1. |
EDWARD J. HANNAN, 1921–1994 |
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Journal of Time Series Analysis,
Volume 15,
Issue 6,
1994,
Page 563-576
P. M. Robinson,
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ISSN:0143-9782
DOI:10.1111/j.1467-9892.1994.tb00212.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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2. |
COINTEGRATION AND COMMON FACTORS |
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Journal of Time Series Analysis,
Volume 15,
Issue 6,
1994,
Page 577-586
Alvaro Escribano,
Daniel Peña,
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摘要:
Abstract.Alternative common factor representations for cointegrated vectors are studied. This is done by embedding them into the dynamic factor model proposed by Peña and Box (Identifying a simplifying structure in time series.J. Am. Statist. Assoc.82 (1987), 836–43). It is shown that dynamic factor models produce as a particular case the alternative common trend representations for cointegrated variables available in the literature. Furthermore a new normalization is proposed which has the advantage of producing common trend representations with moving‐average polynomials and under certain circumstances with uncorrelated sh
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1994.tb00213.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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3. |
ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS |
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Journal of Time Series Analysis,
Volume 15,
Issue 6,
1994,
Page 587-606
Andrey Feuerverger,
Peter Hall,
Andrew T. A. Wood,
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摘要:
Abstract.The fractal index α and fractal dimensionDof a Gaussian process are characteristics that describe the smoothness of the process. In principle, smoother processes have fewer crossings of a given level, and so level crossings might be employed to estimate α orD.However, the number of crossings of a level by a non‐differentiable Gaussian process is either zero or infinity, with probability one, so that level crossings are not directly usable. Crossing counts may be rendered finite by smoothing the process. Therefore, we consider estimators that are based on comparing the sizes of the average numbers of crossings for a small, bounded number of different values of the smoothing bandwidth. The averaging here is over values of the level. Strikingly, we show that such estimators are consistent, as the size of the smoothing bandwidths shrinks to zero, if and only if the weight function in the definition of ‘average’ is constant. In this important case we derive the asymptotic bias and variance of the estimators, assuming only a non‐parametric description of covariance, and describe the estimators' numerical properties. We also introduce a novel approach to generating Gaussian process data on a very
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1994.tb00214.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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4. |
ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS |
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Journal of Time Series Analysis,
Volume 15,
Issue 6,
1994,
Page 607-611
Marc Hallin,
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摘要:
Abstract.A classical result of Chernoff and Savage (Asymptotic normality and efficiency of certain nonparametric tests.Ann. Math. Statist.29 (1958), 972–94) on lower bounds for the local asymptotic power of normal‐score rank tests, and the resulting Pitman non‐admissibility of classical Gaussian testing procedures in general linear models with independent observations, are shown to hold also for linear autoregressive moving‐average time series models. The Pitman non‐admissibility of usual correlogram‐based meth
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1994.tb00215.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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5. |
DETERMINING THE NUMBER OF TERMS IN A TRIGONOMETRIC REGRESSION |
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Journal of Time Series Analysis,
Volume 15,
Issue 6,
1994,
Page 613-625
L. Kavalieris,
E. J. Hannan,
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摘要:
Abstract.We consider the estimation of the number of sinusoidal terms in a time series contaminated by additive noise with unknown correlation structure. The method fits sinusoidal terms by least squares and models the noise component using a high order autoregression. A criterion based on the minimum description length principle is used to select the number of sinusoidal terms and the order of the noise model. The small sample efficacy of the model selection procedure is examined by simulations and the analysis of some astronomical data. Consistency is proved under quite general conditions on the noise spectrum.
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1994.tb00216.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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6. |
ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY |
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Journal of Time Series Analysis,
Volume 15,
Issue 6,
1994,
Page 627-636
W. K. Li,
T. K. Mak,
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摘要:
Abstract.Time series with a changing conditional variance have been found useful in many applications. Residual autocorrelations from traditional autoregressive moving‐average models have been found useful in model diagnostic checking. By analogy, squared residual autocorrelations from fitted conditional heteroskedastic time series models would be useful in checking the adequacy of such models. In this paper, a general class of squared residual autocorrelations is defined and their asymptotic distribution is obtained. The result leads to some useful diagnostic tools for statisticians using conditional heteroskedastic time series models. Some simulation results and an illustrative example are also reporte
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1994.tb00217.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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7. |
A GOODNESS‐OF‐FIT TEST FOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS |
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Journal of Time Series Analysis,
Volume 15,
Issue 6,
1994,
Page 637-647
Santiago Velilla,
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摘要:
Abstract.A stochastic process derived from the standardized sample spectral density of the residuals of a causal and invertible ARMA(p, q) model is introduced to construct a goodness‐of‐fit procedure. The test statistics considered have a proper limiting distribution which is free of unknown parameters and which, unlike some well‐known goodness‐of‐fit statistics based on the residuals, does not depend on the sa
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1994.tb00218.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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8. |
THE AUSTRALIAN ACADEMY OF SCIENCE ESTABLISHES A HANNAN MEDAL FOR DISTINGUISHED RESEARCH IN THE MATHEMATICAL SCIENCES |
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Journal of Time Series Analysis,
Volume 15,
Issue 6,
1994,
Page 649-649
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ISSN:0143-9782
DOI:10.1111/j.1467-9892.1994.tb00219.x
出版商:Blackwell Publishing Ltd
年代:1994
数据来源: WILEY
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