کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1140958 956751 2008 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modelling time series when mean and variability both change
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Modelling time series when mean and variability both change
چکیده انگلیسی

An extended least-squares method is described which allows us to model the location and scale of a process parametrically without specifying any parametric form for the distribution of the errors. The degree of the associated polynomials is chosen using a step-down method on a table of p-values. A pseudo-likelihood ratio test is given. The concepts of upper and lower return levels are extended to non-stationary series. The method is applied to annual means and extremes of Auckland temperatures. Evidence is found that the mean is changing non-linearly and the variance is also changing for all three series.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 77, Issue 1, 15 February 2008, Pages 57–63
نویسندگان
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