首页   按字顺浏览 期刊浏览 卷期浏览 Relative curvature measures of nonlinearity for time series models
Relative curvature measures of nonlinearity for time series models

 

作者: Nalini Ravishankar,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1994)
卷期: Volume 23, issue 2  

页码: 415-430

 

ISSN:0361-0918

 

年代: 1994

 

DOI:10.1080/03610919408813178

 

出版商: Marcel Dekker, Inc.

 

关键词: autoregressive moving average models;confidence regions;intrinsic curvature;local linear approximation;parameter- effectscurvature

 

数据来源: Taylor

 

摘要:

In this article,relative curvature measures are derived for nonseasonal and multiplicative seasonal autoregressive moving average(ARMA)models to be used as diagnostic tools to asses the degree model nonlinearity.The maximum and root mean square curvature are computed for 16 time series data sets modeled in the literature by ARMA models;it is seen that more than half the sets exhibit significally large intrinsic or parameter- effectscurvature.The effect of curvature on the confidence regions for parameters is discussed and illustrated by examples.

 

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