منابع مشابه
Nonlinear Time Series Modelling: An Introduction
Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear model are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model. Parametric tests for nonlinearity are reviewed with examples from the three types of model. Finally forecasting and impul...
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A time series is a collection of observations ordered following a parameter that for us is time. Examples occur in a variety of fields (economics, engeneering, meteorology and so on...). For instance, economic time series include share prices on successive days, export totals in successive months, average incomes in successive months, company profits in successive years (see the graph below). M...
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Overview In contrast to the classical linear regression model, in which the components of the dependent variable vector y are not identically distributed (because its mean vector varies with the regressors) but may be independently distributed, time series models have dependent variables which may be identically distributed, but are typically not independent across ovbservations. Such models ar...
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Consider a univariate time series {yt}t=−∞. We say that {yt} is (strictly) stationary if the joint distribution of the vectors (yt1 , . . . , ytk) and (yt1+s, . . . , ytk+s) are the same for any choice of the subscripts (t1, t2, . . . , tk, s). Thus, in particular, the marginal distributions are identical, so Eyt = μ and V yt = σ 2 are independent of t, and furthermore covariances Cov (yt, yt+s...
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• The need to model rare events of univariate time series has led to many recent advances in theory and methods. In this paper, we review telegraphically the literature on extremes of dependent time series and list some remaining challenges. Key-Words: • Bayesian statistics; Box–Cox transformation; clustering; dependence; extremal index; extremogram; generalized extreme-value distribution; gene...
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ژورنال
عنوان ژورنال: Journal of Applied Statistics
سال: 2011
ISSN: 0266-4763,1360-0532
DOI: 10.1080/02664763.2011.583725