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一种特定非线性时间序列系统的识别AI 解读

A nonlinear time series system is considered. The system has the property that the output series corresponding to a given input series is the sum of a noise series and the result of applying in turn the operations of linear filtering, instantaneous functional composition and linear filtering to the input series. Given a stretch of Gaussian input series and corresponding output series, estimates are constructed of the transfer functions of the linear filters, up to constant…

检验多条时间序列是否具有共同周期AI 解读

Tests are discussed for detecting the presence of common periodicities in the components of a multiple time series. Distributional results are obtained for the case of white noise, independent, normal series. These are extended, first to the case of normal linear series with specified spectra and then to the case of estimated spectra. These results are then discussed in the context of correlated series. The tests are applied to several sets of data.

向量线性时间序列模型估计方法的比较AI 解读

Akaike (1973) showed, in the case of scalar autoregressive-moving average models, that the estimates obtained by an application of the Newton-Raphson algorithm to the approximate likelihood function are the same as those obtained by Hannan (1969). By making use of the properties of tensor products, this paper extends these ideas to show that, in the case of vector linear time series models, the estimates obtained by the application of the Newton-Raphson procedure are…

谱估计中的若干贝叶斯考虑AI 解读

This paper considers the problem of incorporating prior information about the shape and smoothness of a specrtal density into the formation of a spectral estimate. Two types of finite dimensional parameters are considered, the spectral ordinates at a specified collection of frequencies and the amount of power in each of a set of frequency bands. A method which is conditional on the .asymptotic distribution of periodogram averages is proposed. A formal procedure applies…

具有自相关误差的非线性回归AI 解读

An estimator of the parameters of a nonlinear time series regression is obtained by using an autoregressive assumption to approximate the variance-covariance matrix of the disturbances. Considerations are set forth which suggest that this estimator will have better small sample efficiency than circular estimators. Such is the case for examples considered in a Monte Carlo study.

ARMA 误差对回归系数显著性检验的影响AI 解读

It Is well known that nonindependent errors arising from autoregressive (AR) or moving average (MA) processes may reverse the conclusions of t or F tests for estimable functions of regression coefficients. We show that these conclusions can be reversed only if observed t or F values based on ordinary least squares (OLS) computations lie between certain lower and upper bounds. Our tabulations of these bounds are based on the Imhof [5] distribution of a ratio of quadratic…

非一阶备择下若干自相关检验的估计功效AI 解读

This article presents estimates of the power of four tests for the independence of the disturbances from linear regression models with two sets of alternative hypotheses—second-order autoregressive processes and first-order moving average processes. The results indicate that for a number of specifications of the second-order autoregressive error structure the Durbin-Watson and Durbin alternative exact tests are more powerful than a test designed for this class of…

复多元正态总体中特定协方差结构检验的似然比统计量分布AI 解读

This paper examines approximations to the distributions of the likelihood ratio statistics for testing hypotheses about certain structures for the covariance matrices of complex multivariate normal populations. Some applications of these distributions to inference on multiple time series are also discussed.

杜宾–沃森检验统计量分布函数的计算算法AI 解读

IN REGRESSION ANALYSIS most empirical economists use the well-known Durbin-Watson (DW) procedure [1] to test the hypothesis of no autocorrelation among the disturbances of a linear regression model against the hypothesis of a first-order autocorrelation. The use of this procedure is compromised by the fact that it is a bounds text and, hence, cannot discriminate between the two competing hypotheses for a range of intermediate values of the test statistic. This shortcoming…

自回归扰动线性回归模型中检验程序的冲突AI 解读

Silvey [10]. For a model with nonstochastic regressors we show that a systematic inequality relation exists among the test statistics; namely, the value of the Wald statistic is greater than or equal to that of the LR statistic which, in turn, is greater than or equal to that of the LM statistic. When the null hypothesis is true, we find that the Wald, LR, and LM test statistics have identical limiting chi-square distributions. Since for a large sample test the three…

若干澳大利亚季度时间序列的 ARMA 表示对数据修订的不敏感性AI 解读

Economic researchers are rarely able to conduct surveys or design experiments to obtain evidence with which to assess theories or hypotheses but must rely on information, such as the national income accounting data, compiled by the government bureau of statistics. The bureau revises its national income estimates as more information becomes available or as a result of changes in methods of estimation or minor changes in definitions or classifications. The purpose of this…

关于 Almon 分布滞后估计量偏差的札记AI 解读

IN A RECENT PAPER Cargill and Meyer [1] use Monte Carlo simulations to examine the behavior of some distributed lag estimators when the lag structure is misspecified. The authors hold that it is not easy to compare the Almon polynomial lag method and OLS analytically if the restrictions imposed by the Almon procedure are not correct. It is our intention to derive analytical expressions for the bias in the Almon estimator. We postulate a linear distributed lag model

经济时间序列缺失观测的最佳线性无偏估计AI 解读

The best linear unbiased estimator which we proposed previously for interpolating, distributing, and extrapolating a time series by related series is applied to the estimation of missing observations. Under special assumptions, the problem reduces to the one treated in Doran [2]. Our estimator is compared with his and is shown to be more efficient.

季节时间序列分解：Census X-11 程序的模型解释AI 解读

This paper shows that the linear filter version of the Census X-11 program for time-series decomposition can be approximately justified in terms of an additive model with stochastic trend, seasonal and noise components. Optimal estimates of the trend and seasonal components are obtained from the model and found to be in close agreement with the corresponding estimates for the Census procedure. This approach makes it possible to assess the appropriateness of the Census…

美国经济的现价与不变价投入产出预测AI 解读

Utilizing recently deflated and reconciled U.S. Department of Commerce input-output data from 1947, 1958, 1961, 1963, and 1966, this paper presents an empirical test of the accuracy of input-output forecasts in current dollars and in constant dollars. While the results vary considerably among industries, in general constant-dollar forecasts are more accurate in the long run while in the short run the results are mixed. The implications of these findings for input-output…

空间结构要素：一种定量方法AI 解读

1. Introduction Part I. Static Aspects of Regional Structure: 2. Regions as combinatorial structures 3. Regions as ordered series 4. Regions as surfaces Part II. Dynamic Aspects of Regional Structure: 5. Spatial comparison of time series: a framework 6. Spatial comparison of time series: I. Contagious processes 7. Spatial comparison of time series: II. Unemployment in South-West England Part III. Autocorrelation and Forecasting: 8. Spatial autocorrelation 9. The analysis of…

平稳纯非确定性过程移动平均表示的估计AI 解读

Estimation of the parameters of the moving average representation of a purely nondeterministic stationary time series is considered. A numerical example illustrating the estimation procedure is given.

一般移动平均过程自协方差矩阵的逆AI 解读

In this paper we show how the inverse for the general k th autocovariance matrix, for any r th order moving average process, can be obtained by a method which requires inverting no matrix larger than r × r . The method depends on knowing that the inverse of a certain approximating matrix ia just the k th autocovariance matrix for an r th order autoregressive process; and this result is first established. Then, generalizing an approach by Prabhakar Murthy, this inverse is…

时间序列中的不等间隔采样时点AI 解读

This article discusses the sampling of stationary discrete-time stochastic processes at fixed but unequally spaced time points. The pattern of the sampling times is periodic with a cycle of $p$ time units. One of the major problems is to determine given $p$ the minimum number of sampling points required per cycle in order to estimate the covariances at all lags. The second problem is to find a pattern of distribution for the sampling points within the cycle which will allow…

计量与谱分析程序 EASAI 解读

and FORTRAN IV which is designed to accommodate most researchers' everyday econometric needs. However, this program is particularly useful when spectral methods are combined (in an ex post sense) with regression and simultaneous equations estimation., Residuals from regression or simultaneous equations estimation are easily saved by EAS and used in later spectral computations by using only two program statements.1 All spectral computations are highly efficient since the fast…

回归中检测结构变化或异常值的若干“最优”方法AI 解读

A Neyman-Pearson approach is taken to the problem of detecting structural shifts in naturally ordered regression problems. When the variance is known, backwards CUSUM methods are shown to maximize average power, and their application is discussed. Two methods with optimality properties for outlier detection are developed, assuming that the observations may be divided into two parts, where the first part satisfies the model assumptions, while outliers may be present in the…

检验两个协方差平稳时间序列的独立性：单变量残差互相关方法AI 解读

A two-stage method is proposed for investigating the independence of two covariance-stationary time series. It involves, first, fitting univariate models to each of the series, and then cross-correlating the two residual series thereby obtained. The asymptotic distribution of such a set of lagged residual cross-correlations is established to be of a very simple form under the null hypothesis of the two series' independence. A Monte Carlo study verifies the applicability of…

多元平稳时间序列创新广义方差的估计AI 解读

Recently there has been renewed interest in the nonparametric estimate of the innovation variance of a stationary time series. Empirical evidence has shown that some smoothing of the periodogram improves the estimate. This paper attempts to clarify the smoothing question and extends the results to the estimation of the innovation generalized variance of a multivariate stationary time series.

荒野地区游憩使用量的计量经济分析AI 解读

Although outdoor recreational use fluctuates daily, this time-varying feature has received little attention by economists and statisticians. In this paper, wilderness recreational use relationships are estimated, based on daily observations over the length of a given season, by (i) traditional econometric techniques and via (ii) time series analysis procedures promoted by Box and Jenkins [3]. In applying both sets of estimated relationships for forecasting purposes, the…