About: The Principle of Overcompleteness in VARMA Models     Goto   Sponge   NotDistinct   Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

AttributesValues
rdf:type
Description
  • In this paper we derive essential relations which are necessary for application of the principle of overcompleteness to sparse parameter estimation in multivariate ARMA models (VARMA models). This new approach is based on the Basis Pursuit Algorithm originally suggested by Chen et al [SIAM Review 43 (2001), No.1]. Overcompleteness means that we admit higher range of orders within which we are looking for lowest possible number of significant parameters (sparsity). A previous study [V. Veselý and J. Tonner: Austrian Journal of Statistics, Special Issue 2006] confirmed that this relaxation of the commonly used low-order assumption may yield more precise forecasts from ARMA models when compared with standard statistical estimation techniques. The results of the numerical simulation study and the tests on real data can be seen in [Mathematical Methods in Economics 2006, J. Tonner: The Principle of Overcompleteness in Economic Multivariate Time Series Models].
  • In this paper we derive essential relations which are necessary for application of the principle of overcompleteness to sparse parameter estimation in multivariate ARMA models (VARMA models). This new approach is based on the Basis Pursuit Algorithm originally suggested by Chen et al [SIAM Review 43 (2001), No.1]. Overcompleteness means that we admit higher range of orders within which we are looking for lowest possible number of significant parameters (sparsity). A previous study [V. Veselý and J. Tonner: Austrian Journal of Statistics, Special Issue 2006] confirmed that this relaxation of the commonly used low-order assumption may yield more precise forecasts from ARMA models when compared with standard statistical estimation techniques. The results of the numerical simulation study and the tests on real data can be seen in [Mathematical Methods in Economics 2006, J. Tonner: The Principle of Overcompleteness in Economic Multivariate Time Series Models]. (en)
Title
  • The Principle of Overcompleteness in VARMA Models
  • The Principle of Overcompleteness in VARMA Models (en)
skos:prefLabel
  • The Principle of Overcompleteness in VARMA Models
  • The Principle of Overcompleteness in VARMA Models (en)
skos:notation
  • RIV/00216224:14560/07:00020673!RIV10-GA0-14560___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/05/2172)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 444218
http://linked.open...ai/riv/idVysledku
  • RIV/00216224:14560/07:00020673
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • multivariate time series; sparse system; overcomplete system; VARMA models; l1 norm optimization; stationary time series (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [09C22202F62B]
http://linked.open...v/mistoKonaniAkce
  • Brno
http://linked.open...i/riv/mistoVydani
  • Brno
http://linked.open...i/riv/nazevZdroje
  • Summer School DATASTAT 06, Proceedings, Masaryk Univeristy, 2007
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Tonner, Jaromír
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Masaryk University
https://schema.org/isbn
  • 978-80-210-4493-7
http://localhost/t...ganizacniJednotka
  • 14560
is http://linked.open...avai/riv/vysledek of
Faceted Search & Find service v1.16.118 as of Jun 21 2024


Alternative Linked Data Documents: ODE     Content Formats:   [cxml] [csv]     RDF   [text] [turtle] [ld+json] [rdf+json] [rdf+xml]     ODATA   [atom+xml] [odata+json]     Microdata   [microdata+json] [html]    About   
This material is Open Knowledge   W3C Semantic Web Technology [RDF Data] Valid XHTML + RDFa
OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 48 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software