摘要:

Abstract.Simple yet practically efficient conditions for the ergodicity of a Markov chain on a general state space have recently been developed. We illustrate their application to non‐linear time series models and, in particular, to random coefficient autoregressive models.As well as ensuring the existence of a unique stationary distribution, geometric rates of convergence to stationarity are ensured. Moreover, sufficient conditions for the existence and convergence of moments can be determined by a closely related method. The latter conditions, in particular, are ne

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1985.tb00394.x

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

Abstract.A statistical model is generally defined through a probability on some variables conditionally on other variables and refers to some parameters of interest. Therefore, it seems natural to ask under which conditions such a model does not lose information with respect to a model describing more variables and implying more parameters. Admissibility conditions for reductions by conditioning are investigated both in one‐shot and in dynamic models. By so doing, concepts of ‘exogeneity’ and of ‘non‐causality’ are integrated into a general framework. This paper is essentially a non‐technical introduction to the theory of reduction developed more formally in other papers. It also supplies various examples of the concepts introduced i

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1985.tb00395.x

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

Abstract.Various criteria for estimating the order of a vector autoregressive process are compared in a simulation study. For the considered processes Schwarz's BIC criterion chooses the correct autoregressive order most often and leads to the smallest mean squared forecasting error in samples of the size usually available in practice.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1985.tb00396.x

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY

摘要:

Abstract.This paper presents a proof for the asymptotic efficiency of the linear procedure, suggested by Hannan and Rissanen (1982), for parameter estimation of ARMA models.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1985.tb00397.x

出版商:Blackwell Publishing Ltd    

年代:1985

数据来源: WILEY