlap save, constant window constant ovelap add, variable window constant overlap save, variable window constant ovelap add and variable window variable overlap add. It is followed by analyzing of windows used in segmentations with variable lengths of segments. As next point of thesis are transients made by step changes of coefficients of filter in filtering of segments with variable lengths. At the end is investigated the best accurate method of signal stationarity detection. Segments made by accurate method of detection are analyzed. thesis contains exapmle of music signal segmentation.
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37

Ji, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.

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This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are predicted by standard models to be stationary in the steady state. Using time series econometric techniques (unit root tests and cointegration tests) Australia great ratios are examined. In Chapter 3 a more restrictive implication of real business cycle models than the existence of great ratios is considered. Following the methodology proposed by Canova, Finn and Pagan (1994) the equilibrium decision rules for some standard real business cycle are tested on Australian data. The final essay on this topic is presented in Chapter 4. In this chapter a large-country, small-country is used to try and understand the reason for the sharp rise in Australia??s share of world output that began around 1990. Chapter 5 discusses real interest rate linkages in the Pacific Basin region. Vector autoregressive models and bootstrap methods are adopted to study financial linkages between East Asian markets, Japan and US. Given the apparent non-stationarity of real interest rates a related issue is examined in Chapter 6, viz. the persistence of international real interest rates and estimation of their half-life. Half-life is selected as a means of measuring persistence of real rates. Bootstrap methods are employed to overcome small sample issues in the estimation and a non-standard statistical inference methodology (Highest Density Regions) is adopted. Chapter 7 reapplies the High Density Regions methodology and bootstrap half-life estimation to the data used in Chapters 2 and 5. This provides a robustness check on the results of standard unit root tests that were applied to the data in those chapters. Main findings of the thesis are as follows. The long run implications of real business cycle models are largely rejected by the Australia data. This finding holds for both the existence of great ratios and when the explicit decision rules are employed. When the small open economy features of the Australian economy are incorporated in a two country RBC model, a country-specific productivity boom seems to provide a possible explanation for the rise in Australia??s share of world output. The essays that examine real interest rates suggest the following results. Following the East Asian financial crisis in 1997-98 there appears to have been a decline in the importance of Japan in influencing developments in the Pacific Basin region. In addition there is evidence that following the crisis Korea??s financial market became less insular and more integrated with the US. Finally results obtained from the half-life estimators suggest that despite the usual findings from unit root tests, real interest rates may in fact exhibit mean-reversion.
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38

Krause, Jakob [Verfasser], Jörg [Gutachter] Laitenberger, and Gregor [Gutachter] Weiß. "Essays on non-stationarity in finance : [kumulative Dissertation] / Jakob Krause ; Gutachter: Jörg Laitenberger, Gregor Weiß." Halle (Saale) : Universitäts- und Landesbibliothek Sachsen-Anhalt, 2020. http://d-nb.info/1226762409/34.

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39

Koutris, Andreas. "Testing for Structural Change: Evaluation of the Current Methodologies, a Misspecification Testing Perspective and Applications." Diss., Virginia Tech, 2006. http://hdl.handle.net/10919/26716.

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The unit root revolution in time series modeling has created substantial interest in non- stationarity and its implications for empirical modeling. Beyond the original interest in trend vs. di¤erence non-stationarity, there has been renewed interest in testing and modeling structural breaks. The focus of my dissertation is on testing for departures from stationarity in a broader framework where unit root, mean trends and structural break non-stationarity constitute only a small subset of the possible forms of non-stationarity. In the fi¦rst chapter the most popular testing procedures for the assumption, in view of the fact that general forms of non-stationarity render each observation unique, I develop a testing procedure using a resampling scheme which is based on a Maximum Entropy replication algorithm. The proposed misspecification testing procedure relies on resampling techniques to enhance the informational content of the observed data in an attempt to capture heterogeneity 'locally' using rolling window estimators of the primary moments of the stochastic process. This provides an e¤ective way to enhance the sample information in order to assess the presence of departures from stationarity. Depending on the sample size, the method utilizes overlapping or non-overlapping window estimates. The e¤ectiveness of the testing procedure is assessed using extensive Monte Carlo simulations. The use of rolling non-overlapping windows improves the method by improving both the size and power of the test. In particular, the new test has empirical size very close to the nominal and very high power for a variety of departures from stationarity. The proposed procedure is then applied on seven macroeconomic series in the fourth chapter. Finally, the optimal choice of orthogonal polynomials, for hypothesis testing, is investigated in the last chapter.
Ph. D.
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40

Eckersten, Sofia. "Updating Rainfall Intensity-Duration-Frequency Curves in Sweden Accounting for the Observed Increase in Rainfall Extremes." Thesis, Uppsala universitet, Luft-, vatten och landskapslära, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-283714.

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Increased extreme precipitation has been documented in many regions around the world, in- cluding central and northern Europe. Global warming increases average temperature, which in turn enhances atmospheric water holding capacity. These changes are believed to increase the frequency and/or intensity of extreme precipitation events. In determining the design storm, or a worst probable storm, for infrastructure design and failure risk assessment, experts commonly assume that statistics of extreme precipitation do not change significantly over time. This so- called notion of stationarity assumes that the statistics of future extreme precipitation events will be similar to those of historical observations. This study investigates the consequences of using a stationary assumption as well as the alternative: a non-stationary framework that con- siders temporal changes in statistics of extremes. Here we evaluate stationary and non-stationary return levels for 10-year to 50-year extreme precipitation events for different durations (1-day, 2-day, ..., 7-day precipitation events), based on the observed daily precipitation from Sweden. Non-stationary frequency analysis is only considered for stations with statistically significant trends over the past 50 years at 95% confidence (i.e., 15 to 39 % out of 139 stations, depend- ing on duration, 1-day, 2-day, ..., 7-day). We estimate non-stationary return levels using the General Extreme Value distribution with time-dependent parameters, inferred using a Bayesian approach. The estimated return levels are then compared in terms of duration, recurrence in- terval and location. The results indicate that a stationary assumption might, when a significant trend exists, underestimate extreme precipitation return levels by up to 40 % in Sweden. This report highlights the importance of considering better methods for estimating the recurrence in- terval of extreme events in a changing climate. This is particularly important for infrastructure design and risk reduction.
Ökad extrem nederbörd har dokumenterats globalt, däribland centrala och norra Europa. Den globala uppvärmningen medför en förhöjd medeltemperatur vilket i sin tur ökar avdunstning av vatten från ytor samt atmosfärens förmåga att hålla vatten. Dessa förändringar tros kunna öka och intensifiera nederbörd. Vid bestämning av dimensionerande nederbördsintensiteter för byggnationsprojekt antas idag att frekvensen och storleken av extrem nederbörd inte kommer att förändras i framtiden (stationäritet), vilket i praktiken innebär ingen förändring i klimatet. Den här studien syftar till att undersöka effekten av en icke-stationärt antagande vid skattning av dimensionerande nederbördsintensitet. Icke-stationära och stationära nerderbördsintensiteter föråterkomsttider mellan 10 och 100år bestämdes utifrån daglig och flerdaglig svensk nederbörds- data. Nederbördintensiteterna bestämdes med extremvärdesanalys i mjukvaran NEVA, där den generella extremvärdesfördelningen anpassades till årlig maximum nederbörd på platser i Sverige som påvisade en ökande trend under de senaste 50åren (15% till 39 % utav 139 stationer, beroende på varaktighet). De dimensionerande nederbördsintensiteterna jämfördes sedan med avseende på varaktighet, återkomsttid och plats. Resultaten indikerade på att ett stationärt antagande riskerar att underskatta dimensionerande nederbördsintensiteter för en viss återkomsttid med upp till 40 %. Detta indikerar att antagandet om icke-stationäritet har större betydelse för olika platser i Sverige, vilket skulle kunna ge viktig information vid bestämning av dimensionerande regnintensiteter.
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41

Van, Greunen Jan Adriaan. "Determining the impact of different forms of stationarity on financial time series analysis / van Greunen J.A." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7269.

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Since most time series data are non–stationary, the econometrician and financial analyst are re–quired to make the data stationary before embarking on any econometric analysis in order to avoid spurious results. Although there are several different ways to render a non–stationary time series stationary, few econometricians and financial analysts look past the first differencing and log–differencing methods. Due to this "difference first, ask questions later" approach, this study aims to determine the impact of different forms of stationarity on financial time series analysis. Further–more, this study aims to determine whether it is of any significance to consider one of the other methods of rendering a time series stationary rather than simply first differencing. As a starting point, the literature on the different forms of stationarity as well as the tests for sta–tionarity is reported. After an extensive review of the literature, it was found that there are at least five different forms of stationarity, each characterised by specific statistical properties of the particu–lar time series. The literature also revealed that the most popular tests of stationarity are the DF–GLS, ADF and KPSS tests. Furthermore, the manner in which the fractional differencing parameter or fractional integration parameter of a time series is determined was reviewed. The methods used to determine the fractional differencing parameter, which were reported in this work, are that of the MRS and GPH methods. Incorporating all the tests and the GPH method, a novel process to deter–mine the correct form of stationarity for a specific time series was introduced. The process was then applied to different types of time series data, which included stock prices, a stock index, consumer price index and an exchange rate. After finding that the time series do differ statistically and have different forms of stationarity, ARFIMA and OLS were employed. ARFIMA and OLS allowed each time series (in its own form of stationarity suggested by the relevant process) to be compared to the al–ternative form. For example, if a time series was found to be fractional difference stationary, its forecasting performance would be tested against its first differenced form. Results indicated that the form of stationarity found in a time series, after employing the relevant process, outperformed its alternative in every instance tested. The results confirmed that it is indeed reckless to "difference first, and ask questions later". First dif–ferencing is not the only method that should be used to render a time series stationary, and it is im–perative that econometricians and financial analysts begin exploring properties of the data and cease blindly following processes suggested for different datasets in the literature. The data should lead the analyst to the method that should be used to truly render a particular non–stationary time series stationary.
Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2012.
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42

Lee, HyunWook. "Pushing/Pulling Exertions Disturb Trunk Postural Stability." Thesis, Virginia Tech, 2007. http://hdl.handle.net/10919/32752.

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The stability of the spine can be estimated from kinematic variability and nonlinear analyses of seated balance tasks. However, processing methods require sufficient signal duration and test-retest experiments require that the assessment must be reliable. Our goal was to characterize the reliability and establish the trial duration for spine stability assessment. Stationarity, kinematic variability and nonlinear dynamic stability were quantified from kinetic and kinematic data collected during balance performance. Stationarity results showed that a minimum 30 seconds test duration is necessary. Intra-session reliability was excellent, however inter-session reliability needed more test trials to achieve excellent reliability. Few studies have investigated the spinal stability during pushing and pulling exertions. Past studies suggest that the spine can be stabilized by paraspinal muscle stiffness as well as reflexes. We hypothesized that the stability of the spine decreases with exertion force and decreases during pushing more than during pulling exertion. Kinematic variability and nonlinear dynamic stability measurements were quantified from the balance performance during isometric pushing and pulling tasks. Results demonstrated that spinal stability decreased with exertion force and decreased a greater amount during pushing task than during pulling task. Stiffness alone may be insufficient to stabilize the trunk. Results may be able to be explained by slower reflex delay. The results suggested that pushing and pulling exertions have a potential risk of low-back disorders.
Master of Science
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43

Jentsch, Carsten [Verfasser], and J. P. [Akademischer Betreuer] Kreiß. "The Multiple Hybrid Bootstrap and Frequency Domain Testing for Periodic Stationarity / Carsten Jentsch ; Betreuer: J.-P. Kreiß." Braunschweig : Technische Universität Braunschweig, 2010. http://d-nb.info/1175826693/34.

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44

Hosseini, Tabaghdehi Seyedeh Asieh. "Structural analysis of energy market failure : empirical evidence from US." Thesis, Brunel University, 2013. http://bura.brunel.ac.uk/handle/2438/8848.

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This thesis is concerned with the econometric modelling of gasoline prices in US. The intention is to characterize the market process in this crucial and significant industry. Overall we have been seeking to identify a mechanism to signal and measure market failure and consequently improve market performance. Firstly we examine the time series properties of gasoline prices using the criteria for perfect arbitrage to test market efficiency from the stationarity of price proportions. This is done by considering market efficiency across in different regions of the US, by applying a range of different stationary tests. In this analysis we collected a comprehensive data set of gasoline prices for all regions of the US mainland for the longest period available. Forni (2004), outlined reasons why the analysis of price proportions may be advantageous; especially when the sample is limited. Stationarity corresponds to a broad market, it is found here that the US gasoline market is on average broad. Except for the Gulf Coast and Lower Atlantic, which may be seen as economically and/or geographically separated, market structure in the rest of the US would not appear to be a problem Next we investigate possible long-run price leadership in the US gasoline market and the inter-relatedness of price behaviour relevant to a competitive market. Following Hunter & Burke (2007) and Kurita (2008) market definition is tested. This is done on an extended regional data set to Kurita and following the analysis in Hunter and Burke on a set of company data for the US.We analysed long-run price leadership through the cointegrated vector auto-regression (VAR) to identify key characteristics of long-run structure in the gasoline market. The analysis of the system of regional prices confirms problems with the Gulf Coast and Lower Atlantic, but also based on the finding that the cointegrating rank is less than N-1 using both types of data ( regional price data and company price data) and the findings on weak exogenity it is suggested that competition across the whole of the US is further limited. We applied further tests to company data on prices and quantity data to investigate further the need to regulate for potential anomalies and to capture more directly consumer harm. The variance screening method applied to recent weekly data indicates that there is too little variation in gasoline prices and this would seem to support the cointegration study. Furthermore we applied a dynamic disequilibrium analysis to attempt to identify long-run demand and supply in the gasoline market. Finding significant variables using the Phillips-Hansen fully modified estimation of the switching regression is necessary to distinguish two long-run equations (S&D). Moreover a comparison is made with a Markov Switching Model (MSM) of prices and this suggests a similar pattern of regime to the quantity information analysed in by our disequilibrium model.
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45

Fan, Yiying. "Covariance estimation and application to building a new control chart." Case Western Reserve University School of Graduate Studies / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=case1291406214.

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46

Namavari, Hamed. "Essays on Objective Procedures for Bayesian Hypothesis Testing." University of Cincinnati / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1563872718411158.

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47

Vera, Ruiz Victor. "Recoding of Markov Processes in Phylogenetic Models." Thesis, The University of Sydney, 2014. http://hdl.handle.net/2123/13433.

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Under a Markov model of evolution, lumping the state space (S) into fewer groups has been historically used to focus on specific types of substitutions or to reduce compositional heterogeneity and saturation. However, working with reduced state spaces (S’) may yield misleading results unless the Markovian property is kept. A Markov process X(t) is lumpable if the reduced process X’(t) of S’ is Markovian. The aim of this Thesis is to develop a test able to detect if a given X(t) is lumpable with respect to a given S’. This test should allow flexibility to any possible non-trivial S’ and should not depend on evolutionary assumptions such as stationarity, homogeneity or reversibility (SHR conditions) over a phylogenetic tree. We developed three tests for lumpability for SHR Markovian processes on two taxa and compared them: one using an ad hoc statistic based on an index that is evaluated using a bootstrap approximation of its distribution; one based on a test proposed specifically for Markov chains; and one using a likelihood-ratio (LR) test. We show that the LR test is more powerful than the other two tests, and that it can be applied in all pairs of taxa for binary trees with more than two taxa under SHR conditions. Then, we generalized the LR test for cases where the SHR conditions may not hold. We show that the distribution of this test statistic approximates a chi square with a number of degrees of freedom equal to the number of different rate matrices in the tree by two. In all cases, we show that if X(t) is lumpable, the obtained estimates for X’(t) agree with the obtained estimates for X(t), whereas, if X(t) is not lumpable, these estimates can differ substantially. We conclude that lumping S may result in biased phylogenetic estimates if the original X(t) is not lumpable. Accordingly, testing for lumpability should be done prior to any phylogenetic analysis of recoded data.
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48

Dissanayake, Gnanadarsha. "Advancement of Fractionally Differenced Gegenbauer Processes with Long Memory." Thesis, The University of Sydney, 2015. http://hdl.handle.net/2123/13434.

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The class of long memory time series models involving Gegenbauer processes is investigated in detail in terms of formulation, parameter estimation, prediction and testing. Corresponding truncated AR (autoregressive) and MA (moving average) approximations driven by Gaussian white noise are analysed through state space modelling and Kalman filtering to assess the viability of estimating techniques . The optimal approximation option is employed to proceed with the estimation of model parameters. The resulting mean square errors are validated by the predictive accuracy to establish an optimal lag order through a large scale simulation study. It is shown that the use of this newly established lag order for a real data application provides benchmarks which are comparable and mostly better than a number of existing results in the literature. It is followed by an execution of this technique to extract and assess seasonal models through a Monte Carlo experiment. Thereafter empirical applications were provided. The above approach has been extended to model fractionally differenced Gegenbauer processes with conditional heteroskedastic errors and models with seasonality. Potential applications are provided. In addition, quasi-likelihood type ratio tests have been developed for testing unit roots, stationarity versus non-stationarity and Gegenbauer long memory versus standard long memory.
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49

Schmitt, Thilo Albrecht [Verfasser], Thomas [Akademischer Betreuer] Guhr, and Andreas [Akademischer Betreuer] Schadschneider. "Non-stationarity as a central aspect of financial markets / Thilo Albrecht Schmitt. Gutachter: Andreas Schadschneider. Betreuer: Thomas Guhr." Duisburg, 2014. http://d-nb.info/1063278198/34.

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50

Baldermann, Claudia [Verfasser]. "Robust Small Area Estimation under Spatial Non-Stationarity for Unit-Level Models : Theory and Empirical Results / Claudia Baldermann." Berlin : Freie Universität Berlin, 2017. http://d-nb.info/1147758182/34.

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