日期精度：到日 2977 篇 · 到月 3136 篇 · 到年 386 篇 · 未提供 5 篇
近似非高斯贝叶斯估计与众数一致性
SUMMARY A new recursive estimation procedure is proposed for the location of a dynamic linear model with non-normal errors. The procedure is a modification of a modal approximation algorithm, which is shown to be prone to instabilities. The modification is motivated by a notion of posterior modal consistency.
时间序列分析的高崩溃点方法
SUMMARY A robust form of the discrete Fourier transform is developed that can handle large amounts of contamination and patchy outliers. We use robust regression to fit a sine and cosine coefficient at each Fourier frequency, and these coefficients are then inverse Fourier transformed to give a filtered version of the data. The filtered series can then be analysed with conventional methods. The limiting breakdown bound of the filter is 50%. Other properties of the filter are…
时间序列的稳健似然计算
SUMMARY We propose a computationally efficient method for calculating the likelihoods of a time series under many submodels, each of which assumes a patch of outliers or level shifts. We assume a state space representation of the time series model with a Bayesian-type treatment of anomalies. The calculations form the basis for an efficient and robust estimation procedure. The method is also applicable to linear regression with correlated errors and is illustrated with two…
连续比例向量的时间序列模型
SUMMARY A vector of continuous proportions consists of the proportions of some total accounted for by its constituent components. An example is the proportions of world motor vehicle production by Japan, the USA and all other countries. We consider the situation where time series data are available and where interest focuses on the proportions rather than the actual amounts. Reasons for analysing such times series include estimation of the underlying trend, estimation of the…
具有误报概率界的动态抽样正态均值变化检测
We show that when dynamic sampling is feasible, there exist surveillance schemes for which the probability of a false alarm is bounded and which have a bounded expected delay when detecting a (true) change. In the case of detecting a change of a normal mean, we probe optimality and suggest procedures. These procedures compare favorably to those having a fixed sampling rate which have been developed for an expectation constraint on the average run length until a false alarm.
自回归时间序列均值与方差变化的贝叶斯推断及预测
This article is concerned with statistical inference and prediction of mean and variance changes in an autoregressive time series. We first extend the analysis of random mean-shift models to random variance-shift models. We then consider a method for predicting when a shift is about to occur. This involves appending to the autoregressive model a probit model for the probability that a shift occurs given a chosen set of explanatory variables. The basic computational tool we…
非线性加性 ARX 模型
We consider in this article a class of nonlinear additive autoregressive models with exogenous variables for nonlinear time series analysis and propose two modeling procedures for building such models. The procedures proposed use two backfitting techniques (the ACE and BRUTO algorithms) to identify the nonlinear functions involved and use the methods of best subset regression and variable selection in regression analysis to determine the final model. Simulated and real…
简单线性回归变化点似然比检验的稳健性
This article examines the robustness of the likelihood ratio tests for a change point in simple linear regression. We first summarize the normal theory of Kim and Siegmund, who have considered the likelihood ratio tests for no change in the regression coefficients versus the alternatives with a change in the intercept alone and with a change in the intercept and slope. We then discuss the robustness of these tests. Using the convergence theory of stochastic processes, we…
ATS方法：非高斯数据的非参数回归
ATS methods provide an approach to fitting curves and surfaces to data using nonparametric regression when distributions are not necessarily Gaussian. First, a small amount of local averaging (the “A” in ATS) is carried out, then a variance-stabilizing transformation is applied (“T”), and finally the result is smoothed (“S”) using a nonparametric regression procedure. ATS methods are quite broad in terms of applications; in this article we show how they can be used for…
L1 统计分析及相关方法
Prologue. Thoughts on Real Data and Statistics (Y. Dodge). Some Statistical Tools for the Analysis of Complex Molecular Spectra (A.F. Ruckstuhl). Estimation, Testing and Property Characterization. The Gauss Markov Property for the Median (G.W. Basset, Jr.,). A Class of Estimators Based on Adaptative Convex Combinations of Two Estimation Procedures (Y. Dodge, J. Jureckova). Robustness of L1 Regression in the Light of Linear Programming (J. Dupacova). A Linear Model with a…
作为实践问题的季节调整
Seasonal adjustment as a practical problem. Prolegomena to actual seasonal adjustment. Mechanical seasonal adjustment methods. ARIMA models and seasonal adjustment. Structural time series models and seasonal adjustment. The adding up problem and seasonally adjusted monetary analysis. Causal methods of seasonal adjustment. Concluding observations. Annex. References. Indexes.
ATS 方法：非高斯数据的非参数回归
ATS methods provide an approach to fitting curves and surfaces to data using nonparametric regression when distributions are not necessarily Gaussian. First, a small amount of local averaging (the “A” in ATS) is carried out, then a variance-stabilizing transformation is applied (“T”), and finally the result is smoothed (“S”) using a nonparametric regression procedure. ATS methods are quite broad in terms of applications; in this article we show how they can be used for…
简单线性回归变化点似然比检验的稳健性
This article examines the robustness of the likelihood ratio tests for a change point in simple linear regression. We first summarize the normal theory of Kim and Siegmund, who have considered the likelihood ratio tests for no change in the regression coefficients versus the alternatives with a change in the intercept alone and with a change in the intercept and slope. We then discuss the robustness of these tests. Using the convergence theory of stochastic processes, we…
分数差分ARIMA过程的可逆性
To evaluate how the condition for invertibility of fractional ARIMA (p, d, q) processes can be achieved, we formulate a measure based on the prediction error related to the autoregressive inversion. Some results are obtained by investigating the behaviour of the measure. A conclusion is that the condition for invertibility is satisfied when the degree of fractionally differencing d exceeds −1. As another one, it is pointed out that invertibility is not so easily achieved…
分数噪声样本自相关的偏差
The autocorrelation function of fractional noise, when the difference parameter is positive, is quite distinctive. However, for time series of moderate length, this pattern is unlikely to be seen in the sample autocorrelations, which are severely biased when the process mean is unknown.
多步预测中极大似然估计的稳健性：指数平滑情形
We extend the argument initiated by Cox (1961) that the exponential smoothing formula can be made more robust for multi-step forecasts if the smoothing parameter is adjusted as a function of the forecast horizon l. The consistency property of the estimator which minimizes the sum of squares of the sample l-step ahead forecast errors makes the robustness result useful in practice. We also generalize the consistency result to some other parsimonious nonstationary models which…
类别时间序列的谱分析：赋值与谱包络
Many studies produce categorical time series in which harmonic analysis is of interest. Although there exist time domain approaches for the analysis of categorical time series such as Markov chains or link function based regression models, there is apparently little statistical theory or methodology for analyzing qualitative-valued time series in the frequency domain. The purpose of this paper is to initiate the development of a general framework for the frequency domain…
基于经验分布函数的序列独立性非参数检验
The Blum, Kiefer & Rosenblatt (1961) statistic for testing independence is considered in a time series setting. This test is, under mild conditions, shown to be consistent against lag one dependent alternatives. The null distribution of the test statistic is established, both when the marginal distribution is continuous and when it is discrete. Simulation results giving information on the size and the power of the test are provided, and comparisons are made with other tests…
结构突变与异常值下时变参数及多过程混合模型的蒙特卡洛比较
This Monte Carlo study compares the performance of a recently proposed multiprocess mixture model and a more traditional random walk time-varying parameter model in the face of structural shifts and outliers. The mixture model performs well and the latter model performs poorly. This finding is of general interest since investigators often adopt random-walk time-varying parameter models to accommodate potential regime shifts in regression relationships. The findings suggest…
平稳遍历性的一致检验
A formal statistical test of stationary-ergodicity is developed for known Markovian processes on ℝ d This makes it applicable to testing models and algorithms, as well as estimated time series processes ignoring the estimation error. The analysis is conducted by examining the asymptotic properties of the Markov operator on density space generated by the transition in the state space. The test is developed under the null of stationary-ergodicity, and it is shown to be…
无限方差误差下动态线性回归模型的估计
This paper considers the asymptotic behavior of M -estimates in a dynamic linear regression model where the errors have infinite second moments but the exogenous regressors satisfy the standard assumptions. It is shown that under certain conditions, the estimates of the parameters corresponding to the exogenous regressors are asymptotically normal and converge to the true values at the standard n −½ rate.
无限方差下的不可逆移动平均时间序列
The limiting distribution of the least squares estimate of the derived process of a noninvertible and nearly noninvertible moving average model with infinite variance innovations is established as a functional of a Lévy process. The form of the limiting law depends on the initial value of the innovation and the stable index α. This result enables one to perform asymptotic testing for the presence of a unit root for a noninvertible moving average model through the constructed…
近非平稳时间序列渐近功效计算的一点说明
In the AR(2) model, with a double root at unity, we consider the asymptotic distribution of the likelihood ratio with respect to a nearly nonstationary alternative. It is shown how the distribution can be represented as a Radon-Nikodym derivative of an Ito process with respect to Brownian motion. Using this result, we point out how standard contiguity arguments can be applied to obtain a representation of the asymptotic power function in nearly nonstationary alternatives.
动态层级模型
SUMMARY An analysis of a time series of cross-sectional data is considered under a Bayesian perspective. Information is modelled in terms of prior distributions and stratified parametric linear models developed by Lindley and Smith and dynamic linear models developed by Harrison and Stevens are merged into a general framework. This is shown to include many models proposed in econometrics and experimental design. Properties of the model are derived and shrinkage estimators…