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荒野地区游憩使用的计量经济分析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…

两状态二阶马尔可夫链的充分统计量AI 解读

Statistical inference for binomial processes with second-order Markov dependence is worked out. Sufficient statistics for the 2 2 parameters associated with the process are found and their exact joint distribution is given in a closed form. An algorithm for finding the probability of k successes in n dependent trials is developed and a simple estimation procedure is suggested and applied to a meteorological time series.

用 Akaike 信息准则选择自回归模型阶数AI 解读

The asymptotic distribution is obtained of the order of regression selected by Akaike's information criterion in autoregressive models. The asymptotic quadratic risks of estimates of regression parameters are evaluated when the order is selected by this method. Some results of computational experiments are given.

序列协方差的渐近分布AI 解读

A central limit theorem is proved for the sample serial covariances of an ergodic, stationary, purely nondeterministic process whose linear innovations have their first four moments as for a sequence of independent random variables. The necessary and sufficient condition for the theorem is then that the spectra be square integrable.

平稳协方差矩阵及其逆的近似与 ARMA 应用AI 解读

Approximation of the covariance matrix $\mathbf{\Sigma}$ of $T$ consecutive observations from a second-order stationary process with continuous positive spectral density $f(\lambda) = \lbrack\sigma^2/(2\pi)^2\rbrack|\sum^\infty_{j=0}\delta_je^{i\lambda j}|^2$ is considered. If $\mathbf{\Sigma}^\ast$ is the covariance matrix corresponding to a process with spectral density $1/\lbrack(2\pi)^2f(\lambda)\rbrack$, then $\mathbf{\Sigma}^\ast - \mathbf{\Sigma}^{-1} \geqq 0$. A…

多元白噪声自相关的分布AI 解读

Multivariate white noise processes arise in a variety of contexts; for example, as error terms in multivariate regression models, as innovations in multiple time series models, or simply as random samples from multivariate normal distribution. Here we study the asymptotic properties of white noise autocorrelations in detail to determine their use in testing the adequacy of fit.

时间序列之间关系的检验AI 解读

The usual procedures for testing the significance of sample correlations between pairs of independently normally distributed series are not appropriate for testing sample correlations between pairs of autocorrelated series. We present sampling evidence supporting our hypothesis that the distributions of sample correlations between pairs of unrelated first-order Markov series conditional on the first lag sample autocorrelations of the series correlated are independent of the…

马尔可夫阶数的小样本假设检验及模拟与水文应用AI 解读

This paper describes admissible hypothesis tests for Markov order, the tests being defined on certain conditioned variables. In the spirit of classical hypothesis testing, the tests have the following appealing properties: The power function is constant on the hypothesis set (and, therefore, the level is not pessimistic), and the test is asymptotically most powerful within the class of tests based on regular estimators. Application of the tests herein derived to simulated…

理性预期与分布滞后预期代理AI 解读

exogenous variables which actually generate the variable to be predicted. Empirical researchers, however, have employed a modified (and weaker) form of Muth's hypothesis. Expectations are defined as rational if they fully incorporate all of the information contained in a specified information set that is available at the time that the forecast is made.3 When using distributed lag proxies, researchers implicitly assume that the information set used to generate forecasts…

时间序列之间关系的检验AI 解读

The usual procedures for testing the significance of sample correlations between pairs of independently normally distributed series are not appropriate for testing sample correlations between pairs of autocorrelated series. We present sampling evidence supporting our hypothesis that the distributions of sample correlations between pairs of unrelated first-order Markov series conditional on the first lag sample autocorrelations of the series correlated are independent of the…

具有相关扰动的线性模型之间的判别AI 解读

PROBLEMS OF COMPARING or choosing among models of a stochastic process are frequently encountered in empirical research. In many such situations, conventional statistical procedures offer little guidance since they assume that the model is given. If the alternative models can be nested in a more general model, standard estimation and testing procedures can be employed. Often, however, such general models are not readily available and other considerations may dictate against…

摘要暂缺

微分方程参数估计中的混叠问题AI 解读

Summary This paper is concerned with the estimation of the parameters in a simple open-loop differential equation model. We suggest first some frequency-domain “narrow-band” and “broad-band” estimators that are based on the assumption that the observable input variable has no spectral mass beyond Nyquist frequency. We study the asymptotic biases of these estimators under the contradictory hypothesis that the spectral density of the input is a rational function of frequency.…

通胀横截面预测中的自回归与非自回归成分AI 解读

Using cross-section data collected from a panel of institutional investors in 1969, 1970, 1972, this paper focuses on how knowledgeable individuals formulate forecasts of future rates of price inflation, We estimate return-to-normality and error-learning forecasting models and inquire whether such equations can be interpreted simply as reduced forms of an autoregressive forecasting structure. Assuming that respondents' expectations were formed rationally in the sense of…

预期形成的实验研究AI 解读

This paper reports on an experimental study of expectation formation-and revision in a time series context. In an adaptive expectations framework, it is shown that the speed of adjustment seems to fall in turning point periods. Expectations are considered as probability density functions, and a scoring system is devised and employed that gives subjects an incentive to report a measure of the dispersion of these functions. This measure, which is inversely related to the…

自回归模型的递归拟合AI 解读

An algorithm for the recursive fitting of autoregressions of successively higher order is refined and extended. The quantities ocourring in the iterations of the algorithm are characterized as parameters of a moving average type representation which has a characterization precisely converse to that of the ordinary moving average representation usually associated with a stationary time series. An empirical example illustrates the use of the algorithm.

复多元正态总体中若干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.

时间聚合对两个时间序列变量动态关系的影响AI 解读

This paper considers the effect of temporal aggregation on the dynamic relationships between two discrete time series variables. Given the model in terms of some basic time unit, the corresponding model for the aggregates is obtained. Examples are given showing that temporal aggregation can lead to a substantial loss in parameter estimation while the loss in prediction efficiency is much less severe.

利用观测均值水平的穿越次数估计频率AI 解读

By counting the number of upcrossings of the mean level by a stationary Gaussian process one can estimate the mean frequency of the process. If the mean level is unknown and estimated from the observed mean level, then this crossing estimator is more or less biased, depending on the length of the observation interval. It is shown that if the interval is at least two mean wavelengths, then the bias is small and of the same order as the standard deviation of a certain unbiased…

向量线性时间序列模型的有效估计AI 解读

A procedure is given to estimate efficiently the coefficients of a general class of vector linear time series models. The procedure is based on spectral techniques. The estimated model is shown to contain, as particular cases, many of the time series models which have appeared in the literature.

平稳纯非确定性过程的移动平均表示估计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…

利用赤池信息准则选择自回归模型阶数AI 解读

The asymptotic distribution is obtained of the order of regression selected by Akaike's information criterion in autoregressive models. The asymptotic quadratic risks of estimates of regression parameters are evaluated when the order is selected by this method. Some results of computational experiments are given.

基于自回归先验的批次验收方案AI 解读

In many batch sampling situations it is reasonable to assume that a correlation exists between the true mean qualities of successively produced batches. A model considered by Campling (1968) is here reanalyzed using the Bayesian linear model framework of Lindley & Smith (1972), and a wider class of serial sampling acceptance schemes derived and compared.