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平稳误差下的多元回归AI 解读

A practical computing technique is presented for the joint estimation of regression coefficients and the error spectrum in regression problems with stationary errors. In problems where unweighted least squares is not efficient, the procedure gives an estimate approaching the minimum variance linear unbiased estimate. Whether unweighted least squares is nearly efficient or not efficient, the procedure, in general, gives a much closer estimate of the covariance matrix of the…

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季节调整的不同公理化体系AI 解读

The Jorgenson and Lovell axiomatizations of the process of seasonal adjustment are contrasted in this paper. It is argued that dummy variables rather than data subject to prior seasonal adjustment should be employed when time series are utilized in estimating the parameters of a linear economic model.

季节调整的不同公理化方案AI 解读

The Jorgenson and Lovell axiomatizations of the process of seasonal adjustment are contrasted in this paper. It is argued that dummy variables rather than data subject to prior seasonal adjustment should be employed when time series are utilized in estimating the parameters of a linear economic model.

具有准线性残差的随机过程振幅谱估计札记AI 解读

It is shown that when a deterministic signal is observed in quasi-linear noise (herein defined), the usual estimate of the signal amplitude spectrum for a finite time interval converges uniformly and exponentially fast in probability to this spectrum as the length of the time interval becomes infinite. When the limiting amplitude spectrum exists, the estimate tends to this function exponentially fast but no longer uniformly, in general.

具有准线性残差的随机过程振幅谱估计札记AI 解读

It is shown that when a deterministic signal is observed in quasi-linear noise (herein defined), the usual estimate of the signal amplitude spectrum for a finite time interval converges uniformly and exponentially fast in probability to this spectrum as the length of the time interval becomes infinite. When the limiting amplitude spectrum exists, the estimate tends to this function exponentially fast but no longer uniformly, in general.

使用修正最小二乘技术的时间序列分析AI 解读

This paper presents a procedure for estimating the components in an economic time series assuming a constant seasonal component and a trend which may be estimated locally by a polynomial. The procedure is to estimate the trend and seasonal components for each consecutive two-year time span of quarterly data using conventional least-square techniques. Thus, for each quarter in the series, except the first seven and last seven, there are eight estimates for each of these…

多元时间序列的指数平滑AI 解读

Summary A method is presented for estimating the optimum weight matrix for the exponential smoothing and prediction of multivariate time series. A recursive version of the estimation equations is given. A variation allows the estimation to forget the remote past in order to follow a process in which the structure varies slowly with time. It is pointed out that the method generalizes to non-linear processes when the non-linear structure is known. The practicality of the…

非平稳过程谱估计的设计关系AI 解读

Summary Further developments in the theory of evolutionary spectra are discussed, and some asymptotic results are derived in the sampling theory of spectral estimates. Various forms of “design” criteria for spectral estimation are constructed in terms of resolvability conditions, and it is shown that by introducing the concepts of “frequency-domain” and “time-domain” bandwidths, estimates may be obtained which satisfy the required conditions.

In recent years, a number of power spectra have been estimated from economic data and the majority have been found to be of a similar shape. A number of implications of this shape are discussed, particular attention being paid to the reality of business cycles, stability and control problems, and model building.

一阶序列相关系数的零假设分布AI 解读

The null sampling distribution of the first serial correlation coefficient for random samples from populations of various shepes has been investigated by experimental sampling. The sampling distribution is very stable under changes of population shape and the asymptotic normal form of the sampling distribution is a rsesonable approximation even in samples as small as 10–20. One effect of a long tail in the population is to decrease the sampling variance.

方差分析中随机效应模型的贝叶斯分析AI 解读

Bayesian methods are utilized to analyse a one-way random effect model yij = μ+ai+eij in which the errors eij are assumed to follow a first-order autoregressive series eij = ρei(j-1)+εij. For given value of ρ, the model can be reduced to that considered in our earlier paper (1965). It is shown that inferences about the variances σα2 = var(ai), and σ2 = var (εij) can be very sensitive to changes in the value of ρ assumed. In particular, in a set of data generated from a…

用平均临界值法评判时间序列回归中统计检验的相对效率AI 解读

R. C. GEARY; The average critical value method for adjudging relative efficiency of statistical tests in time series regression analysis, Biometrika, Volume 53,

非平稳过程预测量的递推关系AI 解读

Summary It is shown that if a process {xt} is generated recursively by a relation of type ∑j=0pajtxt−j=∑k=0qbktϵt−k+λt, where ajt, bkt and λt, are time-dependent sequences and {ϵt} is a process of unautocorrelated variables, then in general the linear least-square predictor of xt+m based upon {xs; s≤t}, denoted vt, obeys a recursion of the type ∑k=0qβktξt−k=∑j=0τcjtxt−j+vt, where r = max(p – 1, q – m). A method is given for obtaining the coefficients βkt, cjt and vt, and…

序列相关系数的矩AI 解读

Summary For a discrete first-order auto-regressive scheme (with initial value zero) xt = αxt-1 + ϵt, expressions have been found for the first four moments of α̂=∑1nxtxt−1/∑1n−1xt2. The expressions are of two kinds : (i) series in ascending powers of α2, (ii) asymptotic series in descending powers of n. A table of values of μ1‱,σ(α̂),β1(α̂),β2(α̂) is included. For the special case α2 = 1 the dominant terms in the first four moments are stated.

演化谱与非平稳过程AI 解读

Summary We develop an approach to the spectral analysis of non-stationary processes which is based on the concept of “evolutionary spectra”; that is, spectral functions which are time dependent, and have a physical interpretation as local energy distributions over frequency. It is shown that the notion of evolutionary spectra generalizes the usual definition of spectra for stationary processes, and that, under certain conditions, the evolutionary spectrum at each instant of…

有限时间区间上协方差平稳随机变量的移动平均表示AI 解读

David R. Brillinger; A moving average representation for random variables covariance stationary on a finite time interval, Biometrika, Volume 52, Issue 1-2, 1 J

两个平稳线性马尔可夫序列相关系数的近似分布（二）AI 解读

J. R. Mcgregor, U. M. Bielenstein; The approximate distribution of the correlation between two stationary linear Markov series.II†, Biometrika, Volume 52,

非平稳时间序列的水平变化AI 解读

Suppose that observations zsubt of a time series are available at equally spaced time intervals. The authors consider the problem of making inferences about a possible shift in level of the series associated with the occurrance of an event E at some particular time. For example, the observations might be of some economic indicator and one might suspect a change in level to occur in a particular interval because of a change in fiscal policy. Alternatively, zsubt could be the…

资本支出拨款数据与投资决策AI 解读

Several hypotheses which have been employed to explain firms' investment in plant and equipment are tested against the NICB quarterly series on new appropriations. Data for nine two-digit industries are used to estimate regression equations for each industry, using the efficient estimation technique of Zellner. Interesting industry differences appear; in particular, the least concentrated industries appear more sensitive to pressure on capacity, while the remaining…

修正的 Hannan 季节调整滤波器与 BLS 滤波器的比较AI 解读

In a previous paper [12], an attempt was made to show how spectral techniques could be used to compare the effects of two seasonal adjustment procedures on the series to which they were applied. The two procedures compared were: (a) the technique currently used by the Bureau of Labor Statistics for seasonally adjusting employment, unemployment, and labor force monthly statistics, and (b) the so-called “residual” method, proposed by Brittain [2], Samuelson [16], and others.…

投资拨款数据与企业投资决策AI 解读

Several hypotheses which have been employed to explain firms' investment in plant and equipment are tested against the NICB quarterly series on new appropriations. Data for nine two-digit industries are used to estimate regression equations for each industry, using the efficient estimation technique of Zellner. Interesting industry differences appear; in particular, the least concentrated industries appear more sensitive to pressure on capacity, while the remaining…

同时存在扰动与观测误差的自回归变量预测AI 解读

Past work on prediction formulas for time series, e.g., that of Wiener and Yaglom, has used powerful and general spectral techniques that result in integral formulas difficult to evaluate in practical cases. In this paper the more direct, less powerful approach developed by Muth produces useful and specific results for a broad class of cases that includes virtually every case of a higher order Markov process observed with error. The results provide plausible theoretical…

m 依赖时间序列的若干非参数检验AI 解读

In the case of moving average schemes or what are termed the m-dependent stochastic processes, the successive observations in the series are not stochastically independent. As a result, the usual sign test, the test based on the rank correlation τ (for randomness against trend alternatives), and the test proposed by Moore and Wallis [9] and further developed by Goodman and Grunfeld [2] (for the comovement between two time series) are not valid and require some modifications.…