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高斯动态回归时间序列模型精确信息矩阵的计算AI 解读

In this paper, the computation of the exact Fisher information matrix of a large class of Gaussian time series models is considered. This class, which is often called the single-input–single-output (SISO) model, includes dynamic regression with autocorrelated errors and the transfer function model, with autoregressive moving average errors. The method is based on a combination of two computational procedures: recursions for the covariance matrix of the derivatives of the…

针对一阶序列依赖的随机性秩检验AI 解读

Optimal rank-based procedures were derived in Hallin, Ingenbleek, and Puri (1985, 1987) and Hallin and Puri (1988) for some fundamental testing problems arising in time series analysis. The optimality properties of these procedures are of an asymptotic nature, however, whereas much of the attractiveness of rank-based methods lies in their small-sample applicability and robustness features. Accordingly, the objective of this article is twofold: (a) a study of the…