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线性时间序列模型检验的一种方法AI 解读

The purpose of this paper is to develop diagnostic tests for open-loop transfer function models with autoregressive-moving average stochastic disturbances using the efficient scores procedure. The tests proposed are asymptotically equivalent to those based upon the likelihood ratio principle and have the advantage that they do not involve a heavy computational burden. Consideration is given both to the standard case of nonsingular information matrices and to the situation…

拟合自回归移动平均模型的设定检验AI 解读

This paper provides an extension of the application of score, or Lagrangian multiplier, tests to diagnostic checking of ARMA, autoregressive-moving average, models. The score test procedure for testing the null hypothesis of an ARMA( p,q ) process against certain ARMA ( p⊞r, q⊞s ) alternatives is considered and shown to be of the form of a pure significance test.

已拟合自回归移动平均模型的设定检验AI 解读

This paper provides an extension of the application of score, or Lagrangian multiplier, tests to diagnostic checking of ARMA, autoregressive-moving average, models. The score test procedure for testing the null hypothesis of an ARMA( p,q ) process against certain ARMA ( p⊞r, q⊞s ) alternatives is considered and shown to be of the form of a pure significance test.

谱估计量精确有限样本分布的近似AI 解读

In this paper an explicit and computationally convenient expansion of the exact finite sample distribution function of a quasi-maximum likelihood spectral estimator is given. In the majority of practical situations it will be necessary to estimate certain nuisance parameters of the distribution. Therefore, a method of evaluating these parameters is suggested and some Monte-Carlo evidence concerning the practical implementation of the results is given. 1 INTRODUCTfON AN…

检验Almon滞后法的约束AI 解读

This article considers testing the restrictions imposed by Almon's approach to estimation of distributed lag relationships. The conventional likelihood ratio test procedure requires that the regression equation be estimated in unrestricted form and then subject to the Almon restrictions. An alternative test is suggested which has the advantage of requiring only that the unrestricted version be estimated. The problem of selecting the order of the polynomial is discussed and a…