Prediction in Locally Stationary Time Series
نویسندگان
چکیده
منابع مشابه
Costationarity of locally stationary time series
Loosely speaking, a stationary time series is one whose statistical properties remain constant over time, whereas the statistical properties of locally stationary (LS) time series change slowly over time. As a consequence, LS series can appear stationary when examined close up, but appear nonstationary when examined on a larger scale. Priestley (1983) and Nason and von Sachs (1999) review local...
متن کاملNonparametric regression for locally stationary time series
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the time-varying regression function and provide asymptotic theory for our estimates. Moreover, we show that the...
متن کاملCostationarity of locally stationary time series
Loosely speaking, a stationary time series is one whose statistical properties remain constant over time, whereas the statistical properties of locally stationary (LS) time series change slowly over time. As a consequence, LS series can appear stationary when examined close up, but appear nonstationary when examined on a larger scale. Priestley (1983) and Nason and von Sachs (1999) review local...
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Abstract–A new unsupervised algorithm is proposed that performs competitive principal component analysis (PCA) of a time series. A set of expert PCA networks compete, through the Mixture of Experts (MOE) formalism, on the basis of their ability to reconstruct the original signal. The resulting network finds an optimal projection of the input onto a reduced dimensional space as a function of the...
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This article describes the R package costat. This package enables a user to (i) perform a test for time series stationarity; (ii) compute and plot time-localized autocovariances, and (iii) to determine and explore any costationary relationship between two locally stationary time series. Two locally stationary time series are said to be costationary if there exists two time-varying combination f...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2020
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2020.1819296