In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance...

In statistics, econometrics, and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it can be used...

variances are important parts of autoregressive conditional heteroskedasticity (ARCH) models. The conditional variance of a random variable Y given another...

White, Halbert (1980). "A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity". Econometrica. 48 (4): 817–838...

changes of variance over time (heteroskedasticity). These models represent autoregressive conditional heteroskedasticity (ARCH) and the collection comprises...

In the statistical analysis of time series, autoregressive–moving-average (ARMA) models are a way to describe a (weakly) stationary stochastic process...

role in data analysis aimed at identifying the extent of the lag in an autoregressive (AR) model. The use of this function was introduced as part of the Box–Jenkins...

interpreted within the context of information theory. Bayes factor Conditional entropy Conditional probability Empirical likelihood Likelihood principle Likelihood-ratio...

be to predict the likelihood of a homeowner defaulting on a mortgage. Conditional random fields, an extension of logistic regression to sequential data...

Cross-correlation (XCF) ARMA model ARIMA model (Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain...

Park, Sung Y.; Bera, Anil K. (2009). "Maximum entropy autoregressive conditional heteroskedasticity model". Journal of Econometrics. 150 (2): 219–230. CiteSeerX 10...

Cross-correlation (XCF) ARMA model ARIMA model (Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain...

{\displaystyle t\mapsto F_{X|Y=y}^{-1}(t)} is the inverse of the conditional cdf (i.e., conditional quantile function) of x ↦ F X | Y ( x | y ) {\displaystyle...

ISBN 9780412039911. Park SY, Bera AK (2009). "Maximum entropy autoregressive conditional heteroskedasticity model". Journal of Econometrics. 150 (2): 219–230. doi:10...

importance of conditional probability by writing "I wish to call attention to ... and especially the theory of conditional probabilities and conditional expectations...

Cross-correlation (XCF) ARMA model ARIMA model (Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain...

{Var} [X\mid Y])+\operatorname {Var} (\operatorname {E} [X\mid Y]).} The conditional expectation E ⁡ ( X ∣ Y ) {\displaystyle \operatorname {E} (X\mid Y)}...

Statistical Inference. D. Van Nostrand, Princeton, NJ. Kiefer, J. (1977). "Conditional Confidence Statements and Confidence Estimators (with discussion)". Journal...

standard deviation of a slice of the multivariate distribution (i.e. the conditional distribution) along the line in the direction of the unit vector η ^...

Cross-correlation (XCF) ARMA model ARIMA model (Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain...

elements of the matrix are equal to each other. On the other hand, an autoregressive matrix is often used when variables represent a time series, since correlations...

Cross-correlation (XCF) ARMA model ARIMA model (Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain...

Park, Sung Y.; Bera, Anil K. (2009). "Maximum entropy autoregressive conditional heteroskedasticity model" (PDF). Journal of Econometrics. 150 (2): 219–230...

as one of the parameters. As another example, consider a first-order autoregressive model, defined by xi = c + φxi−1 + εi, with the εi being i.i.d. Gaussian...

Park, Sung Y.; Bera, Anil K. (2009). "Maximum Entropy Autoregressive Conditional Heteroskedasticity Model" (PDF). Journal of Econometrics. 150 (2): 219–230...

Cross-correlation (XCF) ARMA model ARIMA model (Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain...

Cross-correlation (XCF) ARMA model ARIMA model (Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain...

Cross-correlation (XCF) ARMA model ARIMA model (Box–Jenkins) Autoregressive conditional heteroskedasticity (ARCH) Vector autoregression (VAR) Frequency domain...

series models Autoregressive conditional heteroskedasticity (ARCH) model Autoregressive integrated moving average (ARIMA) model Autoregressive (AR) model...

Park, Sung Y.; Bera, Anil K. (2009). "Maximum entropy autoregressive conditional heteroskedasticity model" (PDF). Journal of Econometrics. 150 (2). Elsevier:...