摘要:

Abstract.The form of the spectral likelihood function of a multivariate stochastic process permits straightforward construction of a scoring algorithm for maximum likelihood estimation using first derivatives only and a score test statistic for hypothesis testing. These techniques are applied to the analysis of a multivariate exponential smoothing model for which the homogeneity hypothesis is also discussed.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00044.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.In this paper we put forward some criteria for estimating the order for general autoregressive (AR) models (i.e. AR models without any constraint about the roots of the characteristic polynomial) according to the minimum description length. Different criteria are given for different kinds of AR models because the convergence rates are different. It is proved that all the estimates for the order are strongly consistent.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00045.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.This paper concerns the use of a generalized version of the cross‐validated log likelihood criterion (CVLL) for selecting a spectrum estimator from an arbitrary class of candidate estimators. It is shown that CVLL is asymptotically equivalent to the expected Kullback‐Leibler information of the candidate estimator. The Akaike information criterion (AIC) is also asymptotically equivalent to Kullback‐Leibler information, but the applicability of AIC is limited to parametric estimators. Thus CVLL can be viewed as a cross‐validatory generalization of AIC. Monte Carlo results show that CVLL is able to provide an effective choice from a class of candidates which simultaneously includes autoregressive and classical smoothed periodogram estimators. To save computation time, CVLL can be evaluated only for the classical estimators while the computationally more efficient AIC is evaluated for the parametric estimators. The criterion values are all directly comparable in this case. As an additional computation‐saving device, a non‐cross‐validatory version of CVLL for classical estimators is propose

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00046.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.In this paper we present a generalized least‐squares approach for estimating autoregressive moving‐average (ARMA) models. Simulation results based on different model structures with varying numbers of observations are used to contrast the performance of our procedure with that of maximum likelihood estimates. Existing software packages can be utilized to derive these estima

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00047.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.In a number of practical problems where clustering or choosing from a set of dynamic structures is needed, the introduction of a distance between the data is an early step in the application of multivariate statistical methods. In this paper a parametric approach is proposed in order to introduce a well‐defined metric on the class of autoregressive integrated moving‐average (ARIMA) invertible models as the Euclidean distance between their autoregressive expansions. Two case studies for clustering economic time series and for assessing the consistency of seasonal adjustment procedures are discussed. Finally, some related proposals are surveyed and some suggestions for further research are m

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00048.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.A modification of the minimum Akaike information criterion (AIC) procedure (and of related procedures like the Bayesian information criterion (BIC)) for order estimation in autoregressive moving‐average (ARMA) models is introduced. This procedure has the advantage that consistency for the order estimators obtained via this procedure can be established without restricting attention to only a finite number of models. The behaviour of these newly introduced order estimators is also analysed for the case when the data‐generating process is not an ARMA process (transfer function/spectral density approximation). Furthermore, the behaviour of the order estimators obtained via minimization of BIC (or of related criteria) is investigated for a non‐ARMA data‐generating

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00049.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY