Simon Fraser University

Preliminary Autoregressive Models

After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
Scientific Research Publishing

G. U. Hwang, B. D. Choi and J. K. Kim, “The Waiting Time Analysis of a Discrete Time Queue with Arrivals as an Autoregressive Process of Order 1,” Journal of Applied ...

ABSTRACT: In this paper we consider the arrival process of a multiserver queue governed by a discrete autoregressive process of order 1 [DAR(1)] with Quasi-Negative Binomial Distribution-II as the ...
Scientific Research Publishing

Efficiency of Some Estimators for a Generalized Poisson Autoregressive Process of Order 1 ()

1 Département de Mathématiques et de Statistique, Université de Montréal, Montréal, Canada. 2 école d’Actuariat, Université Laval, Québec, Canada. Various models have been proposed in the literature ...
IEEE

Numerical Integral Equation Methods of Average Run Length on Triple EWMA Control Chart for Autoregressive Process

Abstract: The objective of this research is to study numerical integral equation (NIE) methods for evaluating the average run length (ARL) on the triple exponentially weighted moving average (TEWMA) ...
GitHub

Autoregressive modeling tools in header-only C++

This package contains a precision-agnostic, header-only, C++ implementation of Burg's recursive method for estimating autoregressive model parameters. Many usability-related extensions, in particular ...
Investopedia

Autoregressive Conditional Heteroskedasticity (ARCH) Explained

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...