共查询到20条相似文献,搜索用时 0 毫秒
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Clifford M. Hurvich 《时间序列分析杂志》2001,22(6):679-709
We study the properties of Mallows' C L criterion for selecting a fractional exponential (FEXP) model for a Gaussian long-memory time series. The aim is to minimize the mean squared error of a corresponding regression estimator d FEXP of the memory parameter, d . Under conditions which do not require that the data were actually generated by a FEXP model, it is known that the mean squared error MSE=E[ d FEXP − d ]2 can converge to zero as fast as (log n )/ n , where n is the sample size, assuming that the number of parameters grows slowly with n in a deterministic fashion. Here, we suppose that the number of parameters in the FEXP model is chosen so as to minimize a local version of C L , restricted to frequencies in a neighborhood of zero. We show that, under appropriate conditions, the expected value of the local C L is asymptotically equivalent to MSE. A combination of theoretical and simulation results give guidance as to the choice of the degree of locality in C L . 相似文献
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We consider nonparametric estimation of an additive time series decomposition into a long‐term trend μ and a smoothly changing seasonal component S under general assumptions on the dependence structure of the residual process. The rate of convergence of local trigonometric regression estimators of S turns out to be unaffected by the dependence, even though the spectral density of the residual process has a pole at the origin. In contrast, the rate of convergence of nonparametric estimators of μ depends on the long‐memory parameter d. Therefore, in the presence of long‐range dependence, different bandwidths for estimating μ and S should be used. A data adaptive algorithm for optimal bandwidth choice is proposed. Simulations and data examples illustrate the results. 相似文献
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This article considers a structural‐factor approach to modeling high‐dimensional time series and space‐time data by decomposing individual series into trend, seasonal, and irregular components. For ease in analyzing many time series, we employ a time polynomial for the trend, a linear combination of trigonometric series for the seasonal component, and a new factor model for the irregular components. The new factor model simplifies the modeling process and achieves parsimony in parameterization. We propose a Bayesian information criterion to consistently select the order of the polynomial trend and the number of trigonometric functions, and use a test statistic to determine the number of common factors. The convergence rates for the estimators of the trend and seasonal components and the limiting distribution of the test statistic are established under the setting that the number of time series tends to infinity with the sample size, but at a slower rate. We study the finite‐sample performance of the proposed analysis via simulation, and analyze two real examples. The first example considers modeling weekly PM2.5 data of 15 monitoring stations in the southern region of Taiwan and the second example consists of monthly value‐weighted returns of 12 industrial portfolios. 相似文献
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Long-range Dependence: Revisiting Aggregation with Wavelets 总被引:1,自引:0,他引:1
The aggregation procedure is a natural way to analyse signals which exhibit long-range-dependent features and has been used as a basis for estimation of the Hurst parameter, H . In this paper it is shown how aggregation can be naturally rephrased within the wavelet transform framework, being directly related to approximations of the signal in the sense of a Haar multiresolution analysis. A natural wavelet-based generalization to traditional aggregation is then proposed: 'a-aggregation'. It is shown that a-aggregation cannot lead to good estimators of H , and so a new kind of aggregation, 'd-aggregation', is defined, which is related to the details rather than the approximations of a multiresolution analysis. An estimator of H based on d-aggregation has excellent statistical and computational properties, whilst preserving the spirit of aggregation. The estimator is applied to telecommunications network data. 相似文献
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Paul Stevenson 《加拿大化工杂志》2006,84(5):614-617
A dimensionless correlation for the axial dispersion of particles and liquid tracer in draining foam has been developed that expresses the dimensionless dispersion as a function of Peclet and Stokes numbers. The correlation is fitted to the data of Lee et al., Coll. and Surf. A. 263 , 320‐329 (2005). The value of the axial dispersion coefficient is independent of the self‐dispersivity. It is seen that Saffman, J. Fluid. Mech. 6 , 321‐349 (1959) model for the dispersion coefficient in solid porous media only provides order of magnitude prediction of the axial dispersion coefficient but it can inform about the dominant mechanisms of dispersion. 相似文献
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M. Hejjo Al Rifai M. Christophersen S. Ottow J. Carstensen H. Föll 《Journal of Porous Materials》2000,7(1-3):33-36
Applying an anodic bias on a silicon HF contact and illuminating the backside of a n-type silicon wafer allows to create macropores. The formation of random macropores is studied in this paper by determination of the influences of the potential, the temperature and the doping level. A statistical approach is used to evaluate the micrographs. The formation of the macroporous layer consists of two phases. Beginning with a plane surface and homogeneous dissolution of silicon, first pores occur after some time. In this nucleation phase the thickness of the homogeneously dissolved Si depends strongly on the doping level and the temperature but only weakly on the applied bias. In a second phase of stable pore growth the density of pores is investigated as a function of temperature and anodic potential. For low doped material we find a strong stabilisation influence of the deep space charge region (SCR) in the nucleation as well as in the stable pore growth phase. Thus an increased anodic bias decreases the density of pores. For highly doped silicon no stabilisation influence of the SCR is found. The pore growth is dominated by the electrochemical dissolution rate, i.e. increasing the potential increases the density of the macropores. 相似文献
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Abstract. Stochastic volatility (SV) models have become increasingly popular for explaining the behaviour of financial variables such as stock prices and exchange rates, and their popularity has resulted in several different proposed approaches to estimating the parameters of the model. An important feature of financial data, which is commonly ignored, is the occurrence of irregular sampling because of holidays or unexpected events. We present a method that can handle the estimation problem of SV models when the sampling is somewhat irregular. The basic idea of our approach is to combine the expectation‐maximization (EM) algorithm with particle filters and smoothers in order to estimate parameters of the model. In addition, we expand the scope of application of SV models by adopting a normal mixture, with unknown parameters, for the observational error term rather than assuming a log‐chi‐squared distribution. We address the problems by using state–space models and imputation. Finally, we present simulation studies and real data analyses to establish the viability of the proposed method. 相似文献
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三维流化床电极处理电镀废水 总被引:1,自引:0,他引:1
介绍了三维流化床电极的原理与特点。总结了三维流化床电极反应器中电流收集板的结构设计重点。着重分析了反应器运行的各个工艺参数,包括电极材料、pH值、槽电流等对处理效果的影响。并列举了三维流化床电极对几种不同性质废水的处理效果。 相似文献
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Fast Filtering and Smoothing for Multivariate State Space Models 总被引:1,自引:0,他引:1
This paper investigates a new approach to diffuse filtering and smoothing for multivariate state space models. The standard approach treats the observations as vectors, while our approach treats each element of the observational vector individually. This strategy leads to computationally efficient methods for multivariate filtering and smoothing. Also, the treatment of the diffuse initial state vector in multivariate models is much simpler than in existing methods. The paper presents details of relevant algorithms for filtering, prediction and smoothing. Proofs are provided. Three examples of multivariate models in statistics and economics are presented for which the new approach is particularly relevant. 相似文献
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Similarity solution is a classical topic in chemical engineering,frequently encountered in analysis of flow and transport phenomena in semi-infinite domains.In this article,dimensional analysis is applied to resolve systematically the conditions for the existence of similarity solutions and formulate a basic procedure to get such solutions.With several classic examples,the method for finding the suitable combination of independent variables from original ones is demonstrated,so that the original partial differential equation can be transformed into a simpler ordinary differential equation,through which the desired similarity solution is finally achieved.In-depth analysis of one-dimensional diffusion/reaction problems by dimensional analysis results in some new insights.The elaboration is significant for deep insight of similarity solution and its application in chemical engineering. 相似文献
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通过ABAQUS建立特殊结构的免充气轮胎有限元模型,对其静态加载和侧倾工况下进行了模拟,并将计算结果与同规格11.00R20载重子午线轮胎的实测数据作对比分析。研究表明:静载工况下,两者的静刚度曲线基本吻合,下沉量和接地面积接近,免充气胎最大接地压力较小;侧倾工况下,两者的接地面积和静刚度曲线的变化趋势接近。表明该免充气轮胎可以达到同规格子午线轮胎的性能要求。 相似文献
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This paper considers the case where a stochastic process may display both long-range dependence and second-order intermittency. The existence of such a process is established in Anh, Angulo and Ruiz-Medina (1999). We systematically study the estimation of parameters involved in the spectral density function of a process with long-range dependence and second-order intermittency. An estimation procedure for the parameters is given. Numerical results are presented to support the estimation procedure proposed in this paper. 相似文献
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Many empirical findings show that volatility in financial time series exhibits high persistence. Some researchers argue that such persistency is due to volatility shifts in the market, while others believe that this is a natural fluctuation explained by stationary long‐range dependence models. These two approaches confuse many practitioners, and forecasts for future volatility are dramatically different depending on which models to use. In this article, therefore, we consider a statistical testing procedure to distinguish volatility shifts in generalized AR conditional heteroscedasticity (GARCH) model against long‐range dependence. Our testing procedure is based on the residual‐based cumulative sum test, which is designed to correct the size distortion observed for GARCH models. We examine the validity of our method by providing asymptotic distributions of test statistic. Also, Monte Carlo simulations study shows that our proposed method achieves a good size while providing a reasonable power against long‐range dependence. It is also observed that our test is robust to the misspecified GARCH models. 相似文献