摘要:

Abstract.This paper is concerned with the derivation of asymptotic distributions for the sample autocovariance and sample autocorrelation functions of periodic autoregressive moving‐average processes, which are useful in modelling periodically stationary time series. In an effort to obtain a parsimonious model representing a periodically stationary time series, the asymptotic properties of the discrete Fourier transform of the estimated periodic autocovariance and autocorrelation functions are presented. Application of the asymptotic results to some specific models indicates their usefulness for model identification analysi

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00126.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.Bonferroni‐type inequalities are used to approximate probabilities of the joint distribution of residual autocorrelation coefficients from an autoregressive moving‐average time series model. The approximations are useful for testing the goodness of fit of the model:they can be used to find critical values of a test of whether the largest residual autocorrelation is significantly different from zero. The approximation based on the first‐order Bonferroni inequality is simple to use and adequate in pra

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00127.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.Two methods for the estimation of the non‐stationary factor in ARUMA models are given. Both methods yield strongly consistent estimators and the roots of the corresponding filters lie on the unit circl

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00128.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.We contrast the performance of several methods used for identifying the order of vector autoregressive (VAR) processes when the numberKof component series is large. Through simulation experiments we show that their performance is dependent onK, the number of nonzero elements in the polynomial matrices of the VAR parameters and the permitted upper limit of the order used in testing the autoregressive structure. In addition we introduce a new quite powerful multivariate order determination criterion.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00129.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.Consider an AR(1) process given byXt=γ+øXt+Zt≥ 1. where 0 ≤γ, 0 ≤ø 1 are unknown parameters and the innovationsZt, ≥ 1, are independently and identically distributed positive random variables. We propose estimates of (γø) which are obtained as the solution to a linear programming problem and establish their strong consistency. When theZts have the exponential distribution. our estimate becomes the conditional maximum likelihood estimate givenX0. Under the assumption of regular variation of the innovation distribution at its left and right endpoints (assumed to be 0 and ∝ respectively), we establish asymptotic limit laws for the estimates. Consistent estimators for a class of moving‐average processes with heavy‐tailed innovation distribution

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00130.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

Abstract.We demonstrate that a large class of doubly stochastic time series models are geometrically ergodic, and hence admit second‐order stationary solutions.We also establish a version of the strong law of large numbers, the law of the interated logorithm and the central limit theorem for the stochastic processes under consideratio

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1993.tb00131.x

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY