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 ...
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 ...
To capture the "long-memory" effect in volatility, a multiplicative component conditional autoregressive range (MCCARR) model is proposed. We show theoretically that the MCCARR model can capture the ...
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