| 1. |
INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS |
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Journal of Time Series Analysis,
Volume 4,
Issue 2,
1983,
Page 79-87
Francesco Battaglia,
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摘要:
Abstract.The inverse autocorrelations and autocovariances of a stationary stochastic process are generally used in the identification of ARMA models and linear systems, but they are also useful for studying linear relations inside the process as a whole.Using inverse autocovariances, for any stationary process an ‘inverse process’ may be defined which may be considered a minimum variance linear filter, and turns out to be the best linear two‐sided interpolator for one unknown value.Basing on these results an index of linear determinism is introduced to measure to what degree a stationary process satisfies a linear deterministic constraint. The behaviour of the index for ARMA processes is finally exa
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1983.tb00360.x
出版商:Blackwell Publishing Ltd
年代:1983
数据来源: WILEY
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| 2. |
ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE PROCESS: AN EMPIRICAL BAYES APPROACH |
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Journal of Time Series Analysis,
Volume 4,
Issue 2,
1983,
Page 89-94
W. K. Li,
Y. V. Hui,
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摘要:
Abstract.The problem of estimating panel autoregressive time series is considered. The autoregressive parameters vary over independent realizations from an unknown distribution. An empirical Bayes procedure is suggested to estimate the parameters using information from all realizations.
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1983.tb00361.x
出版商:Blackwell Publishing Ltd
年代:1983
数据来源: WILEY
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| 3. |
ON THE EXISTENCE OF SOME BILINEAR TIME SERIES MODELS |
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Journal of Time Series Analysis,
Volume 4,
Issue 2,
1983,
Page 95-110
M. BHASKARA RAO,
T. SUBBA RAO,
A. M. WALKER,
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摘要:
Abstract.The existence of a multivariate strictly stationary stochastic process conforming to a certain bilinear time series model is discussed.
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1983.tb00362.x
出版商:Blackwell Publishing Ltd
年代:1983
数据来源: WILEY
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| 4. |
GENERALIZED SEASONAL ARIMA PROCESSES: REGULARITY/SINGULARITY CRITERIA AND LINEAR PREDICTION |
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Journal of Time Series Analysis,
Volume 4,
Issue 2,
1983,
Page 111-126
B. Truong‐Van,
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摘要:
Abstract.Criteria for any generalized seasonal ARIMA model to be a regular or to be a singular process are given and a new basic form of predictors for ARIMA processes is obtained, that can be computed in a simple way.
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1983.tb00363.x
出版商:Blackwell Publishing Ltd
年代:1983
数据来源: WILEY
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| 5. |
ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES |
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Journal of Time Series Analysis,
Volume 4,
Issue 2,
1983,
Page 127-135
A. Ullah,
V. K. Srivastava,
L. Magee,
A. Srivastava,
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摘要:
Abstract.In this paper we have derived the large sample asymptotic approximation for the variance‐covariance matrix of the two stage Prais‐Winston estimator of the regression coefficients. The efficiency properties of this estimator with respect to ordinary least squares, and generalized least squares with a known autocorrelation coefficient are then analysed numerically. The results are useful for the practitioners dealing with moderate size sample d
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1983.tb00364.x
出版商:Blackwell Publishing Ltd
年代:1983
数据来源: WILEY
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