Theorems are proved relating to the rate of almost sure convergence of autocovariances, and hence autocorrelations, to their true values. These rates are uniform in the lag up to some order P(T), ...

Every time a language model like GPT-4, Claude or Mistral generates a sentence, it does something deceptively simple: It picks one word at a time. This word-by-word approach is what gives ...

The estimates of the autocorrelations are shown for 5 lags. The backward elimination of autoregressive terms report shows that the autoregressive parameters at lags 3, 4, and 5 were insignificant and ...

Autoregressive models are a statistical technique used to predict future values in a sequence based on its past values. It is essentially a fancy way of saying that it uses the past to predict the ...

A model for cell lineage data is presented and analysed. The model is an extension of the classical first-order autoregression, used in time-series studies, to bifurcating data trees of general size ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...

This paper proposes a “quasi-agnostic” sign restriction procedure to identify structural shocks in frequentist structural vector autoregression (SVAR) models. It argues that low acceptance rates, ...