摘要:

Abstract.An alternative approach to the estimation of prediction error using linear time series models, whose parameters are also estimated, is presented. Recurrence relationships are given which are rather less unwieldy operationally than the Kronecker matrix forms used by Yamamoto and Reinsel. We extend somewhat the class of models to other than the purely finite autoregressive models studied by these authors.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00352.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.The ranks of certain matrices composed of autocovariances of an ARMA process are considered. These matrices arise in connection with initial estimates of the parameters of such a system. Conditions for such matrices to be of full rank are expressed in terms of conditions on a dual time reversed system.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00353.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.Two simple stationary processes of discrete random variables with arbitrarily chosen first‐order marginal distributions, DARMA (p, N+ 1) and NDARMA (p, N), are given. The correlation structure of these processes mimics that of the usual linear ARMA (p, q) processes. The relationship of these processes to mover‐stayer models, and to models for discrete time series given separately by Lindqvist and Pegram is discussed.Ad hocnonparametric estimators for the parameters in the DARMA (p, N+ 1) and NDARMA (p, N) are given. A simulation study shows them to be as good as maximum likelihood estimators for the first‐order autoregressive case, and to be much simpler to compute than the maximum likelihood estim

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00354.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.In this paper we derive a lower bound on the asymptotic covariance matrix of an estimator of the parameters of an autoregressive moving average (ARMA) process when the innovations are not necessarily Gaussian.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00355.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.In this paper we prove a central limit theorem for the finite Walsh‐Fourier transform of a stationary sequence under a mixing condition, involving higher order cumulants of the proces

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00356.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.In attempting to develop a procedure for fitting linear multiple autoregressive‐moving average models to observed data, perhaps the most difficult problem is to achieve a reasonable initial model selection. A recent paper by Jenkins and Alavi suggests, as one possibility, the examination of so‐calledq‐conditioned partial correlations. We show that the sampling properties of these statistics are such as to render them of dubious value for this pu

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00357.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.In this paper, two asymptotic expansions for the distribution for an estimator of the parameter in a first‐order autoregressive process are derived, according to two situations. Some well known estimators are special cases of the estimator discussed here. The series expansions are carried to terms of orderT

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00358.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY

摘要:

Abstract.Two frequency domain tests of fit for autoregressive moving average time series models are considered. The tests are slight generalizations of those introduced by Cameron (1978) and Milhøj (1981). It is shown that according to asymptotic relative efficiency the test by Milhøj outperforms the test by Cameron. However, if asymptotic relative efficiency is used as a standard of comparison, both of these tests are extremely poor as compared to the well‐known time domain test of Box and Pierce (1970), for the asymptotic relative efficiency of the frequency domain tests as compared to the Box‐Pierce test is

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1983.tb00359.x

出版商:Blackwell Publishing Ltd    

年代:1983

数据来源: WILEY