کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1148564 | 957840 | 2007 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Weighted Dickey-Fuller processes for detecting stationarity
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Aiming at monitoring a time series to detect stationarity as soon as possible, we introduce monitoring procedures based on kernel-weighted sequential Dickey-Fuller (DF) processes, and related stopping times, which may be called weighted DF control charts. Under rather weak assumptions, (functional) central limit theorems are established under the unit root null hypothesis and local-to-unity alternatives. For general dependent and heterogeneous innovation sequences the limit processes depend on a nuisance parameter. In this case of practical interest, one can use estimated control limits obtained from the estimated asymptotic law. Another easy-to-use approach is to transform the DF processes to obtain limit laws which are invariant with respect to the nuisance parameter. We provide asymptotic theory for both approaches and compare their statistical behavior in finite samples by simulation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 137, Issue 12, 1 December 2007, Pages 4011-4030
Journal: Journal of Statistical Planning and Inference - Volume 137, Issue 12, 1 December 2007, Pages 4011-4030
نویسندگان
Ansgar Steland,