查詢結果分析
相關文獻
- Detecting and Modeling Nonlinearity in Univariate Time Series Analysis
- Power Properties of a Time Series Linearity Test against Some Simple Bilinear Alternatives
- 線性與非線性時序之判定--序列分離理論之應用
- 虛無假設為平穩、對立假設為單位根的拉格朗日乘子檢定統計量
- 乾峰橋日流量之非線性時間序列分析
- Density Estimation in Strongly Dependent Non-Linear Time Series
- 烏溪旬流量預測模式
頁籤選單縮合
題 名 | Detecting and Modeling Nonlinearity in Univariate Time Series Analysis |
---|---|
作 者 | Tsay,Ruey S.; | 書刊名 | Statistica Sinica |
卷 期 | 1:2 1991.07[民80.07] |
頁 次 | 頁431-451 |
分類號 | 319.712 |
關鍵詞 | 非線性時間序列; 拉格朗日乘子; Arranged autoregression; Lagrange multiplier test; Local fitting; Nonlinear time series; Predictive residual; Threshold model; |
語 文 | 英文(English) |
英文摘要 | A methodology for nonlinear time series analysis is considered. First, the ideas of (a) added variables in regression analysis and (b) arranged autoregressive fitting in time series analysis are used to propose a proced ure for testing nonlinearity of a univariate time series. The procedure is quite general as compared with other tests available in the literature because it can detect various nonlinearities in a time series such as threshold nonlinearity, bilinearity, and exponential nonlinearity. We then use local estimation in arranged autoregressions to suggest suitable models for a given process. Examples are given to illustrate the proposed methodology. |
本系統中英文摘要資訊取自各篇刊載內容。