论文检索

带确定性趋势的 ARIMA 模型中的若干单位根检验AI 解读

For a nonstationary time series we consider a model which can accommodate the possibility of deterministic and stochastic trends. Assuming that we are primarily interested in testing for the stochastic trend, that is, for a unit root in the time series, we employ the Lagrange multiplier principle and obtain test statistics. The asymptotic distributions of the test statistics. The asymptotic distributions of the test statistics are characterized by functionals of stochastic…

含确定性趋势的自回归积分移动平均模型中的若干单位根检验AI 解读

For a nonstationary time series we consider a model which can accommodate the possibility of deterministic and stochastic trends. Assuming that we are primarily interested in testing for the stochastic trend, that is, for a unit root in the time series, we employ the Lagrange multiplier principle and obtain test statistics. The asymptotic distributions of the test statistics. The asymptotic distributions of the test statistics are characterized by functionals of stochastic…