1,721,009 research outputs found
On the stability of threshold arma models.
No full textIn this paper we drive a sufficient condition of the coefficients of the model to ensure the stationarity and the ergodicity of the process, without imposing extra-conditions on the thresholds nor assuming the T-continuity of the related Markovian representation
Analysis of an Historic Market Dataset with Large and Sparse Data Missingness
No full textThe present work aims at applying the well-known LOOP theory to an historic agricultural market dataset. Collected data regard the local market of Friuli an historical north-eastern region of Italy. The prices of four commodities are observed with weekly frequency on a period of 115 years. The dataset present a large number of sparse missing bservations. In the multivariate time series context, solution for the missing data treatment have been mainly developed in the state space model context. Alternative solutions are also present in the classical likelihood framework. The present work applies the composite likelihood approach to the estimation of the particular Vector Autoregressive model connected with LOOP theory. In particular, the pairwise likelihood formulation is considered in order to recover the information included in the partially observed data vectors. The main advantage of this approach regards the improvement of estimators efficiency connected with observation recovery
On the winning probabilities and mean durations of volleyball
No full textIn this paper we consider the volleyball under the assumption that the probability of winning a single rally is independent of the other rallies and constant during the game. Fixing two parameters which indicate the probabilities of winning a rally for the serving team, we derive the exact expression of the probability of winning a set and a match, even in the case of sets ending with a tie break, in the present rally point- and in the former side-out scoring systems. Furthermore we are able to evaluate by a simple direct computation the mean duration of the sets in both the scoring systems, obtaining, as well known in the practice, that the change in the scoring system reduced the (expected) length of the matches. The analysis of the matches between the 4 top teams of the Italian Volley League in the period 2001–2012 shows that the model is adequate and accurate in describing the game
Stationary measures for non-irreducible non-continuous Markov chains with time series applications
No full textMarkov Chain Volleyball
No full textIn this paper we consider the volleyball under the Markovian assumption that the probability of
winning a single rally is independent of the other rallies and constant during the game. Fixing two
parameters which indicate the probabilities of winning a rally for the serving team, we derive the exact
expression of the probability of winning a set and a match in the present rally point- and in the former sideout
scoring systems. We observe that the present point system reduces the winning probability of the
stronger team, adding interest/randomness to the game. Furthermore we study the mean duration of the
games in both the scoring systems, obtaining, as well known in the practice, that this change reduced the
(expected) length of the matches
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