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短马尔可夫序列的参数估计AI 解读

SUMMARY A parametric representation of a two-state Markov process is given which enables the maximum-likelihood estimates of the two parameters to be found without iteration.

多元自回归拟合与谱密度矩阵的近似规范分解AI 解读

The recursive method proposed by Durbin (1960) for the fitting of autoregreseive schemes of successively increasing order is generalized to the fitting of multivariate autoregressions, and of schemes with rational spectral density function. It is also shown that an auto regression fitted from the Yule-Walker relations, even if of insufficient order, has the necessary stability properties. This property holds in the multivariate case, too, and is important in connexion with a…

利用相关序列进行时间序列插值AI 解读

The construction of most comprehensive economic time series involves the estimation of some components for some dates by interpolation between values (“benchmarks”) for earlier and later dates. This is often done by using a related series known for all relevant dates. In practice, the bulk of such interpolation uses only a single related series, its values for only three dates—the interpolation date, one prior date, and one later date—and the values of the given series for…

联邦商品与服务采购的预测模型AI 解读

The principal assumption underlying the model is that Presidential budget recommendations [only for goods and services] are an adequate approximation to Congressional appropriations. This implies that Federal purchases depend on the past stream of budget recommendations. It is suggested that the time shape of this past stream be represented by Koyck and/or Pascal distributed lags. Our best forecasting system, which combines Koyck and Pascal distributions, results in forecast…

联邦商品与服务采购的预测模型AI 解读

The principal assumption underlying the model is that Presidential budget recommendations [only for goods and services] are an adequate approximation to Congressional appropriations. This implies that Federal purchases depend on the past stream of budget recommendations. It is suggested that the time shape of this past stream be represented by Koyck and/or Pascal distributed lags. Our best forecasting system, which combines Koyck and Pascal distributions, results in forecast…

混合谱平稳过程分析（二）AI 解读

SUMMARY We investigate the asymptotic power functions of three types of tests for detecting the presence of harmonic components superimposed on a nonuniform spectral density function. These power functions are tabulated for a range of values of the signal to noise ratio of the process, and each test is applied to several artificial series of the “mixed ”type with known structure.

线性自回归模型拟合优度检验的抽样性质AI 解读

SUMMARY Sampling properties of tests for trend-free linear autoregressive schemes due to Bartlett and Diananda, to Quenouille, and to Whittle have been investigated. The investigation consists of the calculation of the first two moments of the various test-criteria which are χ2‘s with k degrees of freedom, where k is the number of asymptotically independent linear compounds on which the χ2‘s are based. The purpose is to examine the effect of the combination of individual…

用迭代移动平均测量季节变化AI 解读

This paper presents a time-saving method for computing an iterated moving average with triangular weights to better represent the trend-cycle elements in a time-series for measuring seasonal variation. A printing-adding machine is used to obtain progressive summation of the Y-data values of a time series. A stencil having three suitably spaced slots is used to disclose progressively the three terms which are summed to obtain the graduated series required. Multiplied by the…

用迭代移动平均测量季节变化AI 解读

This paper presents a time-saving method for computing an iterated moving average with triangular weights to better represent the trend-cycle elements in a time-series for measuring seasonal variation. A printing-adding machine is used to obtain progressive summation of the Y-data values of a time series. A stencil having three suitably spaced slots is used to disclose progressively the three terms which are summed to obtain the graduated series required. Multiplied by the…

混合谱平稳过程的分析（一）AI 解读

SUMMARY We consider a normal stationary process whose spectrum may contain harmonic components superimposed on a non-uniform continuous spectral density function. The problem of separating the discrete and continuous spectral components is discussed, and it is shown that the bandwidth of the spectral density function must be restricted, in relation to the number of observations, in order to make the problem tractable. Assuming only that this bandwidth is known, the presence…

谱密度估计AI 解读

SUMMARY A method of estimating spectral densities is developed which uses the data explicitly to help determine the best smoothing procedure. Two techniques are discussed. The first involves polynomial approximations, the second is an interpolation technique which is useful when a limited number of autocorrelations is available. The Gaussian and Laplacian weight functions play important roles in the first and second technique respectively.

求解Leser最小二乘平滑方程的辅助序列AI 解读

SUMMARY Henderson’s method is applied to solve the equations which Leser uses for fitting a trend to a time series. In essence Henderson’s method depends on finding two quadratic factors for the symbolic expression 1+ϵ−1Δ4E−2. Two essentially different ways of factorizing this expression lead to two processes for fitting the trend, one of which is suitable when ε = 1 and the other when ϵ=13, 118 or 160. The methods are applied to an example considered by Leser for the cases…

含移动平均残差的自回归过程参数的大样本估计AI 解读

A. M. WALKER; Large-sample estimation of parameters for autoregressive processes with moving-average residuals, Biometrika, Volume 49, Issue 1-2, 1 January 1962

回归扰动独立性的检验AI 解读

This article deals with the distribution of the Von Neumann ratio of least-squares estimated regression disturbances. This distribution is approximated by a beta distribution under the condition that the behaviour of explanatory variables of the regression over time is sufficiently smooth. Two examples are presented, together with a table containing 1 and 5 per cent significance limits for a number of observations ranging from 15 to 100 and a number of coefficients adjusted…

经济时间序列相关系数的分布AI 解读

This paper presents results, mainly in tabular form, of a sampling experiment in which 100 economic time series 25 years long were drawn at random from the Historical Statistics for the United States. Sampling distributions of coefficients of correlation and autocorrelation were computed using these series, and their logarithms, with and without correction for linear trend. We find that the frequency distribution of autocorrelation coefficients has the following properties:…

经济时间序列相关系数的分布AI 解读

This paper presents results, mainly in tabular form, of a sampling experiment in which 100 economic time series 25 years long were drawn at random from the Historical Statistics for the United States. Sampling distributions of coefficients of correlation and autocorrelation were computed using these series, and their logarithms, with and without correction for linear trend. We find that the frequency distribution of autocorrelation coefficients has the following properties:…

分布滞后的估计：评论AI 解读

Considering first the case of a known autocorrelation coefficient $, Klein observes that (4) may be viewed as a structural linear relation between the latent variables yt' -et, xI and yt'-l -et-,. Even knowing $, two of those variables are not observable. But the y' and yt' may be computed; et and et-, may be considered as errors of observation of the corresponding latent variables. In comparison with the classical models containing errors in variables, (4) is somewhat…

美国季度计量经济模型AI 解读

Simplicity in an econometric model may often be a virtue provided that the model performs its particular predictive function in a reasonably competent manner. The following model, while minimizing computational difficulties, demonstrates fairly accurate forecasting ability and a partial explanation, via an accelerator, of postwar fluctuations in the gross national product of the United States.

美国季度计量经济模型AI 解读

Simplicity in an econometric model may often be a virtue provided that the model performs its particular predictive function in a reasonably competent manner. The following model, while minimizing computational difficulties, demonstrates fairly accurate forecasting ability and a partial explanation, via an accelerator, of postwar fluctuations in the gross national product of the United States.

时间序列共同变动的若干非参数检验AI 解读

The test, proposed by Moore and Wallis [23], of the existence of correlation between the movements in two time series (eliminating at least the primary effects of trends) was justified by them in “the special case of randomly arranged [signs of the] first differences” in both series. Moore and Wallis also noted that the signs of the first differences in a time series will have a negative serial correlation if the time series is a purely random process (or if it is a…

序列相关系数估计量均值与方差的渐近展开AI 解读

Two models are considered for the estimation of the serial correlation coefficient α of a first-order auto-regressive Gaussian process. Series expansions are obtained for the first two moments of α^ 1 the least squares estimator for α. The series expansions are carried to terms of order T−3 and α4 (where T is the observed length of the series) thus extending the asymptotic results of several authors (e. g. Bartlett, 1946; Hurwicz, 1950; Kendall, 1954; Marriott & Pope, 1954).

论移动平均过程连续观测样本极限广义方差的 Durbin 公式AI 解读

A. M. WALKER; On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process, Biometrika, Volum

家庭形成率及其组成的变化AI 解读

In the prediction of future household formation, it proves useful to separate movements caused by population changes from those caused by shifts in the occurrence rates of households among a given population. The varying rates of occurrence reflect the differential impacts of economic vairables and social change. This study indicates that until better data are available, forecasts of households will have to rely primarily upon judgment. This can be gained from an analysis of…

线性回归系统两种体制的假设检验AI 解读

Several approaches are explored for testing the hypothesis that no switch has occurred in the true values of the parameters of a linear regression system. The distribution of the relevant likelihood ratio λ is analyzed on the basis of the empirical distribution resulting from some sampling experiments. The hypothesis that −2 log λ has the χ2 distribution with the appropriate degrees of freedom is rejected and an empirical table of percentage points is obtained. Finally some…