摘要:

Abstract.This paper is concerned with the identifiability of scalar linear dynamic errors‐in‐variables systems. The analysis is based on second moments only. The set of feasible systems corresponding to given second moments of the observations is described and conditions for identifiability are derived for the case of rational transfer functi

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00374.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.The purpose of this paper is to demonstrate that it is conceptually incorrect to examine the contemporaneous univariate residual cross‐correlation between two time series in testing for the existence of instantaneous causalit

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00375.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.A class of models for one dimensional time series is presented. The spectrum of such a model is obtained by raising the spectrum of a known parameterized model to an exponent, allowed to attain arbitrary real values. For a moving average model this for example means that the roots of the moving average operator are allowed to have any real order. This method adds a further flexibility to the model which for example allows us to model long memory time series using only a few parameters. The exponent is parameterized in a special way to make the estimation of the parameter determining the exponent asymptotically independent of the estimation of the other model‐parameters. The asymptotic distribution of the estimators is derived. The idea is also used for multiplicative models with an exponent for each seasonal factor. In this case the estimators are only approximately independent for a large season length. Finally an application of the model is given using the Beveridge wheat price inde

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00376.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.In this paper, we discuss the validity of the multivariate Edgeworth expansion of distribution functions of statistics which need not be standardized sums of independent and identically distributed vectors. We apply this result to statistics of time series. In particular, we shall give the asymptotic expansion of the distribution of the maximum likelihood estimator of a parameter of a circular autoregresive moving average process.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00377.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

Abstract.This paper provides some new and improved versions of an earlier procedure for the estimation of parameters for autoregressive moving average models suggested by the author (1979). Some numerical examples of the application of the procedure are also given.

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1984.tb00378.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY