摘要:

Spatial-temporal decompositions of climatologic fields have been obtained using a range of techniques, including principal component analysis (PCA) and principal oscillation patterns (POPS). PCA decompositions are forced to be correlated to the original field, but they may not capture interesting aspects of temporal variation. On the other hand, POPS decompositions focus on temporal variation but are not forced to correlate to the field. Here we introduce a hybrid of these methods that attempts to retain desirable aspects of both PCA and POPS. The approach attempts to project the field onto a lower dimensional subspace with the property that the average error associated with forecasting a future state of the field on the basis of the history contained in the projection is minimized. A recursive algorithm for estimating a spatial-temporal decomposition based on this idea is developed. The methodology is applied to a 47-year climatological record of the 5-day average 500-millibar-height anomaly field, sampled on a 445 grid over the Northern Hemisphere extra-tropics. Some asymptotic properties of the estimation method for the new technique are examined in a simple situation. Although the estimation method requires a consistent estimator of a certain spectral density matrix, the target parameters are estimated at a parametric rate. Interestingly, the details of the nonparametric estimation of the spectral density, such as the choice of the smoothing kernel, do not appear to affect the asymptotic variance of the target parameters.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476716

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

This article develops a “borrowed strength” methodology for estimating local probability densities in a random field. Under a piecewise stationarity condition similarities between the densities in different regions of the field can be exploited by estimating a global mixture density and imposing the parameter-space support of this borrowed strength estimate on the local estimation problems. The local estimates are then used in an analysis of the homogeneity of the field, which is shown to benefit from the method of borrowing strength.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476717

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

The class of mixture transition distribution (MTD) time series models is extended to general non-Gaussian time series. In these models the conditional distribution of the current observation given the past is a mixture of conditional distributions given each one of the lastpobservations. They can capture non-Gaussian and nonlinear features such as flat stretches, bursts of activity, outliers changepoints in a single unified model class. They can also represent time series defined on arbitrary state spaces, univariate or multivariate, continuous, discrete or mixed, which need not even be Euclidean. They perform well in the usual case of Gaussian time series without obvious nonstandard behaviors. The models are simple, analytically tractable, easy to simulate readily estimated. The stationarity and autocorrelation properties of the models are derived. A simple EM algorithm is given and shown to work well for estimation. The models are applied to several real and simulated datasets with satisfactory results. They appear to capture the features of the data better than the best competing autoregressive integrated moving average (ARIMA) models.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476718

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

Bootstrap methods are developed for constructing confidence regions for the intensity function of a nonstationary Poisson process. Several different resampling algorithms are suggested, ranging from resampling a Poisson process with intensity equal to that estimated nonparametrically from the data to resampling the data points themselves in the same manner that the bootstrap is used in problems involving independent and identically distributed observations. For each different bootstrap method, various percentile-tways of constructing confidence bands are described. The effectiveness of these different approaches is demonstrated both theoretically and numerically, for real and simulated data. Issues such as bias correction are addressed.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476719

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

Theoretical and practical aspects of the sample-point adaptive positive kernel density estimator are examined. A closed-form expression for the mean integrated squared error is obtained through the device of preprocessing the data by binning. With this expression, the exact behavior of the optimally adaptive smoothing parameter function is studied for the first time. The approach differs from most earlier techniques in that bias of the adaptive estimator remainsO(h2) and is not “improved” to the rateO(h4). A practical algorithm is constructed using a modification of least squares cross-validation. Simulated and real examples are presented, including comparisons with a fixed bandwidth estimator and a fully automatic version of Abramson's adaptive estimator. The results are very promising.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476720

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

Transfer function models have been used for modeling the linear dependence between stationary time series and for improving the accuracy of forecasts. This article proposes a method to evaluate the fit of such a model by comparing certain frequency domain functionals of the model with those of the data using a model-based bootstrap algorithm. The method works by checking the ability of the fitted model to reproduce the dynamic relationship and the linear dependence structure of the data. Furthermore, the method addresses the problem of the possible sources of model inadequacy. The asymptotic validity of the bootstrap procedure used to evaluate the distribution of the statistics considered is proved some examples illustrating the ability of the proposed method to check the overall fit and to detect sources of model inadequacy are given.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476721

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

The standard testing procedures for seasonal unit roots developed so far have been based mainly on time-invariant autoregressive integrated moving average (ARIMA) processes with AR polynomials involving seasonal differencing. One attractive alternative is to use periodic ARMA models. Convenient procedures are presented for testing for the presence of unit roots at the zero and seasonal frequencies in periodic time series. The limiting distributions are derived and tabulated simulation evidence illustrates the advantages of allowing for periodicity. The tests are illustrated via applications to macroeconomic and ozone level data.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476722

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

Quantile estimators for a nonparametric components of variance situation are proposed consistency and asymptotic normality are proved. Situations with different numbers of measurements for different subjects are considered. Measurements on separate subjects are assumed to be independent, whereas measurements on the same subject have a fixed dependence. The estimators are obtained by inverting weighted empirical distribution functions. An “optimal” estimator and a simple estimator based on within-subject averages are studied. Small-sample properties are studied by simulation as an illustration the estimators are applied to give normal limits for differential light sensitivity of the human eye.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476723

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

In this article we construct a kernel estimate of the probability density function from bivariate data that have been randomly censored. We study the large-sample properties of the proposed estimator using a strong approximation result. We establish consistency and asymptotic normality and give a convenient representation of the kernel density estimator. Simulation studies show that the proposed procedure gives a good estimate of the true density function even when the sample size is moderate. We discuss various issues about implementation of the estimator, including bandwidth selection and boundary effects. The procedure can be generalized to higher dimensional variables in a straightforward manner.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476724

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor

摘要:

The Weibull distribution, which is frequently used for modeling survival data, is embedded in a larger family obtained by introducing an additional shape parameter. This generalized family not only contains distributions with unimodal and bathtub hazard shapes, but also allows for a broader class of monotone hazard rates. Furthermore, the distributions in this family are analytically tractable and computationally manageable. The modeling and analysis of survival data using this family is discussed and illustrated in terms of a lifetime dataset and the results of a two-arm clinical trial.

ISSN:0162-1459    

DOI:10.1080/01621459.1996.10476725

出版商:Taylor & Francis Group    

年代:1996

数据来源: Taylor