The Experts below are selected from a list of 5961 Experts worldwide ranked by ideXlab platform
O. Stramer - One of the best experts on this subject based on the ideXlab platform.
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ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES
Journal of Time Series Analysis, 1996Co-Authors: O. StramerAbstract:. An approximating sequence of Markov processes with transitions at times 0, 1/n, 2/n,…, where n is large, was used in Brockwell and Hyndman (On continuous time threshold autoregression. Int. J. Forecasting 8 (1992), 157–73) and Brockwell (On continuous time threshold ARMA processes. J. Stat. Planning Inference 39 (1994). 291–304) to fit continuous time threshold autoregressive moving-average (CTARMA) models with boundary width 2δ > 0 to both simulated and real data. In this paper we approximate CTARMA processes with δ= 0 by a new sequence of continuous processes and show that the distribution and conditional moments of these approximating processes converge to those of the process itself. This result provides us with a new method for estimating the conditional moments, which enables inference in such models. Some numerical examples illustrate the value of the latter approximation in comparison with the more direct representation of the proces obtained from the Cameron-Martin-Girsanov formula (see, for example, Brockwell (On continuous time threshold ARMA processes. J. Stat. Planning Inference 39 (1994). 291–304) and Brockwell and Stramer (On the approximation of continuous time threshold ARMA processes. Ann. Inst. Statist. Math., to appear (1995))).
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On the approximation of continuous time threshold ARMA processes
Annals of the Institute of Statistical Mathematics, 1995Co-Authors: P. J. Brockwell, O. StramerAbstract:Threshold autoregressive (AR) and autoregressive moving average (ARMA) processes with continuous time parameter have been discussed in several recent papers by Brockwell et al. (1991, Statist. Sinica , 1 , 401–410), Tong and Yeung (1991, Statist. Sinica , 1 , 411–430), Brockwell and Hyndman (1992, International Journal Forecasting , 8 , 157–173) and Brockwell (1994, J. Statist. Plann. Inference , 39 , 291–304). A threshold ARMA process with boundary width 2δ>0 is easy to define in terms of the unique strong solution of a stochastic differential equation whose coefficients are piecewise linear and Lipschitz. The positive boundary-width is a convenient mathematical device to smooth out the coefficient changes at the boundary and hence to ensure the existence and uniqueness of the strong solution of the stochastic differential equation from which the process is derived. In this paper we give a direct definition of a threshold ARMA processes with δ=0 in the important case when only the autoregressive coefficients change with the level of the process. (This of course includes all threshold AR processes with constant scale parameter.) The idea is to express the distributions of the process in terms of the weak solution of a certain stochastic differential equation. It is shown that the joint distributions of this solution with δ=0 are the weak limits as δ ↓ 0 of the distributions of the solution with δ>0. The sense in which the approximating sequence of processes used by Brockwell and Hyndman (1992, International Journal Forecasting , 8 , 157–173) converges to this weak solution is also investigated. Some numerical examples illustrate the value of the latter approximation in comparison with the more direct representation of the process obtained from the Cameron-Martin-Girsanov formula. It is used in particular to fit continuous-time threshold models to the sunspot and Canadian lynx series.
Henrik Stryhn - One of the best experts on this subject based on the ideXlab platform.
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The location of the maximum of asymmetric two-sided Brownian motion with triangular drift☆
Statistics & Probability Letters, 1996Co-Authors: Henrik StryhnAbstract:The argmax distribution in Bhattacharya and Brockwell (1976) is extended to branches with unequal scalings as well as drifts. Examples show how this distribution class in change point problems with unequal variability may provide better approximations for the MLE than the symmetrical limit in Yao (1987).
Sheena E. Radford - One of the best experts on this subject based on the ideXlab platform.
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New Insights into the Molecular Mechanism of Beta Barrel Outer Membrane Protein Folding
Biophysical Journal, 2013Co-Authors: Sheena E. RadfordAbstract:Inspired by the seminal work of Anfinsen, investigations of the folding of small, water-soluble proteins have culminated in detailed insights into how these molecules attain and stabilise their native folds. In contrast, despite their overwhelming importance in biology, progress in understanding the folding and stability of membrane proteins remains relatively limited. Focusing on the β-barrel outer membrane protein, PagP, we have been using mutational analysis to determine how this protein folds from its urea denatured state into lipid vesicles and how this process is facilitated by molecular chaperones. In this lecture I will describe our recent experiments that have investigated the initial interactions of PagP with a bilayer, its mechanism of insertion into lipid, and how this process is facilitated by the molecular chaperones skp and surA. The work is at an early stage compared with the plethora of knowledge about the folding of water soluble proteins and how this is assisted by chaperones. Nonetheless the folding of this membrane protein is revealing new insights, new challenges and fascinating synergies with the folding mechanisms of water soluble counterparts.ReferencesHuysmans, G., Radford, S.E., Brockwell, D.J. & Baldwin, S.A. (2007) J. Mol. Biol. 373, 529-540Huysmans, G., Baldwin, S.A., Brockwell, D.J. & Radford, S.E. (2010) PNAS 107, 4099-4104Huysmans, G., Radford, S.E., Baldwin, S.A., Brockwell, D.J. (2012) J. Mol. Biol. 416, 453-464
Dushko Josheski - One of the best experts on this subject based on the ideXlab platform.
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Estimations Procedures with RATS 8.0 or higher for Introduction to Time Series and Forecasting, Book by Brockwell & Davis (2 Ed)
2014Co-Authors: Dushko JosheskiAbstract:This file consists of estimations in the time series software RATS (Regression Analysis of Time Series). In this file program files and procedures for the estimations in the book by Brockwell and Davis (2 ed ) had been provided. The order of estimations is by the book chapters.
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estimations procedures with rats 8 0 or higher for introduction to time series and forecasting book by Brockwell davis 2 ed
2014Co-Authors: Dushko JosheskiAbstract:This file consists of estimations in the time series software RATS (Regression Analysis of Time Series). In this file program files and procedures for the estimations in the book by Brockwell and Davis (2 ed ) had been provided. The order of estimations is by the book chapters.
Tucker Mcelroy - One of the best experts on this subject based on the ideXlab platform.
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Computation of vector ARMA autocovariances
Statistics & Probability Letters, 2017Co-Authors: Tucker McelroyAbstract:This note describes an algorithm for computing the autocovariance sequence of a VARMA process, without requiring the intermediary step of determining the Wold representation. Although the recursive formula for the autocovariances is well-known, the initialization of this recursion in standard treatments (such as Brockwell and Davis (1991) or Lutkepohl (2007)) is slightly nuanced; we provide explicit formulas and algorithms for the initial autocovariances.
