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硫酸盐湿沉降的区域趋势AI 解读

I propose a multiple time series model for data from a network of monitoring stations that have both temporal and spatial correlation. The model includes a separate mean and trend for each monitoring station and obtains spatial estimates of mean and trend by smoothing the observed values over a rectangular grid using a discrete smoothing prior. Smoothing parameters and covariance estimates can be chosen subjectively or selected using indirect generalized cross-validation.…

利用动态回归模型进行预测AI 解读

A Primer on ARIMA Models. A Primer on Regression Models. Rational Distributed Lag Models. Building Dynamic Regression Models: Model Identification. Building Dynamic Regression Models: Model Checking, Reformulation, and Evaluation. Intervention Analysis. Intervention and Outlier Detection and Treatment. Estimation and Forecasting. Dynamic Regression Models in a Vector ARMA Framework. Appendices. References. Index.

含随机趋势成分回归模型的最大似然估计AI 解读

This article is concerned with the estimation of a regression model with a stochastic trend component. It is shown that the probability of estimating the trend to be deterministic is very sensitive to the type of likelihood function used as the basis of inference.

统计理论与建模：纪念 David Cox 爵士AI 解读

Part 1 Statistical theory - theoretical concepts significance tests theory of optimal tests estimation asymptotic theory. Part 2 Applied statistics - preliminary considerations statistical models statistical inference model adequancy exploratory and robust methods multi-variate methods use of computers. Part 3 Generalized linear models - a class of non-linear regression models likelihood functions estimation analysis of deviance checking the model. Part 4 Residuals and…

具有脉冲的连续过程采样时间序列的状态空间建模AI 解读

A non-Gaussian time series model useful for describing the dynamics of endocrinological data is introduced by using a state-space representation. This model is applicable even when the data are sparsely sampled in comparison with time lengths of pulses. Likelihood-based methods of inference for the model are developed. By fitting the present model to partially observed hormonal time series data, we can estimate the locations and heights of the peaks of the pulses as well as…

自回归单位根拉格朗日乘数检验的一则说明AI 解读

It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier test for the autoregressive unit-root hypothesis can be inconsistent against stationary alternatives.

MA(1) 与局部水平模型最大似然估计量的分布AI 解读

Although considerable attention has recently been paid to the behavior of the maximum likelihood estimator of simple moving average models, little progress has been made in finding a good approximation to its distribution in cases where the process is close to being noninvertible. In this paper a method is produced that gives an excellent approximation to the distribution function, even in the case where the process is strictly noninvertible. Also studied is the related…

ARIMA 模型差分阶数的点最优检验AI 解读

Deciding the order of differencing is an important part in the specification of an autoregressive integrated moving average (ARIMA) mode. In most, though not all, cases this means deciding whether to use the original observations or their first differences. Common test procedures used in this context are some variants of autoregressive unit root tests. In these tests, one tests the null hypothesis that the order of differencing is one against the alternative that it is zero.…

多变量时间序列的多项式误差修正表示定理AI 解读

We consider a class of multivariate processes which, when differenced enough, yield covariance stationary processes whose determinants of the Wold representation have I as their only root on the unit circle. A representation theorem is proved for this class of processes that generalizes the Granger representation theorem.

正态误差随机游走的渐近展开AI 解读

The asymptotic distribution of the least-squares estimators in the random walk model was first found by White [17] and is described in terms of functional of Brownian motion with no closed form expression known. Evans and Savin [5,6] and others have examined numerically both the asymptotic and finite sample distribution. The purpose of this paper is to derive an asymptotic expansion for the distribution. Our approach is in contrast to Phillips [12,13] who has already derived…

费雪效应与利率期限结构：协整检验AI 解读

The literature on the Fisher effect has ignored the potential relationship between inflation and long-term interest rates. Using an expectations model of the term structure of interest rates, the authors establish the conditions under which innovations in short-term inflation will be transmitted to long-term as well as short-term interest rates. Cointegration tests find support for both the Fisher effect and the expectations theory of the term structure. Copyright 1993 by…

极度不显著的 F 比率AI 解读

OCCASIONALLY IN EMPIRICAL WORK, a highly insignificant test statistic is encountered. A rule that the null hypothesis not be rejected when the value of a statistic falls below a threshold which is given by the tester's desired Type I error probability 8 < implies a fortiori that the null is not rejected when the probability that the statistic is smaller than the realized value is less than 8. We suggest an interpretation of this outcome in time series problems. For ease of…

摘要暂缺

时间序列模型中遗漏非线性的检验AI 解读

In this paper a new test, the neural network test for neglected nonlinearity, is compared with the Keenan test, the Tsay test, the White dynamic information matrix test, the McLeod-Li test, the Ramsey RESET test, the Brock-Dechert-Scheinkman test, and the Bispectrum test. The neural network test is based on the approximating ability of neural network modeling techniques recently developed by cognitive scientists. This test is a Lagrange multiplier test that statistically…

评论：自适应预测AI 解读

I am not surprised by how far behind our profession is in calculating interval forecasts. After all, interval forecast is a concept not well formulated nor well understood by statisticians. On the other hand, I am amazed by Chatfield's expectation and his recommendation. Will he be satisfied when Formulas (4.1) and (4.2) are routinely used in practice? Will he be satisfied when the forecast intervals are sufficiently wide to cover all the data points in out-of-sample…

宏观经济时间序列的形态统计分析：是否存在经济周期？AI 解读

A. Burns and W. Mitchell (1946) considered business cycles as recurrent patterns in macroeconomic time series. This article develo ps formal ways of identifying the occurrence of such patterns and testi ng their significance. In particular, it calculates the probability tha t a linear time-series model that fits the data well can generate the patterns observed in macroeconomic time series.

不可逆时间序列模型的检验及应用AI 解读

This paper is concerned with testing for noninvertible time-series models. For a stationary but noninvertible autoregressive moving average model, the author constructs a derived process that is nonstationary but invertible with a nonstationary factor identical to the noninvertible factor of the original time series. The author then proposes a test procedure for testing noninvertibility using various unit-root test statistics available i n the literature. The limiting…

参数服从 ARIMA 过程的 ARIMA 模型AI 解读

This article introduces a general class of nonlinear and nonstationary time-series models whose basic scheme is an autoregressive integrated moving average (ARIMA). The main feature i s that the parameters are assumed to behave like a vector ARIMAx model in which the exogenous (x) component is represented by the regressors o f the observable process. For this class, a general algorithm of identification-estimation is outlined based on the sampling information alone. The…

不可逆模型的检验及应用AI 解读

This article is concerned with testing for noninvertibie time series models. For a stationary but noninvertibie autoregressive moving average model, I construct a derived process that is non-stationary but invertible with a nonstationary factor identical to the noninvertibie factor of the original time series. I then propose a test procedure for testing noninvertibility using various unit-root test statistics available in the literature. The limiting distributions of the…

摘要暂缺

Markov 过程的非因果性与边际化AI 解读

In this paper it is shown that a subprocess of a Markov process is markovian if a suitable condition of noncausality is satisfied. Furthermore, a markovian condition is shown to be a natural condition when analyzing the role of the horizon (finite or infinite) in the property of noncausality. We also give further conditions implying that a process is both jointly and marginally markovian only if there is both finite and infinite noncausality and that a process verifies both…

单位根检验的渐近功效AI 解读

Closed forms for the distribution of some conventional statistics are given as a prelude to deriving their asymptotic power functions as unit root tests. In the process, an important distinction is drawn between two classes of statistics: one which relies on deterministic normalizations and the other which uses stochastic normalizations. When the data follow a driftless autoregression, a t test (which belongs to the second class) for a unit root is found to perform better…

单整过程的连续弱收敛与随机等度连续性：回归估计应用AI 解读

The concepts of continuous and uniform weak convergence and versions of stochastic equicontinuity are discussed in the context of integrated processes of order one. The considered processes depend on a parameter vector in a specific fashion which is relevant for integrated and cointegrated systems with non-linearities in parameters. The results of the paper can be applied to obtain asymptotic distributions of estimators and test statistics in such systems. In a correctly…

高阶自回归单整过程最小二乘估计的渐近正态性及其应用AI 解读

Using the asymptotic normality of the least-squares estimates for the autoregressive (AR) process with real, positive unit roots and at least one stable root, we consider the asymptotic distributions of the Wald and t ratio tests on AR coefficients. In addition, we propose a method of constructing confidence intervals for the sum of AR coefficients possibly in the presence of a unit root. Using simulation methods, we compare the finite-sample cumulative distributions of the…