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Rajesh Selukar 《时间序列分析杂志》2010,31(3):167-168
In the case of state space models with an unknown initial condition, the diffuse Kalman smoother can be used to obtain smoothed state estimates. When the full initial state is not estimable because the available data are insufficient, some linear combinations of the states can still be estimable. This brief note provides a simple method to determine whether a linear combination of a state is estimable. 相似文献
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Abstract. In this paper, we study the asymptotic behaviour of several test statistics of the null hypothesis of stationarity under a sequence of local alternatives. The sequence of local alternatives is modelled as a nearly stationary process, i.e. a non‐stationary process in any finite sample which converges to a stationary process as T ↑ ∞. From the asymptotic distributions, we find that the stationarity tests have non‐trivial power under the above sequence of local alternatives. Our results complement those of Wright [Econometric Theory (1999) Vol. 15, pp. 704–709] who found that the Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and the modified range statistics (MRS) tests have power equal to their size under a sequence of fractional alternatives. Finally, a simulation study investigates the power properties of the stationarity tests in finite samples. 相似文献
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This article proposes tests for seasonal unit roots allowing for the presence of a break in the trend slope occurring at an unknown date. In particular, new LM‐type tests are derived based on the framework introduced by Hylleberg et al. (1990). Null asymptotic distributions are derived for the no break case as well as when a break is present in the data‐generating process and a Monte Carlo investigation on the finite sample size and power performance of the new procedures is presented. 相似文献
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本文细述了塑料用涂料必须具备的2个基本条件的和品种,还要根据耐候性、耐热性等塑料部件制品内外使用场合和特殊功能及结构要求选用涂料。塑料用涂料将向着抗划伤性、高硬度、新感觉化、绿色环保化、有益于塑料回收重复加工化等等的方向发展。 相似文献
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J. E. Mann 《Sequential Analysis》2013,32(1):45-53
A theoretical result due to S. N. Ray (1965) and Mann and Bratcher (1979) is refined and applied to several discrete one dimensional univariate distributions of the exponential type. In these cases a means of obtaining upper bounds to the exact stage of truncation of a Bayes sequential test is given. 相似文献
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Abstract. It is now well known that how the initial observation is generated can have a significant effect on the power of a unit‐root test. In this article, we show that by taking a simple data‐dependent weighted average of the initial condition‐robust test of Elliott and Müller [Journal of Econometrics (2006), forthcoming] and the standard augmented Dickey–Fuller test, we are able to produce a new unit‐root test that can improve power, both asymptotically and in finite samples, over a wide range of possibilities governing the generation of the initial observation. 相似文献
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Elena Pesavento 《时间序列分析杂志》2007,28(1):111-137
Abstract. This article studies the asymptotic distribution of five residuals‐based tests for the null of no‐cointegration under a local alternative when the tests are computed using both ordinary least squares (OLS) and generalized least squares (GLS)‐detrended variables. The local asymptotic power of the tests is shown to be a function of Brownian motion and Ornstein–Uhlenbeck processes, depending on a single nuisance parameter, which is determined by the correlation at frequency zero of the errors of the cointegration regression with the shocks to the right‐hand side variables. The tests are compared in terms of power in large and small samples. It is shown that, while no significant improvement can be achieved by using unit root tests other than the OLS detrended t‐test originally proposed by Engle and Granger (1987), the power of GLS residuals tests can be higher than the power of system tests for some values of the nuisance parameter. 相似文献
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Vladas Pipiras 《时间序列分析杂志》2012,33(1):131-151
Statistical tests are introduced for distinguishing between short‐range dependent time series with a single change in mean, and long‐range dependent time series, with the former making the null hypothesis. The tests are based on estimation of the self‐similarity parameter after removing the change in mean from the series. The focus is on the GPH (Geweke and Porter‐Hudak, 1983) and local Whittle estimation methods in the spectral domain. Theoretical properties of the resulting estimators are established when testing for a single change in mean, and small sample properties of the tests are examined in simulations. The introduced tests improve on the BHKS ( Berkes et al., 2006 ) test which is the only other available test for the considered problem. It is argued that the BHKS test has a low power against long‐range dependence alternatives and that this happens because the BHKS test statistic involves estimation of the long‐run variance. The BHKS test could be improved readily by considering its R/S‐like regression version which estimates the self‐similarity parameter and which does not involve the long‐run variance. Yet better alternatives are to use more powerful estimation methods (such as GPH or local Whittle) and lead to the tests introduced here. 相似文献
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We consider testing for the presence of nonlinearities in the deterministic component of a time series, approximating the potential nonlinear behaviour using a Fourier function expansion. In contrast to procedures that are currently available, we develop tests that are robust to the order of integration, in the sense that they are asymptotically correctly sized regardless of whether the stochastic component of the series is stationary or contains a unit root. The tests we propose take the form of Wald statistics based on cumulated series, together with a correction factor to line up the asymptotic critical values across the I(0) and I(1) environments. The local asymptotic power and finite sample properties of the tests are evaluated using various different correction factors. We envisage that the testing procedure we recommend should be very useful to applied researchers wishing to draw robust inference regarding the presence of nonlinear deterministic components in a series. 相似文献
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Results of the calculations of development of a biofilm are given at various initial values. The influence of the initial conditions on the character of the development of the biofilm is shown. It is found that the initial conditions do not influence the final state of the biofilm. Estimates of the characteristic times of stabilization of various parameters of the biofilm are given. 相似文献
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W.J. Hall 《Sequential Analysis》2013,32(4):345-352
We consider Brownian motion with drift and stopping boundaries: linear upper and lower boundaries, and possibly a vertical boundary at a truncation point, all under conditions assuring a finite stopping time. T. W. Anderson (Ann. Math. Statist. 31, 1960) derived formulas for the distributions of the stopped process along these boundaries and for the associated expected stopping times. We present simpler formulas, and briefer derivations. 相似文献
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通过对文献进行数据挖掘,归纳因锅炉化学水工况选取不当而造成事故情况,确定了一些常见锅炉机组的最适化学水工况:对于机组功率在0~200MW范围内、主蒸汽压力≤15.7MPa(超高压范围)的汽包锅炉,建议采取平衡磷酸盐处理(equilibrium phosphate treatment,EPT);对于机组功率在200~600MW(不含200MW)范围内的亚临界直流炉,建议采取给水加氧处理(oxygenated treatment,OT);对于机组功率在600~1000MW(不含600MW)范围内的超临界以及超超临界直流炉,建议采取给水加氧处理(OT). 相似文献
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A sequential design strategy for selecting experimental runs to obtain model discrimination and precise parameter estimation is tested via a simulation study of propylene oxidation kinetics. The strategy is used to design all runs including the preliminary ones which were arbitrarily chosen by earlier researchers. To design initial runs, crude initial parameter guesses may be used in the rival models until least squares estimates can be calculated. Even under conditions of very bad initial guesses and high error variances, this procedure selects whichever model is the correct one and estimates with precision its parameters, in fewer runs than previously reported. 相似文献
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选取当地一种长石进行水热条件下的溶解性研究。溶液中硅元素的ICP分析测试结果表明,长石在酸性和碱性条件下,其溶解性都比中性条件下高;在同一酸碱度下,没加(糖)醇时长石的溶解度更大;在酸性和碱性条件下,溶液中硅的浓度随(糖)醇变化为己六醇>山梨醇>木糖醇,中性条件下则为木糖醇>己六醇>山梨醇,并选取了其中两种条件下溶解后的长石进行SEM观察。 相似文献