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未知时点的参数变化检验及相关布朗运动泛函的分布AI 解读

Statistics are derived for testing a sequence of observations from an exponential-type distribution for no change in parameter against possible two-sided alternatives involving parameter changes at unknown points. The test statistic can be chosen to have high power against certain of a variety of alternatives. Conditions on functionals on $C\lbrack 0,1\rbrack$ are given under which one can assert that the large sample distribution of the test statistic under the…

若干核等价类的回归设计AI 解读

Earlier results on asymptotically optimal sequences of regression designs for autoregressive stochastic processes are extended (nearly) to the equivalence classes of such processes.

Almon 分布滞后模型的一种修正AI 解读

This article modifies the Almon polynomial distributed lag to allow for a lag of infinite length. Estimation of the model is considered, and an empirical example is given to illustrate the usefulness of the model

按实验设计获得的时间序列实现AI 解读

This article presents a data analysis approach consisting of a synthesis of experimental design methods and spectral methods of time series analysis which is appropriate in exploratory situations where the recording process generates a long sequence of correlated observations.

用横截面数据估计分布滞后参数：医院入院与出院案例AI 解读

It is natural to think of estimating distributed lag models from time series data since it is in time series contexts that such models arise. This article studies the estimation of rational distributed lags in the context of hospital admissions and discharges where a relevant body of cross-section data exists in the form of lengths-of-stay and appears to be more appropriate for this purpose than do the available time series data. The cross-section approach presumably has…

利用时间序列方法分析重复调查AI 解读

Standard time series methods are applied to the analysis of repeated surveys under the assumption that the population parameters at each time period follow a stochastic model. Both overlapping and nonoverlapping surveys are considered in general terms, and specific results are obtained for the time series models assumed in the work of Patterson [10].

回归中的季节性AI 解读

The effects of seasonal noise on regression estimates are considered as a type of errors-in-variables problem. The natures of asymptotic biases due to the presence of seasonal noise and to the nature of seasonal adjustment in regressions using adjusted and unadjusted data are explored. Methods for recognizing such biases and for attenuating their effects are suggested.

人口转变后出生数预测：具有序列相关生育率的随机更新模型AI 解读

Demographic forecasting techniques fail with post-transition populations dominated by fluctuating fertility; time series analysis of fertility can improve the forecasts. This article develops the optimal forecast and its variance for births to an age-structured population subject to serially correlated random fertility. The white noise, first-order autoregressive, second-order autoregressive and random walk fertility specifications are analyzed, each leading to different…

摘要暂缺

利用横截面数据估计分布滞后模型：医院入院与出院案例AI 解读

It is natural to think of estimating distributed lag models from time series data since it is in time series contexts that such models arise. This article studies the estimation of rational distributed lags in the context of hospital admissions and discharges where a relevant body of cross-section data exists in the form of lengths-of-stay and appears to be more appropriate for this purpose than do the available time series data. The cross-section approach presumably has…

Almon 分布滞后模型的一种修正AI 解读

This article modifies the Almon polynomial distributed lag to allow for a lag of infinite length. Estimation of the model is considered, and an empirical example is given to illustrate the usefulness of the model

按实验设计获取的时间序列实现AI 解读

This article presents a data analysis approach consisting of a synthesis of experimental design methods and spectral methods of time series analysis which is appropriate in exploratory situations where the recording process generates a long sequence of correlated observations.

随机差分方程相关的有限样本分布：若干实验性证据AI 解读

R. L. Basmann, D. H. Richardson, R. J. Rohr, Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence, Econometrica, Vol. 42, No. 5 (Sep., 1974), pp. 825-839

若干连续时间模型的估计AI 解读

When a continuous time model is estimated from its non-recursive discrete approximation, the presence of identities and exogenous variables in the system does not preclude the use of standard procedures. However, if we wish to use the exact discrete model for estimation purposes, the treatment of identities and exogenous variables is not so straightforward. It is found that the procedure based on the exact discrete model is unlikely to be affected by the presence of…

推断与排队问题中的 Wiener–Hopf 积分方程AI 解读

The solution is presented to an integral equation of Wiener-Hopf type which has been recently treated numerically by Hinkley in connexion with the problem of inference about the change-point in a sequence of random variables. The closed form solution given here enables results to be obtained easily in situations where the numerical method fails. A similar integral equation arises in a queueing problem where the difference between inter-arrival and service time of a customer…

含滞后因变量回归模型中 Durbin 序列相关检验的若干小样本性质AI 解读

James L. Kenkel, Some Small Sample Properties of Durbin's Tests for Serial Correlation in Regression Models Containing Lagged Dependent Variables, Econometrica, Vol. 42, No. 4 (Jul., 1974), pp. 763-769

动态计量模型中结构估计量与检验统计量的实验研究AI 解读

R. L. Basmann, D. H. Richardson, R. J. Rohr, An Experimental Study of Structural Estimators and Test Statistics Associated with Dynamical Econometric Models, Econometrica, Vol. 42, No. 4 (Jul., 1974), pp. 717-730

随机参数估计的递归解AI 解读

Some applications of the Wiener-Kolmogorov and Bayes approaches are discussed with regard to the construction of recursive equations for the best linear estimator of a stochastic parameter. Solutions are given for the prediction, filtering and smoothing cases when the parameter follows a vector Markov process and is observed with error. The Bayes solution is used to generate a canonical factorization of the autocovariance generating function of the observed series.…

由离散观测建模连续随机过程：太阳黑子数据应用AI 解读

Discretization of a continuous autoregressive moving average process at an equispaced sampling interval results in a discrete autoregressive moving average process. The relationship between the continuous and the discrete parameters yields a simple method of maximum likelihood estimation of the continuous parameters from a discretely sampled data. A technique is described for modeling of continuous processes from discrete observations and is illustrated with analysis of the…

经济变量时间序列中缺失观测的预测AI 解读

A least squares predictor is derived to interpolate missing observations of an economic time series in which the recording interval has been shortened. This predictor uses all the available information, but depends on the unknown autocovariance structure of the series. A much simpler predictor, not involving the autocovariances, is shown to be almost optimal whenever the process has the typical economic spectral shape, and simulation experiments indicate that it is superior…

随机参数估计的递归解AI 解读

Some applications of the Wiener-Kolmogorov and Bayes approaches are discussed with regard to the construction of recursive equations for the best linear estimator of a stochastic parameter. Solutions are given for the prediction, filtering and smoothing cases when the parameter follows a vector Markov process and is observed with error. The Bayes solution is used to generate a canonical factorization of the autocovariance generating function of the observed series.…

由离散观测建立连续随机过程模型：太阳黑子数据应用AI 解读

Discretization of a continuous autoregressive moving average process at an equispaced sampling interval results in a discrete autoregressive moving average process. The relationship between the continuous and the discrete parameters yields a simple method of maximum likelihood estimation of the continuous parameters from a discretely sampled data. A technique is described for modeling of continuous processes from discrete observations and is illustrated with analysis of the…

经济变量时间序列缺失观测的预测AI 解读

A least squares predictor is derived to interpolate missing observations of an economic time series in which the recording interval has been shortened. This predictor uses all the available information, but depends on the unknown autocovariance structure of the series. A much simpler predictor, not involving the autocovariances, is shown to be almost optimal whenever the process has the typical economic spectral shape, and simulation experiments indicate that it is superior…

自回归随机过程中的回归实验设计AI 解读

This paper extends some recent results on asymptotically optimal sequences of experimental designs for regression problems in stochastic processes. In the regression model $Y(t) = \beta f(t) + X(t), 0 \leqq t \leqq 1$, the constant $\beta$ is to be estimated based on observations of $Y(t)$ and its first $m - 1$ derivatives at each of a set $T_n$ of $n$ distinct points. The function $f$ is assumed known as is the covariance kernel of $X(t)$, a zero-mean $m$th order…