共查询到13条相似文献,搜索用时 0 毫秒
1.
We introduce a class of multivariate seasonal time series models with periodically varying parameters, abbreviated by the acronym SPVAR. The model is suitable for multivariate data, and combines a periodic autoregressive structure and a multiplicative seasonal time series model. The stationarity conditions (in the periodic sense) and the theoretical autocovariance functions of SPVAR stochastic processes are derived. Estimation and checking stages are considered. The asymptotic normal distribution of the least squares estimators of the model parameters is established, and the asymptotic distributions of the residual autocovariance and autocorrelation matrices in the class of SPVAR time series models are obtained. In order to check model adequacy, portmanteau test statistics are considered and their asymptotic distributions are studied. A simulation study is briefly discussed to investigate the finite-sample properties of the proposed test statistics. The methodology is illustrated with a bivariate quarterly data set on travelers entering in to Canada. 相似文献
2.
大多数经济时间序列存在着惯性,或者说具有迟缓性。通过对这种惯性分析,可以由时间序列的当前值对其未来值进行估计。本文从我国历年(1953-2004)的第三产业总产值数据出发,将这些数据平稳化,建立自回归移动平均模型(ARAM),从中找出我国第三产业发展的内在规律性。 相似文献
3.
A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock variables. Next, the aggregation result is applied to fractionally integrated processes. In particular, it is investigated whether typical frequency domain assumptions made for semiparametric estimation and inference are closed with respect to aggregation. With these findings it is spelled out, which estimators remain valid upon aggregation under which conditions on bandwidth selection. 相似文献
4.
In the present paper, we show how a consistent estimator can be derived for the asymptotic covariance matrix of stationary 0–1-valued vector fields in R d , whose supports are jointly stationary random closed sets. As an example, which is of particular interest for statistical applications, we consider jointly stationary random closed sets associated with the Boolean model in R d such that the components indicate the frequency of coverage by the single grains of the Boolean model. For this model, a representation formula for the entries of the covariance matrix is obtained. 相似文献
5.
Dominic Edelmann Konstantinos Fokianos Maria Pitsillou 《Revue internationale de statistique》2019,87(2):237-262
The concept of distance covariance/correlation was introduced recently to characterise dependence among vectors of random variables. We review some statistical aspects of distance covariance/correlation function, and we demonstrate its applicability to time series analysis. We will see that the auto‐distance covariance/correlation function is able to identify non‐linear relationships and can be employed for testing the i.i.d. hypothesis. Comparisons with other measures of dependence are included. 相似文献
6.
Michael Eichler 《Metrika》2007,65(2):133-157
A one-sided asymptotically normal test for non-correlation between two stationary time series is proposed based on the spectral
coherence function. The test statistic is a properly standardized version of the integrated spectral coherency and has similar
asymptotic properties as a previously introduced time domain based test for non-correlation. Unlike its time domain counterpart,
the proposed test does not require prewhitening of the time series and, thus, is a truly nonparametric test for non-correlation.
In a simulation study, we evaluate the small sample performance of the proposed test in comparison with the time domain test
and address the problem of bandwidth selection. Furthermore, we present a modification of the test statistic that allows to
test for non-correlation over frequency bands. This version shows higher power of detecting interrelationships restricted
to the frequency band of interest.
This work has been carried out at the Institute of Applied Mathematics at the University of Heidelberg and partly while the
author was visiting the Department of Statistics at the University of Chicago. 相似文献
7.
This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time–series models. Under simple conditions that are straightforward to check, we establish the strong consistency, the rate of strong convergence and the asymptotic normality of a general class of estimators that includes LSE, MLE and some M-type estimators. As an application, we verify the assumptions for the long-memory fractional ARIMA model. Other examples include the GARCH(1,1) model, random coefficient AR(1) model and the threshold MA(1) model. 相似文献
8.
B. JungbackerS.J. Koopman M. van der Wel 《Journal of Economic Dynamics and Control》2011,35(8):1358-1368
This paper concerns estimating parameters in a high-dimensional dynamic factor model by the method of maximum likelihood. To accommodate missing data in the analysis, we propose a new model representation for the dynamic factor model. It allows the Kalman filter and related smoothing methods to evaluate the likelihood function and to produce optimal factor estimates in a computationally efficient way when missing data is present. The implementation details of our methods for signal extraction and maximum likelihood estimation are discussed. The computational gains of the new devices are presented based on simulated data sets with varying numbers of missing entries. 相似文献
9.
The Invariant Quadratic Estimators, the Maximum Likelihood Estimator (MLE) and Restricted Maximum Likelihood Estimator (REML) of variances in an orthogonal Finite Discrete Spectrum Linear Regression Model (FDSLRM) are derived and the problems of unbiasedness and consistency of these estimators are investigated.Acknowledgement. The research was supported by the grants 1/0272/03, 1/0264/03 and 2/4026/04 of the Slovak Scientific Grant Agency VEGA. 相似文献
10.
D. R. Cox 《Revue internationale de statistique》2009,77(3):415-429
A general review is given of the role of randomization in experimental design. Three objectives are distinguished, the avoidance of bias, the establishment of a secure base for the estimation of error in traditional designs, and the provision of formally exact tests of significance and confidence limits. The approximate randomization theory associated with analysis of covariance is outlined and conditionality considerations are used to explain the limited role of randomization in experiments with very small numbers of experimental units. The relation between the so-called design-based and model-based analyses is discussed. Corresponding results in sampling theory are mentioned briefly. 相似文献
11.
绿色供应链管理中合作伙伴的评价与选择 总被引:15,自引:0,他引:15
合作伙伴的选择是绿色供应链管理中重要的环节之一。本文采用AHP与整数规划相结合的方法,提出一种两阶段的绿色供应链合作伙伴选择与评价模型。 相似文献
12.
In this paper, we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving‐average models under the assumption that the errors are uncorrelated but not necessarily independent. We relax the standard independence assumption on the error terms in order to extend the range of applications of the seasonal autoregressive moving‐average models. We study the asymptotic distributions of residual and normalized residual empirical autocovariances and autocorrelations under weak assumptions on noise. We establish the asymptotic behavior of the proposed statistics. A set of Monte Carlo experiments and an application to monthly mean total sunspot number are presented. 相似文献
13.
天然建筑材料勘察是水利水电工程建设中一项十分重要的基础工作。密切结合设计方案,因地制宜地做好勘察工作,查明工程所需的各类天然建筑材料的储量、质量、开采和运输条件,为工程规划、设计和施工方案提供依据是天然建筑材料勘察的主要任务。大量的工程实践证明,忽视天然建筑材料勘察,将给工程建设造成重大损失。因此,经济合理地提供天然建筑材料,对加快工程建设、降低工程造价具有重要意义。 相似文献