摘要:

Abstract.The autoregressive and window estimates of the inverse correlation function are used for estimating the order of a finite moving average process by using criteria similar to the FPEα criterion of Bhansali and Downham (1977). The asymptotic distribution of the estimates is derived. Their finite sample behaviour is examined by means of a simulation study

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00365.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.A new method based on an upper bound for spectral windows is presented for investigating the cumulants of time series statistics. Using this method two classical results are proved for tapered data. In particular, the asymptotic normality for a class of spectral estimates including estimates for the spectral function and the covariance function is proved under integrability conditions on the spectra using the method of cumulants.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00366.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.Suppose a tentative ARMA (p, q)‐model has been fitted to a stationary time series. A diagnostic check for this model is suggested, using the estimated cross correlation function (CCF) between the observed series and the residuals. The CCF may also indicate how the model can be improved. The method is applied to the Wolfer sunspot series. For AR (p)‐processes the asymptotic covariance matrix of the estimated cross correlations is obtai

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00367.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.Kernel multivariate probability density and regression estimators are applied to a univariate strictly stationary time seriesXrWe consider estimators of the joint probability density ofXtat differentt‐values, of conditional probability densities, and of the conditional expectation of functionals ofXvgiven past behaviour. The methods seem of particular relevance in light of recent interest in non‐Gaussian time series models. Under a strong mixing condition multivariate central limit theorems for estimators at distinct points are established, the asymptotic distributions being of the same nature as those which would derive from independent multivariate observati

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00368.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.We show that, under the Gaussian assumption of the white noise, the probability density function of a simple stationary first order bilinear process with ‘heterogeneous’ errors may be unbounded, whilst that with ‘homogeneous’ errors is always bounded. Simulation aspects of the distribution are also i

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00369.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY