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存在趋势突变时基于残差的块自助法单位根检验AI 解读

In this paper, we build on the "residual-based block bootstrap unit root testing" (RBB) method, proposed by Paparoditis and Politis (2003). We develop an extension of this method to allow for bootstrap unit root testing in a model defined by an augmented Dickey--Fuller (ADF) equation that contains linear combinations of arbitrary dummies as its deterministic part. The main application of such an extension is that it allows for unit root testing in the presence of arbitrary…

Capon 型谱密度估计量的性质AI 解读

In this paper we propose a Capon-type estimator for the spectrum of a stationary time series. This estimator may be viewed as an alternative to classical periodogram-based estimators. Its advantage is that it copes with the "leakage effect" by using implicitly automatic adaptive windowing. We show its asymptotic equivalence to a random variable which is a quadratic form in the observations, thus obtaining the asymptotic normality of the Capon estimator. We also study its…