摘要:

Abstract.In finite order normal moving average models the maximum likelihood estimates always exist. For finite order normal autoregressive models sufficient conditions for the existence of maximum likelihood estimates is given. Some cases not satisfying the conditions are studied.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1980.tb00302.x

出版商:Blackwell Publishing Ltd    

年代:1980

数据来源: WILEY

摘要:

Abstract.Given a stretch of time series values, the third‐order periodogram is investigated as a criterion for use in the estimation of bifrequencies, that is of frequency triples (ω1ω2, ω3) with ω3= 2ω ‐ω1ω2. The least squares estimates of such frequencies are compared with estimates derived by maximizing the modulus of the third‐order periodogram. It is found that neither estimation procedure is uniformly better th

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1980.tb00303.x

出版商:Blackwell Publishing Ltd    

年代:1980

数据来源: WILEY

摘要:

Abstract.ARMA processes with non‐normal residuals have applications in surface metrology and have recently been shown by Nelson and Granger (1979) to occur in modelling economic time series. In this paper we obtain the theoretical relationship between the skewness and kurtosis of an ARMA process and the corresponding parameters of its generating noise series and consider some of the implications of these results. Simulation methods for any ARMA process with given skewness and kurtosis, using Johnson transformations are briefly discusse

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1980.tb00304.x

出版商:Blackwell Publishing Ltd    

年代:1980

数据来源: WILEY

摘要:

Abstract.A time‐lag interpretation is given for the group delay between continuous‐time weakly‐stationary stochastic processes, and a corresponding time‐lag relationship between stochastic processes is revealed. The group delay for discrete‐time processes and its relationship to time leakage are also

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1980.tb00305.x

出版商:Blackwell Publishing Ltd    

年代:1980

数据来源: WILEY

摘要:

Abstract.This paper develops a test of the natural‐rate hypothesis that does not require strong assumptions about the structure of the economy or how the public anticipates inflation. The paper then applies this test to U.S. data, finding that one cannot reject the natural‐rate hypothe

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1980.tb00306.x

出版商:Blackwell Publishing Ltd    

年代:1980

数据来源: WILEY

摘要:

Abstract.In the last few years there has been considerable interest in the accounting literature in time series methods. This paper briefly surveys those areas of accounting in which time series analysis has proved useful and discusses the analytical procedures that have been employed.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1980.tb00307.x

出版商:Blackwell Publishing Ltd    

年代:1980

数据来源: WILEY

摘要:

Abstract.A standard assumption that is often made in time series analysis is that the series conforms to a linear model. The object of this paper is to describe statistical tests for testing this assumption. The tests are constructed from the bispectral density function, and depend on the application of HotellingT2. These tests are illustrated with two real time series and four simulated time series. Some guidelines about the choice of the parameters are also included.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1980.tb00308.x

出版商:Blackwell Publishing Ltd    

年代:1980

数据来源: WILEY