Product autoregressive models for non-negative variables

When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt = Xα t−1Vt , 0 ≤ α < 1, t = 1, 2, . . . may give the preferred dependent structure. In this paper, we study the properties of such models and propose methods for parameter estimation. Explicit solutions of the model are obtained in the case of gamma marginal distribution

Non-invasive Studies on Age Related Parameters Using a Blood Volume Pulse Sensor

A non-invasive technique is implemented to measure a parameter which is closely related to the distensibility of large arteries, using the second derivative of the infrared photoplethysmographic waveform. Thirty subjects within the age group of 20-61 years were involved in this pilot study. Two new parameters, namely the area of the photoplethysmographic waveform under the systolic peak, and the ratio of the time delay between the systolic and the diastolic peaks and the time period of the waveform ( T/T) were studied as a function of age. It was found that while the parameter which is supposed to be a marker of distensibility of large arteries and T /T values correlate negatively with age, the area under the systolic peak correlates positively with age. The results suggest that the derived parameters could provide a simple, non-invasive means for studying the changes in the elastic properties of the vascular system as a function of age.

Parameter Estimation in Minification Processes

In this article it is proved that the stationary Markov sequences generated by minification models are ergodic and uniformly mixing. These results are used to establish the optimal properties of estimators for the parameters in the model. The problem of estimating the parameters in the exponential minification model is discussed in detail.