Regression Procedures for ARMA Estimation
ARMA 参数估计的回归方法AI 解读 ↓
本页整理公开书目信息,不生成学术质量评分。AI 解读根据题名及所注明的摘要或原文片段生成,未完成全文核验,可能有误;具体假设、证明与结论请核对原文。摘要保留来源文本,未经模型改写。
DOI 首次登记不等于接收或发表日期。部分更正、评论等条目没有独立摘要;缺少可靠材料时保留待补状态。
引用量采用 OpenAlex 单条关联记录,不合计多个记录;关联记录可能包含正式发表版本,不等于此版本单独引用。缺失不视为零,引用指标不代表论文质量。
关注作者按书目中的完整姓名匹配,同名和姓名变体需人工辨别。相关论文先按共享细分方向和具体方法排列,再参考通用方法与发表日期。
AI 根据所提供的论文材料归类:摘要直接比较 ARMA 参数估计、迭代收敛与高斯情形下的渐近效率,属于时间序列方法。
ARMA 参数估计的回归方法AI 解读 ↓
正在核对关联版本…
正在核对对应版本的资源…
Regression procedures for parameter estimation in autoregression moving average (ARMA) models are discussed, mainly for providing initial estimates for iterative maximization of a Gaussian likelihood. An iterative procedure of Spliid (1983) is compared to a procedure of Hannan and Rissanen (1982), and a global convergence result is established for an iterative modification of Spliid's procedure. Spliid's iteration does not always converge; when it does, it has the same asymptotic distribution as the second stage of the Hannan-Rissanen procedure. This second-stage iteration gives the same problems as Spliid's procedure, so it is preferable to go immediately to the third stage, which is asymptotically efficient in the Gaussian case. An example is provided by a first-order ARMA model, y(t) + αy(t − 1) = ε(t) + βε(t −1), under the usual regularity conditions of stationarity and invertibility. Spliid's procedure fits an autoregression of predetermined order (i.e., 2) to obtain estimates of the ε(t), and then regresses y(t) on y(t − 1) and to obtain estimates and . These estimates are used to filter the data to obtain a further estimate ; the procedure is iterated until the sequence of estimates of α and β converges. Convergence will not take place unless αβ < ½. If the order of the autoregression in Spliid's procedure is chosen by the information criterion and only the first regression on y(t − 1) and is carried out, the first two stages of the Hannan-Rissanen procedure result. Then and converge strongly as T → ∞ to α and β, and they also obey a central limit theorem. The modified Spliid procedure replaces by the residuals from the first regression, and so on. In a restricted sense, this iteration always converges in the ARMA case, and will generally do so if the positive real condition for the moving average transfer function is satisfied [see (1.5) in Sec. 1]. Simulations bear out the theory. In practice, there will be no true ARMA system; in any case, the ARMA orders will need to be determined from the data. Thus the results are of suggestive value only. Nevertheless, these suggestions favor the Hannan-Rissanen procedure.
协整回归变量:折叠凹惩罚何时超越 LASSO
LASSO is one of the most popular regularization methods for high-dimensional regression models. While cointegration is common in practical applications of predictive regressions with many regressors, the convex penalty of LASSO overly suppresses the coefficients of cointegrated regressors and therefore fails to deliver consistent parameter estimation. We employ folded concave penalties (FCP), including the well-known SCAD and MCP, to address this issue. Using FCP, we…
时间序列回归的可行广义最小二乘
We consider GLS and OLS estimation in a linear regression model with serially correlated errors, and we provide the following contributions. First, we clarify when OLS is consistent or not. Second, we give sufficient conditions such that GLS is valid without the assumption of exogenous regressors (uncorrelated with past innovations). Third, we devise a feasible GLS procedure valid whether or not the regressors are exogenous, and which achieves a MSE close to that of the…
高维近似因子时间序列模型的主成分分析:假设、渐近理论与识别
We consider estimation of large approximate factor models in high-dimensional panels of stationary time series using Principal Component Analysis (PCA). We review the key results establishing the necessary and sufficient conditions for consistency and asymptotic normality of the estimators, which hold when both the cross-sectional dimension $n$ and the sample size $T$ tend to infinity. Special emphasis is placed on identification. First, we show that the common and…
有意过度识别的局部投影
Local projections (LPs) have become a standard tool for estimating dynamic effects in macroeconomics and are typically implemented using ordinary least squares (OLS) for a given lag order. We propose an alternative approach that exploits additional lags as excluded instrumental variables (IVs). Under a finite-order model with martingale-difference shocks, the resulting (optimally weighted) IV estimator is never asymptotically less efficient than OLS and, as we show, can…
带移民的单位根Galton–Watson过程的漂移推断
We study inference on the drift of a critical Galton--Watson process with immigration, a count time series with a unit root. Climate change motivates such nonstationary models for weather-related disaster counts. The drift is the expected increase in the count per period. Ordinary least squares is inconsistent for the drift, so we study state-weighted least squares, giving greater weight to observations following small counts, where conditional variance is lower. Under…
检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…