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1. |
SEASONAL ADJUSTMENT BY A BAYESIAN MODELING |
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Journal of Time Series Analysis,
Volume 1,
Issue 1,
1980,
Page 1-13
Hirotugu Akaike,
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摘要:
Abstract.The basic ideas underlying the construction of a newly introduced seasonal adjustment procedure by a Bayesian modeling are discussed in detail. Particular emphasis is placed on the use of the concept of the likelihood of a Bayesian model for model selection. The performance of the procedure is illustrated by a numerical example.
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1980.tb00296.x
出版商:Blackwell Publishing Ltd
年代:1980
数据来源: WILEY
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2. |
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING |
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Journal of Time Series Analysis,
Volume 1,
Issue 1,
1980,
Page 15-29
C. W. J. Granger,
Roselyne Joyeux,
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PDF (644KB)
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摘要:
Abstract.The idea of fractional differencing is introduced in terms of the infinite filter that corresponds to the expansion of (1‐B)d. When the filter is applied to white noise, a class of time series is generated with distinctive properties, particularly in the very low frequencies and provides potentially useful long‐memory forecasting properties. Such models are shown to possibly arise from aggregation of independent components. Generation and estimation of these models are considered and applications on generated and real data presen
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1980.tb00297.x
出版商:Blackwell Publishing Ltd
年代:1980
数据来源: WILEY
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3. |
A NOTE ON RELATIONS BETWEEN SEASONALLY ADJUSTED VARIABLES |
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Journal of Time Series Analysis,
Volume 1,
Issue 1,
1980,
Page 31-35
Paul Newbold,
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摘要:
Abstract.This paper examines, with reference to some well known data, possible difficulties in the fitting of simple non‐seasonal models to seasonally adjusted time series dat
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1980.tb00298.x
出版商:Blackwell Publishing Ltd
年代:1980
数据来源: WILEY
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4. |
THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I |
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Journal of Time Series Analysis,
Volume 1,
Issue 1,
1980,
Page 37-46
D. F. Nicholls,
B. G. Quinn,
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PDF (412KB)
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摘要:
Abstract.This paper is concerned with autoregressive models in which the coefficients are assumed to be not constant but subject to random perturbations so that we are considering a class of random coefficient autoregressive models. By means of a two stage regression procedure estimates of the unknown parameters of these models are obtained. The estimates are shown to be strongly consistent and to satisfy a central limit theorem. A number of Monte Carlo experiments was carried out to illustrate the estimation procedure and their results are reported.
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1980.tb00299.x
出版商:Blackwell Publishing Ltd
年代:1980
数据来源: WILEY
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5. |
STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSIS |
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Journal of Time Series Analysis,
Volume 1,
Issue 1,
1980,
Page 47-71
M. B. Priestley,
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摘要:
Abstract.We construct a general class of non‐linear models, called ‘state‐dependent models’, which have a very flexible non‐linear structure and which contain, as special cases, bilinear, threshold autoregressive, and exponential autoregressive models. We describe a sequential type of recursive algorithm for identifying state‐dependent models, and show how such models may be used for forecasting and for indicating specific types of non‐lin
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1980.tb00300.x
出版商:Blackwell Publishing Ltd
年代:1980
数据来源: WILEY
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6. |
THE DISTRIBUTION OF PERIODOGRAM ORDINATES |
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Journal of Time Series Analysis,
Volume 1,
Issue 1,
1980,
Page 73-82
Chen Zhao‐Guo,
E. J. Hannan,
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PDF (415KB)
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摘要:
Abstract.The empirical distribution function of yi=I(ωj)/{2πf(ωj)}, ωj= 2πj/T, whereI(ω) is the periodogram for a set of observations from a stationary time series with spectral densityf(ω), is shown to converge, almost surely, to the distribution with density exp(‐ x), under appropriate conditions. The same methods are used to prove the convergence, almost surely, of an estimate of the prediction error variance constructed from theI(ωj) and of the complex empirical distribution function based on the Fourier coe
ISSN:0143-9782
DOI:10.1111/j.1467-9892.1980.tb00301.x
出版商:Blackwell Publishing Ltd
年代:1980
数据来源: WILEY
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