摘要:

Abstract.The purpose of the present note is to propose an efficient algorithm for the Bayesian decomposition of a time series, utilizing some results recently developed in the area of methods of regularization of certain integral equations. Within this framework, it is shown how the special structure of the problem can be exploited so that a considerable gain in computational efficiency over existing procedures can be obtained.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00387.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.Examples are presented illustrating some ambiguities associated with the application of ARMA models to problems of signal extraction, multistep‐ahead forecasting, spectrum approximation and linear quadratic control. Except in the signal extraction example, the ambiguities arise either from lack of sufficient autocovariance data to completely determine the process, or, often relatedly, from the approximate nature of the models use

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00388.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.We consider the problem of predicting and interpolating linearly a time series which can be represented as the sum of a model process with known spectral density and a noise process. The spectral density of the noise process is unknown with the exception of an upper bound for its integral. Some partial information of quite general kind about the cross spectral density of model and noise is available. We prove the existence of a robust predictor which minimizes the maximal mean‐square error, where the maximum is taken over all spectral densities which may arise from the circumstances described above as spectral density of the predicted time series. An analogous result holds for the related interpolation problem. We describe how to derive the minimax robust predictor and interpolator in concrete situations. The method is illustrated by determining the robust predictor explicitly for three examples where model and noise may be arbitrarily, only causally or not at all correlate

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00389.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.A Bayesian seasonal adjustment procedure was first proposed by Akaike (1979) and implemented as a computer program, BAYSEA (BAYesian SEasonal Adjustment program), by Akaike and Ishiguro (1980a).This paper proposes an efficient algorithm to solve the least square problem which arises in the procedure.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00390.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.Many economic time series are affected by the moving dates of festivals. In this paper a moving festival effect is defined and incorporated into a dynamic linear model which specifies how the parameters of several unobservable components of a time series evolve stochastically in time. The merits of this approach in comparison to other approaches are discussed and demonstrated using empirical data of three selected time series.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00391.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.This note obtains the theoretical autocorrelation function of an ARMA model with multiplicative seasonality. It is shown that this function can be interpretated as the result of the interaction between the seasonal and regular autocorrelation patterns of the ARMA model. The use of this result makes easier the identification of the structure of the model, is helpful in choosing between a multiplicative or additive seasonal component and leads to a better understanding of the properties of the estimated autocorrelation function of scalar ARMA processes.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00392.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.Several recursive relations concerning some statistics useful in identifying the order of autoregressive moving average are derived and the asymptotic behaviour of these statistics are studied.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00393.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY