日期精度：到日 2977 篇 · 到月 3136 篇 · 到年 386 篇 · 未提供 5 篇
季节移动平均模型中滞后缺项检验的一则注记
SUMMARY A Lagrange multiplier test is suggested as an alternative to the procedure proposed by Godolphin for testing for gaps in a moving average model. It is shown to have more desirable statistical properties.
多变量ARMA时间序列模型中残差自相关的分布
SUMMARY The large-sample distribution of the multivariate residual autocorrelations in the vector arma model is derived. This result is somewhat less complicated for the vector autoregressive model. A new multivariate portmanteau test for checking the adequacy of fitted vector arma models is developed. A simulation study shows that a simple modification of the portmanteau test improves its accuracy in small samples.
多元时间序列模型的拉格朗日乘子检验
SUMMARY Generalizing Hosking (1980a), the Lagrange-multiplier test procedure is applied to hypotheses concerning multivariate autoregressive moving-average time-series models. The portmanteau and Quenouille goodness-of-fit tests for multivariate processes are derived in this manner and three other tests are obtained for multivariate moving-average models.
稳健的序贯近似贝叶斯估计
SUMMARY An approximation to the sequential updating of the distribution of location parameters of a linear time series model is developed for non-normal observations. The behaviour of the resulting non-linear recursive filtering algorithm is examined and shown to have certain desirable properties for a variety of non-normal error distributions. Illustrative examples are given and relationships with previous work on robustness and sequential estimation are mentioned.
无截距回归中的 Durbin–Watson 序列相关检验
and where tl, 2, ... , n-k is a set of independent standard normal variates. The significance points of dM, dL, and du may be evaluated by the methods of Imhof [3] and Pan [8]. Savin and White [9] have noted that Koerts and Abrahamse's [5, pp. 159-160] FORTRAN implementation of Imhof's procedure fails to converge when the significance point is near A1. This defect is easily remedied by replacing Imhof's lower bound for the inverse of the truncation error by
一阶移动平均模型最大似然估计量的小样本性质
In this paper we discuss finite sample properties of the maximum likelihood estimator θ^ in the first-order moving average model. We give a theoretical explanation for the concentration of θ^ values at the invertibility boundary. We derive the exact distribution of θ^ for sample size n=2 which is found to be of mixed type. For general n we give approximations for pr (θ^=1).
时间序列模型拟合优度：高阶交叉的应用
A relation between the graphical appearance of a stationary time series and its autocorrelations is discussed. The use of counts of visual features termed higher order crossings is proposed in testing goodness of fit of hypothesized models against very general alternatives. Attention is focused on a specific example of a new type of nonparametric test statistic arising from iterative feature extraction procedures called extractors. The statistic is compared with Box &…
多变量自回归移动平均模型的预测
A simple formula for multiperiod perdietions of mulativariate autoregressive-moving average models is derived. The formula is explicitly given as a function of suitably defined parameter matrices and an observation vectors, and includes simple models as its special cases. The asymptotic prediction mean squared error is also derived for perdictions with estimated parameters.
利用秩计算变点的后验概率
Simple approximate methods of analysis are given for change-point models using ranked observations. The models can be applied to continuous observations, providing a robust analysis in this case. For ranked observations, the models provide analyses for association. Numerical examples, involving continuous and ranked observations, are given.
自回归移动平均模型马尔可夫表示的参数估计
Tuan (1978) discussed the approximate maximum likelihood estimation of the parameters of the Markovian representation of the autoregressive-moving average model. He considered an indirect method, using the equivalent quasiautoregressive moving average form, the parameters of which are in one to one correspondence with those of the Markovian representation. A method of finding exact joint maximum likelihood estimates of the parameters and the initial state of the process is…
时间序列模型的拟合优度检验
A goodness-of-fit test statistic for time series models is presented, and its asymptotic distribution, even when parameters are estimated, is derived. The statistic is a frequency domain analogue of the Box-Pierce portmanteau statistic. The asymptotic power of the test is found and compared to the empirical power of the portmanteau test. The small sample properties are investigated by Monte-Carlo methods.
用振幅依赖的自回归时间序列模型刻画非线性随机振动
The behaviour of nonlinear deterministic vibrations has been studied by many authors, and may typically include such features as jump phenomena and limit cycles. Nonlinear random vibrations in continuous time have also been studied and these may commonly give rise to the phenomenon of amplitude-dependent frequency. A discrete time series model is introduced, which may be demonstrated to have properties similar to those of nonlinear random vibrations. This model is of…
分数阶差分
The family of autoregressive integrated moving-average processes, widely used in time series analysis, is generalized by permitting the degree of differencing to take fractional values. The fractional differencing operator is defined as an infinite binomial series expansion in powers of the backward-shift operator. Fractionally differenced processes exhibit long-term persistence and antipersistence; the dependence between observations a long time span apart decays much more…
两组多重时间序列之间共同群时延的估计
The group delay at frequency λ between two univariate time series represents the time lag of the harmonic component at frequency λ of the first series behind the corresponding harmonic component of the second series. This article proposes an estimate of group delay under conditions that arise in dendrochronology where each of A tree ring time series shares a common group delay with each of B other tree ring time series and where the common group delay is constant over a…
自相关误差线性回归中普通最小二乘的有限样本效率
In the standard linear regression model y = X β + u, with errors following a first-order stationary autoregressive process, it is shown that the relative efficiency of the ordinary least squares (OLS) as compared with the Gauss-Markov estimator depends to a great extent on the X matrix observed. In particular, it is seen that the relative efficiency of OLS increases with increasing correlation for certain cases important in practice. Since this seems to run contrary to what…
两组多重时间序列共同群延迟的估计
The group delay at frequency λ between two univariate time series represents the time lag of the harmonic component at frequency λ of the first series behind the corresponding harmonic component of the second series. This article proposes an estimate of group delay under conditions that arise in dendrochronology where each of A tree ring time series shares a common group delay with each of B other tree ring time series and where the common group delay is constant over a…
逆相关函数的自回归与窗口估计
The concept of the inverse correlation function of a stationary process xt was first introduced by Cleveland (1972), who also introduced the autoregressive and the window methods for estimating this function. The asymptotic distribution of the estimates provided by these two methods is derived and their asymptotic covariance structure is shown to be in accordance with a remark of Parzen (1974). The results are extended to show that the two procedures suggested by Durbin…
检验自回归移动平均过程阶数的一种方法
A procedure is suggested for testing the order of an autoregressive-moving average process which is based on the same set of residual serial correlations as the Box-Pierce test. However, the present method has advantages in terms of its sensitivity to discriminating between alternative models.
球面对称性的稳健检验及其最小二乘回归应用
Invariance is used to show that Kariya and Eaton's test for multivariate spherical symmetry is UMP invariant against elliptically symmetric distributions. Also both the null and alternative distributions of the test statistic are found to be the same as those which occur when the sample is normally distributed. UMP and UMPU tests for serial correlation derived assuming normality are found to be even more robust against departure from this assumption than was recently…
基于 Kalman 滤波的多项式投影预测模型的结构表示
Summary Harrison and Stevens (1976) give a general class of dynamic linear models which incorporates a stochastic structure for describing model components and which utilizes the Kalman filter algorithm to update the system. This paper derives conditions for the dynamic linear models to yield polynomial-projecting predictors which do not have limiting constraints imposed upon them. Some examples of structurally simple models which satisfy these conditions are given, and the…
连续时间过程的离散观测谱估计：正交级数法
Let $\{X(t), - \infty < t < \infty\}$ be a stationary time series with spectral density function $\phi(\lambda).$ Let $\{t_n\}$ be a stationary Poisson point process on the real line. The existence of consistent estimates of $\phi(\lambda)$ based on the discrete-time observations $\{X(t_n)\}^N_{n = 1},$ when the actual sampling times are not known, has been an open question (Beutler). Using an orthogonal series method, a class of spectral estimates is considered and its…
高斯移动平均过程参数最大似然估计的不变性性质
It is shown that the estimation procedure of Walker leads to estimates of the parameters of a Gaussian moving average process which are asymptotically equivalent to the maximum likelihood estimates proposed by Whittle and represented by Godolphin.
纯非确定性时间序列谱参数最小二乘估计的一项最优性
Whittle has proved that the least-squares estimator of a scalar parameter of the spectrum of a purely nondeterministic time series possesses a certain optimality property independently of the distribution of the residuals. In this paper we furnish a proof in full detail of the corresponding result for a vector parameter and also provide some examples which illustrate the application of the result.