摘要:

Abstract.Differencing is often used to render a time series stationary. The decision of how much differencing to do is usually based on plots of data, the autocorrelation function or a statistical test. Hence, it may happen that an analyst mistakenly differences a stationary series. When that happens, the inverse autocorrelation function takes on a specific pattern. We characterize this pattern and discuss the behavior of sample estimates of the inverse autocorrelation function for such overdifferenced series.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1994.tb00173.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

Abstract.We present a complete generalization of fractional differencing with seasonal processes. The contribution of each seasonal frequency to the variance of a process may be modelled by separate difference parameters. The regression of the log‐periodogram allows estimation of the difference parameters. We approximate the bias and the variance of these estimators with large samples. Numerical examples illustrate the risk of fractional misspecificatio

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1994.tb00174.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

Abstract.The paper is devoted to random aggregation of multivariate autoregressive moving‐average (ARMA) processes. We derive second‐order characteristics of random aggregate models. We show that random aggregation preserves the ARMA structure. Moreover, we specify a functional relation between the initial model poles and aggregate ones. We then examine the case of univariate ARMA processes. Theorem 4 shows that, if the initial process is ARMA(p, q), the random aggregate process is an ARMA(p*, q*) model withp*at most equal top;*depends, among other things, on the sampling distributionL. This theorem generalizes the well‐known results on the topic of time interval aggregation without overla

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1994.tb00175.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

Abstract.We study an iterative filtering method to estimate frequencies of random Gaussian sinusoids in white noise. The method uses higher order crossings and takes advantage of a fixed point to guide the use of bandpass filtering in an attempt effectively to increase the signal‐to‐noise ratio. At each iteration the expected zero‐crossing rate is estimated from independent time series. Convergence occurs with any prespecified probability less tha

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1994.tb00176.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1994.tb00177.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

Abstract.Most of the existing work in non‐linear time series analysis has concentrated on generating flexible functional models by specifying non‐linear specifications for the mean of a particular process, without much, if any, attention given to the distributional properties of the model. However, as Martin (J. Time Ser. Anal.13 (1992), 79–94) has shown, greater flexibility in perhaps a more natural way can be achieved by consideration of distributions from the generalized exponential class. This paper represents an extension of the earlier work of Martin by introducing a flexible class of non‐linear time series models which can capture a wide range of empirical behaviour such as skewed, fat‐tailed and even multimodal distributions. This class of models is referred to as generalized exponential non‐linear time series. A maximum likelihood algorithm is given for estimating the parameters of the model and the framework is applied to estimating the distribution of the movements of the ex

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1994.tb00178.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

Abstract.The X‐11 procedure with its various variants is the commonly used procedure for seasonal adjustment throughout the world. A well‐known problem with the use of this procedure, however, is the estimation of the variances of its output such as, for example, the variances of the seasonally adjusted data or the month to month changes in these data. In this paper we propose a simple general procedure for estimating the variances of the X‐11 estimators. The variances account for the sampling distribution of the survey estimators around the corresponding population values and for the distribution of the component series included in the decomposition of the population values. The procedure is applicable to general sampling designs, including partially overlapping surveys. Empirical results illustrating the performance of the procedure when applied to simulated and real series are pres

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1994.tb00179.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY

摘要:

Abstract.In this paper, we shall consider the case where a stationary vector process {Xt} belongs to one of two categories described by two hypothesesπ1andπ2. These hypotheses specify that {Xt} has spectral density matricesf(Λ) andg(Λ) underπ1andπ2, respectively. Although Gaussianity of {Xt} is not assumed, we can formally make the Gaussian likelihood ratio (GLR) based onX(1),…X(T). Then an approximationI(f:g) of the GLR is given in terms off(Λ) andg(Λ). Iff(Λ) andg(Λ) are known, we can useI(f:g) as a classification statistic. It is shown thatI(f:g) is a consistent classification criterion in the sense that the misclassification probabilities converge to zero asT→∝. Whengis contiguous tof, we discuss non‐Gaussian robustness ofI(f:g). A sufficient condition for the non‐Gaussian robustness will be given. Also a numerical ex

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1994.tb00180.x

出版商:Blackwell Publishing Ltd    

年代:1994

数据来源: WILEY