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圆周时间序列建模AI 解读

Circular variables often play an important role in the construction of models for analysing and forecasting the consequences of climate change and its impact on the environment. Such variables pose special problems for time series modelling. This article shows how the score-driven approach, developed primarily in econometrics, provides a natural solution to the difficulties and leads to a coherent and unified methodology for estimation, model selection and testing. The new…

参数时间依赖的一般检验AI 解读

Abstract A new test for time‐dependent parameters is proposed. The Trig ‐test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig ‐test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a…

类 Möbius 映射及其在核密度估计中的应用AI 解读

It is well known that the manipulation of sample data by means of a parametric function can improve the performance of kernel density estimation. This article proposes a two-parameter Mobius-like function to map sample data drawn from a semi-infinite space into [−1,1). A standard kernel method is then used to estimate the density. The proposed method is shown to yield effective estimates of density and is computationally more efficient than other well-known transformation…