论文检索

序列相关精确检验的一则说明AI 解读

A transformation of the OLS residual vector to achieve a desired covariance structure, proposed earlier by Durbin [3], is shown to be capable of substantially changing the OLS residual vector even when that vector already has nearly the desired covariance structure. This may explain its substantially inferior performance in Monte Carlo comparisons with the transform proposed by the Abrahamse and Koerts [1]. A new transform, involving only small alterations in Durbin's…

检验回归关系随时间保持稳定的方法AI 解读

Summary Methods for studying the stability over time of regression relationships are considered. Recursive residuals, defined to be uncorrelated with zero means and constant variance, are introduced and tests based on the cusum and cusum of squares of recursive residuals are developed. Further techniques based on moving regressions, in which the regression model is fitted from a segment of data which is moved along the series, and on regression models whose coefficients are…

检测均值变化的检验AI 解读

Procedures are considered for testing whether the means of each variable in a sequence of independent random variables can be taken to be the same, against alternatives that a shift might have occurred after some point $r$. Bayesian test statistics as well as some statistics depending on estimates of $r$ are presented and their powers compared. Exact and asymptotic distribution functions are derived for some of the Bayesian statistics.

时间序列成分提取札记AI 解读

THIS NOTE SUGGESTS that the components models employed in [2, 3, 10, 11, 12 and 17] may be usefully analyzed within the state space framework found in the literature of control engineering. Such a formulation has the distinct advantage that a large corpus of filtering and estimation theory may then be brought to bear upon such models and has secondary benefits in the form of a greater lucidity of, and flexibility in, the exposition of the extraction problem. Further, by…

非线性计量模型的随机控制方法及其应用AI 解读

A method for optimization in nonlinear stochastic models is proposed in this paper, and applied to study monetary and fiscal policy in the St. Louis econometric model. Essentially, the method is to simulate the model in a number of stochastic simulations in which the coefficients of the model are treated as random, to use the results of the stochastic simulations to find parsimonious representations of the time form of the policy multipliers by estimating autoregressive…

移动平均过程自相关及其绝对值之和的界AI 解读

Limits for the sums of the complete set of autocorrelations and their absolute values are given for the moving average process.

混合 ARMA 过程参数平稳性与可逆性约束的递归性质AI 解读

A necessary and sufficient condition for a Schur polynomial is used to develop a method for obtaining the sets of inequalities which define the boundaries of the stationary autoregressive and invertible moving average parameter domains, given any mixed process of order (p, q).

针对自相关备择的随机性检验：参数情形AI 解读

Testing for randomness is studied for an alternative model of multivariate normality with the autocorrelation specified by a single parameter. First-order autoregression and first-order moving averages are special cases of this model. The likelihood derivative method is used to obtain tests. The asymptotic efficiencies are derived of these tests compared with tests based on the first-order sample serial correlation.

相关数据的拟合优度检验AI 解读

Goodness-of-fit tests for stationary processes are a problem of practical importance, e.g. in the analysis of electroencephalographic data. The distribution of the chi-squared statistic under the normal hypothesis is studied by simulation; power is investigated by an inverse filtering procedure for processes which can be well represented by an autoregressive-moving average model. For a second model, consisting of a Gaussian or non-Gaussian signal plus Gaussian noise, sample…

异方差下的自相关：Durbin–Watson、Geary 与 Henshaw 检验的稳健性AI 解读

The paper reports on a Monte Carlo experiment investigating the effect of the simultaneous occurrence of autocorrelation and heteroscedasticity on the powers of the Durbin-Wateon, Geary and Henshaw tests.

最小预测均方误差的估计AI 解读

Bloomfield (1973) and Jones (1964) have discussed the estimation of the error of prediction of a time series. Their results use the asymptotic normality of their estimates and we attempt to examine the validity of this approximation in the simplest case. We show that one can approximate the distribution of the mean square error in small-sample situations, and in consequence obtain some idea of the rate of convergence to normality.

平稳时间序列的线性判别函数AI 解读

Certain spectral approximations are applied to the problem of discriminating between two normal processes by linear filtering. Limiting values for the (1) Kullback-Leibler discrimination information rate, (2) J-divergence rate and (3) detection probability are expressed in terms of the spectral densities of the two populations and the Fourier-Stieltjes transform of the mean difference between them. Spectral approximations to (1), (2) and (3), convenient for computing, are…

McGraw-Hill 预期调查数据的预测准确性AI 解读

This study analyzes the forecast accuracy of the McGraw-Hill (M-H) anticipations with one- to four-year horizons of investment, sales and capacity for major manufacturing industries for the period 1948–71. Average absolute percentage errors are presented for each anticipation series. In comparison to the BEA survey of one-year investment anticipations, the M-H data are generally less accurate. On the other hand, in forecasting experiments the M-H series are shown to be more…

回归分析中序列相关的简单检验AI 解读

An exact test for serial correlation in regression models is proposed based on the fact that under classical assumptions and including normality for disturbances, the successive quantities are independent N(0, σ2). For various types of data the power of the proposed test compares favorably with that of the BLUS test, but neither test is as powerful as the full Durbin-Watson procedure in which an approximate significance point is calculated when the bounds test is…

多变量自回归模型中残差自相关的分布AI 解读

Box and Pierce [3] showed that the residual autocorrelations computed from an autoregressive-moving average time series model (single variate) can be successfully utilized for testing the goodness of fit. Here we extend their results to multiple autoregressive time series models. It is shown that the residual autocorrelations can be approximately represented as a singular linear transform of the corresponding white noise autocorrelations and that they possess a multivariate…

McGraw-Hill 预期调查数据的预测准确性AI 解读

This study analyzes the forecast accuracy of the McGraw-Hill (M-H) anticipations with one- to four-year horizons of investment, sales and capacity for major manufacturing industries for the period 1948–71. Average absolute percentage errors are presented for each anticipation series. In comparison to the BEA survey of one-year investment anticipations, the M-H data are generally less accurate. On the other hand, in forecasting experiments the M-H series are shown to be more…

一阶自回归过程中的参数估计AI 解读

Numerical comparisons are made of the distribution of the estimator of the parameter in a first-order autoregressive process. Results of Reeves (1972) are compared with those of Arató & Benczúr (1970, 1972) which use a model in continuous time.

混合自回归移动平均过程的精确似然函数AI 解读

Box & Jenkins (1970) develop a strategy for the analysis and forecasting of time series, based on the construction, after suitable differencing, of autoregressive-moving average models. They present a model building procedure which works very well for most general purposes, and in addition derive the exact likelihood function for both pure autoregressive and pure moving average processes, in the latter case this being a new result. In this note it is shown that a similar…

偏自相关函数的刻画AI 解读

The conditions $|\phi_k| \leqq 1$ for all $k = 1,2, \cdots$ and $|\phi_k| = 1$ implies $\phi_{k+1} = \phi_k$ are both necessary and sufficient for a sequence of real numbers $\{\phi_k; k = 1,2, \cdots\}$ to be the partial autocorrelation function for a real, discrete parameter, stationary time series. If all partial autocorrelations beyond the $p$th are zero, the series is an autoregression. If all beyond the $p$th have magnitude unity, the series satisfies a homogeneous…

周期样条与谱估计AI 解读

The theory of periodic smoothing splines is presented, with application to the estimation of periodic functions. Several theorems relating the order of the differential operator defining the spline to the saturation (order of bias) of the estimator are proven. The linear operator which maps a function to its periodic continuous smoothing spline approximation is represented as a convolution operator with a given convolution kernel. This operator is shown to be the limit of a…

平稳随机序列均值的大样本估计AI 解读

For a wide class of stationary random sequences possessing a spectral density function, the variance of the best linear unbiased estimator for the mean is seen to depend asymptotically only on the behavior of the spectral density near the origin. Asymptotically efficient estimators based only on this behavior may be chosen. For spectral densities behaving like $\lambda^\nu$ at the origin, $\nu > -1$ a constant, the minimum variance decreases like $n^{-\nu-1}$, where $n$ is…

若干时域与频域分布滞后估计量：蒙特卡洛比较研究AI 解读

This paper presents a comparison of three distributed lag estimators: OLS, the Almon procedure, and the Hannan inefficient method. Each method is compared for sample sizes of 50 and 100 for several alternative distributed lag shapes and residual process structures. The results not only reveal the relative performance of these estimators, but also provide evidence on each method's performance under misspecification with respect to lag length and the residual process.

连续时间随机模型的若干离散近似AI 解读

Summary The paper considers the asymptotic biases in various econometric estimators when data generated by a stochastic differential equation system of the form d y d t − A y ( t ) = B z ( t ) + a ( t ) are estimated by approximating these equations in the form { y ( t + δ ) − y ( t ) } / δ = 1 2 A { y ( t + δ ) + y ( t ) } + 1 2 B { z ( t + δ ) + z ( t ) } + v ( t ) , where y(t) is a vector of endogenous variables, z(t) is a vector of exogenous variables and A and B are…

Wiener–Kolmogorov 预测器的渐近性质（一）AI 解读

Summary “Windowed” estimates of the spectral density function are used to carry out the factorization of the sample spectral density function and hence estimate the Wiener-Kolmogorov prediction coefficients. Expressions are derived for the asymptotic mean and variance of all the statistics necessary to estimate the predictor. The covariances and asymptotic normality of these estimates are also investigated. In particular, an expression for the asymptotic mean-square error or…