Time series prediction is an important issue in a wide range of areas. There are various real world processes whose states vary continuously, and those processes may have influenc...
TheexactlikelihoodfunctionofaGaussianvectorautoregressive-movingaverage(VARMA)model is evaluated in two nonstandard cases: (a) a parsimonious structured form, such as obtained in ...
Abstract. E cient data mining algorithms are crucial fore ective knowledge discovery. We present the Multi-Stream Dependency Detection (msdd) data mining algorithm that performs a ...
A fast and exact procedure for the numerical synthesis of stationary multivariate Gaussian time series with a priori prescribed and well controlled autoand cross-covariance functi...
This paper deals with the analysis of temporal dependence in multivariate highfrequency time series data. The dependence structure between the marginal series is modelled through ...