摘要:

Abstract.A method for evaluating a predictor‐based alarm system is studied in this paper. The predictor is composed of a ‘deterministic’ component reflecting external information and a statistically based component for the error between the measurements and the external predictor. The aim of the predictor study is twofold:it is a means of interpreting the connections between the alarm and the catastrophe, and it can be used to select suitable alarm levels. As an application, the performance of a water‐level predictor as part of a flood warning system has been evaluated. The result of this analysis shows that an alarm system which operates when the predictor reaches a certain level will tend to give either too many alarms or alarms that are out of phase with the cata

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00038.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.We propose a model for non‐normal times series in which we regard the series as an instantaneous transformation of an underlying ‘generating’ series which is normal. We describe a procedure which simultaneously estimates both the transformation to normality and the time series structure of the underlying series. This model has several advantages; in particular several alternative types of forecast can easily be calculated. The relative merits of these forecasts are consi

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00039.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.We use the Chapman‐Kolmogorov formula as a recursive relation for computing them‐step‐ahead conditional density of a non‐linear autoregressive model. We approximate the stationary marginal probability density function of the model by them‐step‐ahead conditional density for sufficiently largem.An advantage of our method is its simple implementation; only one NAG subroutine is needed. We have also studied the advantage of incorporating the matrix‐squar

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00040.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.In this paper we derive simultaneous confidence bands for the maximum entropy method spectral estimate of two‐channel autoregressive (AR) processes by using the asymptotic theory of the estimation of periodic AR processe

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00041.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.In this paper we establish a statistical methodology for the spectral analysis of stationary multivariate time series via the Walsh‐Fourier transform. Theoretical results pertaining to the definition and estimation of the Walsh‐Fourier spectral matrix and functions of that matrix including cross‐spectra, coherency and phase are given. An example of the statistical techniques developed in this paper is given; in particular, the methodologies are applied to neonatal sleep data collected from a study of the effect of maternal substance use during preg

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00042.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY

摘要:

Abstract.In this paper we define subset threshold autoregressive models and suggest a simple algorithm for fitting them. The suggested algorithm is applied to simulated as well as real data. Two well‐known time series are studied:the Canadian lynx data and Wolf's sunspot numbers. The fitted models are compared with the threshold models of Tong and Lim and with the subset bilinear models of Gabr and Subba Rao. Some statistical properties of these models are also studied. An examination of forecasting performance is include

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1990.tb00043.x

出版商:Blackwell Publishing Ltd    

年代:1990

数据来源: WILEY