Search - Vector Autoregressive

Search - Vector Autoregressive - List

[matlab] AutomaticSpectra DL : 0: This toolbox is Automatic spectral analysis for Irregular sampling/Missing data, analysis of spectral subbands, Vector Autoregressive modeling and Detection. It requires ARMASA toolbox. This toolbox can be downloaded from the Matlab Central file exchange at www.mathworks.com.
Update : 2025-04-04 Size : 86kb Publisher : Morteza Babaee
[Mathimatics-Numerical algorithms] ASA DL : 0: 自动谱分析：可用于丢失/采样/子束光谱分析；矢量自动迭代，可用于建模，故障诊断；-The applications of this additional toolbox are: - Automatic spectral analysis for Irregular sampling/Missing data, analysis of spectral subbands, - Vector Autoregressive modeling and Detection [uses ARMASA] - Reduced statistics ARMAsel: A compact yet accurate ARMA model is obtained based on a given power spectrum. Can be used for generation of colored noise with a prescribed spectrum. - ARfil algorithm: The analysis of missing data/irregularly sampled signals - Subband analysis: Accurate analysis of a part of the power spectrum - Detection: Generally applicable test statistic to determine whether two signals have been generated by the same process or not. Based on the Kullback-Leibler index or Likelihood Ratio. - Analysis of segments of data, possibly of unequal length.
Update : 2025-04-04 Size : 295kb Publisher : 王佳
[Windows Develop] Time-Series-WinRATS-paper-codes DL : 1: This file contains WinRATS replication files for famous macroeconomic papers. Financial econometrics, structural vector autoregressive models, and other advanced tools for time-series analyses are included.
Update : 2025-04-04 Size : 1.72mb Publisher : Tachinyou
[Other] 33 DL : 0: 为实现旋转机械故障诊断方法的自动化高精度及通用性，提出基于线性局部切空间排列( ， ) 维数化简的故障诊断模型首先结合经验模式分解( ，) 和自回归( ，) 模型系数构造全面表征不同故障特性的混合域特征集，再利用将高维混合域特征集化简为故障区分度更好的低维特征矢量，并输入到最近邻分类器( ， ) 中进行故障模式识别 -For rotating machinery fault diagnosis method of automated high-precision and versatility, the proposed arrangement based on the linear local tangent space (,) dimension fault diagnosis model simplification first combined empirical mode decomposition (,) and autoregressive model coefficients (,) The feature set of the mixed-domain structure to fully characterize the different failure characteristics, and then take advantage of the high-dimensional mixed-domain feature set simplified to better distinguish between degrees of failure low-dimensional feature vector, and input to the nearest neighbor classifier (,) fault pattern recognition
Update : 2025-04-04 Size : 430kb Publisher : 张力
[matlab] var_bvar DL : 0: this codes compute auroregressive and vector autoregressive model
Update : 2025-04-04 Size : 88kb Publisher : Clery
[Finance-Stock software system] 1-s2.0-S0264999314001746-main DL : 0: 论文：Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns-The relations between institutional investors behavior and futures returns are examined in this study. Evidence suggests that net trading volume by foreign investors and investment trust have forecasting power for futures returns. In addition, the study applies a time-varying parameter vector autoregressive (TVP-VAR) approach to estimate the relative effects of trading behavior by institutional investors on futures returns over time. The impact of open interest by three institutional investors is decreasing over the recent years. This implies that the value for open interest information three major institutional investors is gradually declining in Taiwan. © 2014 Published by Elsevier B.V.
Update : 2025-04-04 Size : 1.03mb Publisher :
[Industry research] Wind-speed-modeling-using-a-vector-autoregressive DL : 0: Wind speed modeling using a vector autoregressive process with a time-dependent intercept term
Update : 2025-04-04 Size : 1.47mb Publisher : aria ahmadi
[DataMining] Wind-Speed-Combined-Prediction DL : 0: 针对风电场短期风速的预测提出一种基于小波变换的组合预测方法。首先利用Mallat 算法对短期风速时间序列进行db3 小波三层分解与重构，得到短期风速时间序列的近似分量和细节分量。针对近似分量和细节分量的不同特性，对近似分量利用粒子群算法优化的最小二乘支持向量机进行预测，对细节分量利用自回归求和滑动平均模型进行预测。最后各预测模型预测值组合叠加得到最终的短期风速预测值。仿真结果表明该方法具有较高的预测准确度。-In order to improve short-term wind speed prediction accuracy of wind farms，a combined prediction method based on the wavelet transform is proposed. Firstly，the db3 wavelet is used for three-layer decomposition and reconstruction for short-term wind speed time series through Mallat algorithm. The approximation components and the detail components of the short-term wind speed are then obtained. Next，according to the different characteristics of these components，the least square support vector machine optimized by particle swarm algorithm and the autoregressive integrated moving average model are adopted as the predictivemodels for the approximate components and the detail components respectively. Then，the final predictive value of the short-term wind speed is obtained by the combination of the two components. The simulation results indicate that higher accuracy can be obtained in this prediction method.
Update : 2025-04-04 Size : 283kb Publisher : kiel
[Other] Threshold Vector Autoregressive Toolbox DL : 0: Threshold Vector Autoregressive Toolbox
Update : 2025-04-04 Size : 199kb Publisher : noodle2017
[Other] 自回归模型课件与程序 DL : 1: 自回归模型，向量自回归模型是AR模型的推广。[1] 这个概念应当区别于金融风险管理的VaR模型。VaR模型是用于衡量市场风险和信用风险的大小，辅助金融机构进行风险管理和监管部门有效监管的工具(Autoregressive model and vector autoregressive model are the extension of AR model)
Update : 2025-04-04 Size : 13.24mb Publisher : 小呆729
[Other] gdfm_toolbox_1.3 DL : 0: 基于虑子方法拟合平滑转换向量自回归模型，包含若干分解算法(Fitting smooth transformation vector autoregressive model)
Update : 2025-04-04 Size : 8kb Publisher : hanm
[matlab] Interaction VAR estimation DL : 0: This is Matlab code that estimates interaction vector autoregressive models. It also computes impulse response function.
Update : 2018-08-11 Size : 430.71kb Publisher : mbalcilar
[Other] Structural Vector Autoregressive with Sign restrictions DL : 0: Program file to run a VAR model with p-lags % Author: Jefferson Martinez te amo % This code has been created only for academic and teaching purposes. Feel % free to use it, but do not forget to acknowledge the work. % I thank Carlos Guevara for the useful comments % This code is based on Chapter 2 of Helmut Lütkepohl (2005), "New % Introduction to Multiple Time Series Analysis", Springer; and Kilian, L. % and Lütkepohl, J. (2017). Structural vector autoregressive analysis. % Cambridge University Press.
Update : 2018-11-25 Size : 4.86kb Publisher : franciscososasotomayor123
[matlab] Estimation codes of Econometric Modelling with Time Series: Specification, Estimation and Testing DL : 0: The present codes allow for estimation of multiple model in time series analysis. Among the principal models are ARMA, Vector Error Correction and Vector Autoregressive. The codes are written in Matlab.
Update : 2018-11-25 Size : 3.33mb Publisher : franciscososasotomayor123
[matlab] tvpvar DL : 5: 时变参数向量自回归模型的估计代码以及模型应用方法(Estimation code and application of Time-Varying parameter vector autoregressive model)
Update : 2025-04-04 Size : 918kb Publisher : icygin
[Other] TVP-VAR DL : 0: 包含了目前主流的时变参数向量自回归模型代码以及文献(Including the current mainstream time-varying parameter vector autoregressive model code and Literature)
Update : 2025-04-04 Size : 4.18mb Publisher : ChenBerry1995
[Finance-Stock software system] MI-TVP-SV-VAR DL : 6: Koop大神写出来的时变向量自回归模型的进化版，希望对大神写作有帮助。(The evolutionary version of the time-varying vector autoregressive model written by the Koop hopes, to be helpful to your writing.)
Update : 2025-04-04 Size : 455kb Publisher : 张萌萌233
[matlab] 贝叶斯向量自回归MATLAB代码 DL : 0: 使用matlab实现贝叶斯向量自回归模型，可用于经济学中的预测(It can realize Bayesian vector autoregressive model, and it can be used to predict in economics.)
Update : 2025-04-04 Size : 154kb Publisher : cmiumiu
[Other] Short-Term Forecasting of Electric Loads Using Nonlinear Autoregressive Artificial Neural Networks with Exogenous Vector DL : 0: Short-term electrical load forecasting is vital for the efficient operation of electric power systems. A power grid integrates many stake holders who can be affected by an inaccurate load forecast: power generation utilizes 24-hour or 48-hour ahead forecasts for operations planning
Update : 2021-08-01 Size : 682.06kb Publisher : fellahi79