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Nonsense regressions due to neglected timevarying means
 Statistical Papers
, 2003
"... Regressions of two independent time series are considered. The variables are covariance stationary but display timevarying although not trending means. Two prominent examples are level shifts due to structural breaks and seasonally varying means. If the variation of the means is not taken into acc ..."
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Cited by 1 (0 self)
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Regressions of two independent time series are considered. The variables are covariance stationary but display timevarying although not trending means. Two prominent examples are level shifts due to structural breaks and seasonally varying means. If the variation of the means is not taken
TimeVarying Mean Reversion in Stock Prices: Evidence and Implications for Market Efficiency
"... this paper, we reexamine the empirical evidence for mean reversion in stock prices and discuss the implications of our findings for market efficiency. [Data: monthly real returns on valueweighted and equalweighted portfolios from CRSP files; 1926.11996.12]. The models we use to test for mean rev ..."
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this paper, we reexamine the empirical evidence for mean reversion in stock prices and discuss the implications of our findings for market efficiency. [Data: monthly real returns on valueweighted and equalweighted portfolios from CRSP files; 1926.11996.12]. The models we use to test for mean
Apparent Long Memory in Time Series as an Artifact of a TimeVarying Mean: Considering Alternatives to the Fractionally Integrated Model
, 2009
"... Structural breaks and certain kinds of switching processes are already known to induce what appears to be long memory in the sample behavior of a time series. Here we show that any significant time variation in the population mean renders the sample correlogram (and related spectral estimates) incon ..."
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Cited by 3 (1 self)
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effectiveness at eliminating apparent long memory is illustrated using generated data. Finally, a timevarying mean can be of economic interest in its own right. This suggests that isolating out and separately examining both a local mean (i.e., a nonlinear trend or the realization of a stochastic trend
An Aggregate Sales Model for Consumer Durables Incorporating a Time Varying Mean Replacement Age
"... Forecasting category or industry sales is a vital component of a company’s planning and control activities. Sales for most mature durable product categories are dominated by replacement purchases. Previous sales models which explicitly incorporate a component of sales due to replacement assume there ..."
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there is an age distribution for replacements of existing units which remains constant over time. However, there is evidence that changes in factors such as product reliability/durability, price, repair costs, scrapping values, styling and economic conditions will result in changes in the mean replacement age
No Free Lunch Theorems for Optimization
, 1997
"... A framework is developed to explore the connection between effective optimization algorithms and the problems they are solving. A number of “no free lunch ” (NFL) theorems are presented which establish that for any algorithm, any elevated performance over one class of problems is offset by performan ..."
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Cited by 961 (10 self)
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issues addressed include timevarying optimization problems and a priori “headtohead” minimax distinctions between optimization algorithms, distinctions that result despite the NFL theorems’ enforcing of a type of uniformity over all algorithms.
A theory of social comparison processes,”
 Human Relations,
, 1954
"... In this paper we shall present a further development of a previously published theory concerning opinion influence processes in social groups (7). This further development has enabled us to extend the theory to deal with other areas, in addition to opinion formation, in which social comparison is i ..."
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Cited by 1318 (0 self)
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is important. Specifically, we shall develop below how the theory applies to the appraisal and evaluation of abilities as well as opinions. Such theories and hypotheses in the area of social psychology are frequently viewed in terms of how "plausible" they seem. "Plausibility" usually means
What Is Coefficient alpha? An Examination of Theory and Applications
 Journal of Applied Psychology
, 1993
"... Psychological research involving scale construction has been hindered considerably by a widespread lack of understanding of coefficient alpha and reliability theory in general. A discussion of the assumptions and meaning of coefficient alpha is presented. This discussion is followed by a demonstrat ..."
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Cited by 393 (0 self)
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Psychological research involving scale construction has been hindered considerably by a widespread lack of understanding of coefficient alpha and reliability theory in general. A discussion of the assumptions and meaning of coefficient alpha is presented. This discussion is followed by a
TimeVarying Network Tomography: Router Link Data
 Journal of the American Statistical Association
, 2000
"... The origindestination (OD) traffic matrix of a computer network is useful for solving problems in design, routing, con guration debugging, monitoring, and pricing. Directly measuring this matrix is not usually feasible but less informative link measurements are easy to obtain. This work studies the ..."
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Cited by 111 (11 self)
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power law. We deal with the timevarying nature of the counts by fitting the basic iid model locally using a moving data window. Identifiability of the model is proved for router link data and maximum likelihood is used for parameter estimation. The OD counts are estimated by their conditional
Optimal Rebalancing of Portfolio Weights under Timevarying Return Volatility.
, 2001
"... This paper considers horizon effects on portfolio weights under time varying and forecastable return volatility. The return volatility is modelled as a GARCHM, which is general enough to encompass both constant and time varying mean. The analysis confirms earlier results, namely that there are n ..."
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This paper considers horizon effects on portfolio weights under time varying and forecastable return volatility. The return volatility is modelled as a GARCHM, which is general enough to encompass both constant and time varying mean. The analysis confirms earlier results, namely
On the correction of linear timevarying systems by means of timevarying FIR filters
 in Proc. 54th Midwest Symp. Circuits and Systems, MWSCAS
, 2011
"... Abstract — In this paper, methods for the design of timevarying finite impulse response (FIR) filters which facilitate the correction of timevarying systems are presented. The two possible cases where an undesired timevarying system requires either preprocessing or postprocessing are considered. ..."
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Cited by 1 (1 self)
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Abstract — In this paper, methods for the design of timevarying finite impulse response (FIR) filters which facilitate the correction of timevarying systems are presented. The two possible cases where an undesired timevarying system requires either preprocessing or postprocessing are considered
Results 1  10
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