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1.
Francesco Audrino 《时间序列分析杂志》2005,26(2):251-278
Abstract. We propose a non‐parametric local likelihood estimator for the log‐transformed autoregressive conditional heteroscedastic (ARCH) (1) model. Our non‐parametric estimator is constructed within the likelihood framework for non‐Gaussian observations: it is different from standard kernel regression smoothing, where the innovations are assumed to be normally distributed. We derive consistency and asymptotic normality for our estimators and show, by a simulation experiment and some real‐data examples, that the local likelihood estimator has better predictive potential than classical local regression. A possible extension of the estimation procedure to more general multiplicative ARCH(p) models with p > 1 predictor variables is also described. 相似文献
2.
The Yule–Walker estimator is commonly used in time-series analysis, as a simple way to estimate the coefficients of an autoregressive process. Under strong assumptions on the noise process, this estimator possesses the same asymptotic properties as the Gaussian maximum likelihood estimator. However, when the noise is a weak one, other estimators based on higher-order empirical autocorrelations can provide substantial efficiency gains. This is illustrated by means of a first-order autoregressive process with a Markov-switching white noise. We show how to optimally choose a linear combination of a set of estimators based on empirical autocorrelations. The asymptotic variance of the optimal estimator is derived. Empirical experiments based on simulations show that the new estimator performs well on the illustrative model. 相似文献
3.
A time‐series model in which the signal is buried in noise that is non‐Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation‐driven model, based on an exponential generalized beta distribution of the second kind (EGB2), in which the signal is a linear function of past values of the score of the conditional distribution. This specification produces a model that is not only easy to implement but which also facilitates the development of a comprehensive and relatively straightforward theory for the asymptotic distribution of the maximum‐likelihood (ML) estimator. Score‐driven models of this kind can also be based on conditional t distributions, but whereas these models carry out what, in the robustness literature, is called a soft form of trimming, the EGB2 distribution leads to a soft form of Winsorizing. An exponential general autoregressive conditional heteroscedastic (EGARCH) model based on the EGB2 distribution is also developed. This model complements the score‐driven EGARCH model with a conditional t distribution. Finally, dynamic location and scale models are combined and applied to data on the UK rate of inflation. 相似文献
4.
Abstract. We consider the problem of estimating the period of an unknown periodic function observed in additive Gaussian noise sampled at irregularly spaced time instants in a semiparametric setting. To solve this problem, we propose a novel estimator based on the cumulated Lomb–Scargle periodogram. We prove that this estimator is consistent, asymptotically Gaussian and we provide an explicit expression of the asymptotic variance. Some Monte Carlo experiments are then presented to support our claims. 相似文献
5.
We study nonlinear infinite order Markov switching integer‐valued ARCH models for count time series data. Markov switching models take into account complex dynamics and can deal with several stylistic facts of count data including proper modelling of nonlinearities, overdispersion and outliers. We study structural properties of those models. Under mild conditions, we prove consistency and asymptotic normality of the maximum likelihood estimator for the case of finite order autoregression. In addition, we give conditions which imply that the marginal likelihood ratio test, for testing the number of regimes, converges to a Gaussian process. This result enables us to prove that the BIC provides a consistent estimator for selecting the true number of regimes. A real data example illustrates the methodology and compares this approach with alternative methods. 相似文献
6.
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 总被引:13,自引:0,他引:13
Abstract. The definitions of fractional Gaussian noise and integrated (or fractionally differenced) series are generalized, and it is shown that the two concepts are equivalent. A new estimator of the long memory parameter in these models is proposed, based on the simple linear regression of the log periodogram on a deterministic regressor. The estimator is the ordinary least squares estimator of the slope parameter in this regression, formed using only the lowest frequency ordinates of the log periodogram. Its asymptotic distribution is derived, from which it is evident that the conventional interpretation of these least squares statistics is justified in large samples. Using synthetic data the asymptotic theory proves to be reliable in samples of 50 observations or more. For three postwar monthly economic time series, the estimated integrated series model provides more reliable out-of-sample forecasts than do more conventional procedures. 相似文献
7.
Abstract. For linear processes, semiparametric estimation of the memory parameter, based on the log‐periodogram and local Whittle estimators, has been exhaustively examined and their properties well established. However, except for some specific cases, little is known about the estimation of the memory parameter for nonlinear processes. The purpose of this paper is to provide the general conditions under which the local Whittle estimator of the memory parameter of a stationary process is consistent and to examine its rate of convergence. We show that these conditions are satisfied for linear processes and a wide class of nonlinear models, among others, signal plus noise processes, nonlinear transforms of a Gaussian process ξt and exponential generalized autoregressive, conditionally heteroscedastic (EGARCH) models. Special cases where the estimator satisfies the central limit theorem are discussed. The finite‐sample performance of the estimator is investigated in a small Monte Carlo study. 相似文献
8.
Abstract. We provide a direct proof for consistency and asymptotic normality of Gaussian maximum likelihood estimators for causal and invertible autoregressive moving‐average (ARMA) time series models, which were initially established by Hannan [Journal of Applied Probability (1973) vol. 10, pp. 130–145] via the asymptotic properties of a Whittle's estimator. This also paves the way to establish similar results for spatial processes presented in the follow‐up article by Yao and Brockwell [Bernoulli (2006) in press]. 相似文献
9.
Abstract. This paper investigates theoretical aspects of the relationship between the generalized least squares and Gaussian estimation schemes for vector autoregressive moving-average models. The asymptotic convergence of the generalized least squares estimator to the Gaussian estimator is established and an alternative numerical method for implementing the generalized least squares scheme is proposed. Finally, some simulation results are presented to illustrate the theory. 相似文献
10.
Zhang and Shaman (Assessing prediction error in autoregressive models. Trans. Am. Math. Soc. 347, (1995), 627–37) pose the problem of estimating the conditional mean square one-step-ahead prediction error (CMOPE) for a Gaussian first-order autoregressive process. They put forward a certain estimator (with small asymptotic bias) of CMOPE and propose that its effectiveness be judged by its asymptotic correlation with CMOPE. Unfortunately, the derivation of this correlation by Zhang and Shaman (1995) is incomplete. It is very difficult to complete this derivation. For this reason we use Monte Carlo simulation to gain some insight into the correlation of the estimator with CMOPE. The results of this simulation show that the estimator is extremely poor. We then propose an alternative estimator (with small asymptotic bias) of CMOPE which is shown from Monte Carlo simulation results to have higher large-sample correlation with CMOPE than the estimator of CMOPE put forward by Zhang and Shaman (1995). 相似文献
11.
A desirable property of an autocovariance estimator is to be robust to the presence of additive outliers. It is well known that the sample autocovariance, being based on moments, does not have this property. Hence, the use of an autocovariance estimator which is robust to additive outliers can be very useful for time‐series modelling. In this article, the asymptotic properties of the robust scale and autocovariance estimators proposed by Rousseeuw and Croux (1993) and Ma and Genton (2000) are established for Gaussian processes, with either short‐ or long‐range dependence. It is shown in the short‐range dependence setting that this robust estimator is asymptotically normal at the rate , where n is the number of observations. An explicit expression of the asymptotic variance is also given and compared with the asymptotic variance of the classical autocovariance estimator. In the long‐range dependence setting, the limiting distribution displays the same behaviour as that of the classical autocovariance estimator, with a Gaussian limit and rate when the Hurst parameter H is less than 3/4 and with a non‐Gaussian limit (belonging to the second Wiener chaos) with rate depending on the Hurst parameter when H ∈ (3/4,1). Some Monte Carlo experiments are presented to illustrate our claims and the Nile River data are analysed as an application. The theoretical results and the empirical evidence strongly suggest using the robust estimators as an alternative to estimate the dependence structure of Gaussian processes. 相似文献
12.
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
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A two‐step approach for conditional value at risk estimation is considered. First, a generalized quasi‐maximum likelihood estimator is employed to estimate the volatility parameter, then the empirical quantile of the residuals serves to estimate the theoretical quantile of the innovations. When the instrumental density h of the generalized quasi‐maximum likelihood estimator is not the Gaussian density, both the estimations of the volatility and of the quantile are generally asymptotically biased. However, the two errors counterbalance and lead to a consistent estimator of the value at risk. We obtain the asymptotic behavior of this estimator and show how to choose optimally h. 相似文献
13.
Zero crossing (ZC) statistic is the number of zero crossings observed in a time series. The expected value of the ZC specifies the first‐order autocorrelation of the processes. Hence, we can estimate the autocorrelation by using the ZC estimator. The asymptotic consistency and normality of the ZC estimator for scalar Gaussian processes are already discussed in 1980. In this article, first, we derive the joint asymptotic distribution of the ZC estimator for ellipsoidal processes. Next, we show the variance of the ZC estimator does not attain the Cramer–Rao lower bound (CRLB). However, it is shown that the ZC estimator has robustness when the process is contaminated by an outlier. In contrast with this, we observe that the quasi‐maximum likelihood estimator (QMLE) attains the CRLB. However, we can see that QMLE is sensitive for the outlier. 相似文献
14.
We investigate the asymptotic and finite sample behavior of the Hill estimator applied to time series contaminated by measurement or other errors. We show that for all discrete time models used in practice, whose non-contaminated marginal distributions are regularly varying, the Hill estimator is consistent. Essentially, the only assumption on the errors is that they have lighter tails than the underlying unobservable process. The asymptotic justification however depends on the specific class of models assumed for the underlying unobservable process. We show by means of a simulation study that the asymptotic robustness of the Hill estimator is clearly manifested in finite samples. We further illustrate this robustness by a numerical study of the interarrival times of anomalies in a backbone internet network, the Internet2 in the United States; the anomalies arrival times are computed with a roundoff error. 相似文献
15.
We consider a fractional exponential, or FEXP estimator of the memory parameter of a stationary Gaussian long-memory time series. The estimator is constructed by fitting a FEXP model of slowly increasing dimension to the log periodogram at all Fourier frequencies by ordinary least squares, and retaining the corresponding estimated memory parameter. We do not assume that the data were necessarily generated by a FEXP model, or by any other finite-parameter model. We do, however, impose a global differentiability assumption on the spectral density except at the origin. Because of this, and its use of all Fourier frequencies, we refer to the FEXP estimator as a broadband semiparametric estimator. We demonstrate the consistency of the FEXP estimator, and obtain expressions for its asymptotic bias and variance. If the true spectral density is sufficiently smooth, the FEXP estimator can strongly outperform existing semiparametric estimators, such as the Geweke–Porter-Hudak (GPH) and Gaussian semiparametric estimators (GSE), attaining an asymptotic mean squared error proportional to (log n )/ n , where n is the sample size. In a simulation study, we demonstrate the merits of using a finite-sample correction to the asymptotic variance, and we also explore the possibility of automatically selecting the dimension of the exponential model using Mallows' CL criterion. 相似文献
16.
Abstract. We study the asymptotic behaviour of the least squares estimator, of the residual autocorrelations and of the Ljung–Box (or Box–Pierce) portmanteau test statistic for multiple autoregressive time series models with nonindependent innovations. Under mild assumptions, it is shown that the asymptotic distribution of the portmanteau tests is that of a weighted sum of independent chi‐squared random variables. When the innovations exhibit conditional heteroscedasticity or other forms of dependence, this asymptotic distribution can be quite different from that of models with independent and identically distributed innovations. Consequently, the usual chi‐squared distribution does not provide an adequate approximation to the distribution of the Box–Pierce goodness‐of‐fit portmanteau test in the presence of nonindependent innovations. Hence we propose a method to adjust the critical values of the portmanteau tests. Monte carlo experiments illustrate the finite sample performance of the modified portmanteau test. 相似文献
17.
This paper shows how the parameters of a stable GARCH(1, 1) model can be estimated from the autocorrelations of the squared process. Specifically, the method applies a minimum distance estimator (MDE) to the sample autocorrelations of the squared realization. The asymptotic efficiency of the estimator is calculated from using the first g autocorrelations. The estimator can be surprisingly efficient for quite small numbers of autocorrelations and, in some cases, can be more efficient than the quasi maximum likelihood estimator (QMLE). Also, the estimated process can better fit the pattern of observed autocorrelations of squared returns than those from models estimated by maximum likelihood estimation (MLE). The estimator is applied to a series of hourly exchange rate returns, which are extremely non Gaussian. 相似文献
18.
Abstract. In recent years, methods to estimate the memory parameter using wavelet analysis have gained popularity in many areas of science. Despite its widespread use, a rigorous semi‐parametric asymptotic theory, comparable with the one developed for Fourier methods, is still lacking. In this article, we adapt to the wavelet setting, the classical semi‐parametric framework introduced by Robinson and his co‐authors for estimating the memory parameter of a (possibly) non‐stationary process. Our results apply to a class of wavelets with bounded supports, which include but are not limited to Daubechies wavelets. We derive an explicit expression of the spectral density of the wavelet coefficients and show that it can be approximated, at large scales, by the spectral density of the continuous‐time wavelet coefficients of fractional Brownian motion. We derive an explicit bound for the difference between the spectral densities. As an application, we obtain minimax upper bounds for the log‐scale regression estimator of the memory parameter for a Gaussian process and we derive an explicit expression of its asymptotic variance. 相似文献
19.
Javier Hidalgo 《时间序列分析杂志》1997,18(2):95-122
Smooth non-parametric kernel density and regression estimators are studied when the data are strongly dependent. In particular, we derive central (and non-central) limit theorems for the kernel density estimator of a multivariate Gaussian process and an infinite-order moving average of an independent identically distributed process, as well as the estimator's consistency for other types of data, such as non-linear functions of a Gaussian process. We find that the kernel density estimator at two different points, under certain conditions, is not only perfectly correlated but may converge to the same random variable. Also, central (and non-central) limit theorems of the non-parametric kernel regression estimator are studied. One important and surprising characteristic found is that its asymptotic variance does not depend on the point at which the regression function is estimated and also that its asymptotic properties are the same whether or not regressors are strongly dependent. Finally, a Monte Carlo experiment is reported to assess the behaviour of the estimators in finite samples. 相似文献
20.
Cline Lvy‐Leduc 《时间序列分析杂志》2006,27(5):637-669
Abstract. We considered the problem of estimating the frequency of an unknown periodic function from observations which consist of a particular almost periodic function and additive Gaussian white noise from both theoretical and practical points of view. First, we proved that, in a precise asymptotic framework, our estimator was consistent and asymptotically efficient. Then, when the number of observations was fixed, we proposed a practical implementation of the procedure and compared its performance with those forecast by the theoretical study. Finally, we applied our processing to some laser vibrometry signals and compared it with a technique classically used in this field. 相似文献