摘要:

Abstract.A method for generating finite independent realizations of a normal multivariate stationary ARMA(p, q) process is proposed. It is based on anAR(1) representation of an ARMA(p, q) process allowing for an exact generation of the initial values of the simulation algorithm. Input facilities are supplied in order to assure stationarity and invertibility of the considered process.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00426.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Abstract.This note describes an improvement of Ishiguro's algorithm for the Bayesian decomposition of a time series based on the use of a specialized band Cholesky factorization.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00427.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Abstract.The maximum likelihood estimation of an autocovariance matrix based on replicated observations of stationary times series is considered. A sufficient condition for the existence of the estimate, when the sample covariance matrix is singular, is given. An iterative method for its computation is proposed: it is based on some spectral decompositions of Toeplitz matrices. Simulation results show the superiority of the estimate over the usual empirical sample autocovariance matrix.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00428.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Abstract.Categorical time series often exhibit non‐stationary behaviour, due to the influence of exogenous variables. A parsimonious and flexible class of models is proposed for the statistical analysis of such data. These models are extensions of regression models for stochastically independent observations. Statistical inference can be based on asymptotic properties of the maximum likelihood estimator and of test statistics for linear hypotheses. Weak conditions assuring these properties are stated. Some tests which are of special interest in the time series situation are treated in more detail, for example tests of stationarity or independence of parallel time serie

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00429.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Abstract.This paper describes the results of a simulation study aimed at comparing the various time series models, both linear and non‐linear, fitted to the annual Canadian lynx trappings for the years 1821–1

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00430.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Abstract.The paper analyses unobserved‐components modelling and estimation for the simplest ARIMA process that accepts a full decomposition into trend, seasonal and irregular components. This prototypical model exemplifies many features of and issues arising in model‐based seasonal adjustment that are less transparent in more complex seasonal time series models. In particular the analysis illuminates the major issues surrounding the specification of the component models and the identification of a unique structure for them. In so doing, the relationship between reduced‐ and structural‐form approaches to unobserved components estimation is illustrated within an ARIMA‐modelling framework. Finally, the properties of the minimum mean‐squared‐error estimators of the unobserved components are examined and the two main types of estimation error, revisions in the preliminary estimator and error in the final estimator,

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00431.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Resumé.On établit des conditions suffisantes d'ergodicité et d'ergodicité géométrique pour la chaine de Markov (Xn) définie parOn donne également des exemples d'application.Abstract.We obtain sufficient conditions of ergodicity and geometric ergodicity for the Markov chain (Xn) defined byWe give also some appli

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00432.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Abstract.The paper deals with the asymptotic variances of the sample covariances of autoregressive moving average processes. Using state‐space representations and some matrix Lyapunov equation theory, closed‐form expressions are derived for the asymptotic variances of the sample covariances and for the Cramer‐Rao bounds on the process covariances. The main results obtained from these expressions are as follows: For ARMA (p, q) processes withp≥q, the sample covariance of ordernis asymptotically efficient if and only if 0 ≤n≤p – q.For ARMA (p, q) processes withp

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00433.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Abstract.A definition of multiple bilinear time series models is given. Sufficient conditions are obtained for the existence of strictly stationary solutions conforming to the model, and a brief discussion of the first and second order structure is included.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00434.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY

摘要:

Abstract.The nearest‐neighbour method, because of its intuitively appealing nature and competitive theoretical properties, deserves consideration in time‐series applications akin to attention it has received lately in the i.i.d. case. Here it is shown that as a nonparametric regression device, like the kernel method, under theG2mixing assumption, it converges in quadratic mean at the Stone‐optimal rate. In the closing sections, our methodology is extended to a broader pattern‐recognition context, and applied to hydrolog

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1987.tb00435.x

出版商:Blackwell Publishing Ltd    

年代:1987

数据来源: WILEY