摘要:

Abstract.Given series realizations of lengthngenerated by a Gaussian white noise process, we use formulae for the moments about zero of the serial covariances to obtain all the non‐centred and central moments up to order 4 for, first, the serial correlations exactly (all lags) and, then, the low‐lag partial correlations approximately (mainly to O(n‐3)). The results agree with empirical values obtained by simulation forn

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00166.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.The problem of parameter estimation and blind deconvolution of auto‐regressive (AR) systems with independent nonstationary binary inputs is considered. The estimation procedure consists of applying a moving‐average filter (equalizer) to the observed data and adjusting the parameters of the filter so as to minimize a criterion that measures the binariness of its output. The output sequence itself serves as an estimate of the unobservable binary input of the AR system. Without assuming stationarity of the inputs, it is shown that the proposed method produces a consistent estimator of the AR system not only in the sense of converging to the true parameter as the sample size increases, but also in the sense of attaining the true parameter of the AR system for a sufficiently large sample size. For noisy data, the estimation criterion is modified on the basis of an asymptotic analysis of the effect of the noise. It is shown that the modified criterion is also consistent (in the usual sense) and its variability depends upon the filtered noise. Some simulation results are presented to demonstrate the performance of the proposed method for parameter estimation as well as for blind deconvolut

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00167.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.An innovation state space modelling approach is presented in which the structures and parameters of a model are determined by an identification algorithm proposed by Tse and Weinert (IEEE Trans. Automat. Contr.120 (1975), 603–13) and the singular value decomposition technique. This approach is applied to two typical data series to illustrate its use, and its forecasting accuracy is compared with other time series approache

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00168.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.A vector time series model of the formA(L)y(t) + B(L)x(t) =ε(t)is known as a vector autoregressive model with exogenous variables (VARX model) and involves a regressand vectory(t)and a regressor vectorx(t).This paper provides a method for the recursive fitting of subset VARX models. It suggests the use of ascending recursions in conjunction with an order selection criterion to choose an ‘optimum’ subset VARX m

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00169.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.This paper treats a problem in multichannel harmonic analysis when the signals are sums of sinusoids whose periods are divisors of the series length and the disturbance noises are white Gaussian. The presence or absence of the harmonics is determined by an information‐criterion‐like method. The criterion proposed here is a multichannel generalization of a Bayesian information criterion for the scalar signal case independently derived by Quinn and the author. The criterion is based on the distribution of the maximum ofN/2 independentχ2d7random variables whereNis the series length anddis the number of channels. Some simulation results are also prese

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00170.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.Maximum likelihood estimation for stationary autoregressive processes when the signal is subject to a moving‐average sampling error is discussed. A modified maximum likelihood estimator is proposed. An algorithm for computing derivatives of the modified likelihood is suggested. Maximum likelihood estimators of the parameter vector are shown to be strongly consistent and to have a multivariate normal limiting distribution. A Monte Carlo simulation shows that the modified maximum likelihood estimator performs better than other available estimators. US current labour force data are analysed as an exampl

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00171.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.Minimum mean square error forecasting of multivariate autoregressive moving‐average processes with periodically varying parameters and orders is considered. General expressions are obtained for the forecasts, their errors and the covariance matrices of the forecast errors. Recursive evaluations of these quantities are shown to follow from the conditional expectation approach. Prediction ellipsoids and intervals for future values of the process are given. Update equations for the forecasts are obtained. The general results are illustrated and verified for a particular case of the process. A simulated example is give

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00172.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY