In this paper the limiting distribution of the least square estimate for the autoregressive coefficient of a nearly unit root model with GARCH errors is derived. Since the limiting distribution depends on the unknown ...In this paper the limiting distribution of the least square estimate for the autoregressive coefficient of a nearly unit root model with GARCH errors is derived. Since the limiting distribution depends on the unknown variance of the errors, an empirical likelihood ratio statistic is proposed from which confidence intervals can be constructed for the nearly unit root model without knowing the variance. To gain an intuitive sense for the empirical likelihood ratio, a small simulation for the asymptotic distribution is given.展开更多
随着社会的进步,统计数据由过去的年度数据变为如今的季度、月度和日度数据,有些以实时交易为基础的超高频金融数据达到了按秒为间隔的频率,这些数据被称为季节时间序列。季节时间序列研究已经成为近十年来经济计量学和统计学中的热点,J...随着社会的进步,统计数据由过去的年度数据变为如今的季度、月度和日度数据,有些以实时交易为基础的超高频金融数据达到了按秒为间隔的频率,这些数据被称为季节时间序列。季节时间序列研究已经成为近十年来经济计量学和统计学中的热点,Journal of Econometrics(1993,volume55)就此问题进行了专题讨论。本文按照历史发展顺序对季节性时间序列理论进行了系统地介绍,并对这一领域的前沿热点问题进行了评述和展望。展开更多
The tide level displays information about the state of the sea current and the tidal motion. The tide level of the southern coast of Japan Island is affected strongly by Kuroshio Current flowing in the western part of...The tide level displays information about the state of the sea current and the tidal motion. The tide level of the southern coast of Japan Island is affected strongly by Kuroshio Current flowing in the western part of North Pacific Ocean. When Kuroshio takes the straight path and flow along the Japan Islands, the tide level increases, and it is calculated from two tide level data observed at Kushimoto and Uragami in the southern part of Kii Peninsula. In contrast, the tide level decreases at the time when Kuroshio leaves from the Japan Islands. In this paper, the hourly tidal data are analyzed using the Autocorrelation Function (ACF) and the Mutual Information (MI) and the phase trajectories at first. We classify the results into 5 types of tidal motion. Each categorized type is investigated and characterized precisely using the mean tide level and the unit root test (ADF test) next. The frequency of the type having unstable tidal motion increases when the Kuroshio Current is non-meandering or in a transition state or the tide level is high, and the type shows a non-stationary process. On the other hand, when the Kuroshio Current meanders, the tidal motion tends to take a periodical and stable state and the motion is a stationary process. Though it is not frequent, we also discover a type of stationary and irregular tidal motion.展开更多
基金Supported by the National Natural Science Foundation of China(10801118)Specialized Research Fund for the Doctor Program of Higher Education(200803351094)
文摘In this paper the limiting distribution of the least square estimate for the autoregressive coefficient of a nearly unit root model with GARCH errors is derived. Since the limiting distribution depends on the unknown variance of the errors, an empirical likelihood ratio statistic is proposed from which confidence intervals can be constructed for the nearly unit root model without knowing the variance. To gain an intuitive sense for the empirical likelihood ratio, a small simulation for the asymptotic distribution is given.
文摘随着社会的进步,统计数据由过去的年度数据变为如今的季度、月度和日度数据,有些以实时交易为基础的超高频金融数据达到了按秒为间隔的频率,这些数据被称为季节时间序列。季节时间序列研究已经成为近十年来经济计量学和统计学中的热点,Journal of Econometrics(1993,volume55)就此问题进行了专题讨论。本文按照历史发展顺序对季节性时间序列理论进行了系统地介绍,并对这一领域的前沿热点问题进行了评述和展望。
文摘The tide level displays information about the state of the sea current and the tidal motion. The tide level of the southern coast of Japan Island is affected strongly by Kuroshio Current flowing in the western part of North Pacific Ocean. When Kuroshio takes the straight path and flow along the Japan Islands, the tide level increases, and it is calculated from two tide level data observed at Kushimoto and Uragami in the southern part of Kii Peninsula. In contrast, the tide level decreases at the time when Kuroshio leaves from the Japan Islands. In this paper, the hourly tidal data are analyzed using the Autocorrelation Function (ACF) and the Mutual Information (MI) and the phase trajectories at first. We classify the results into 5 types of tidal motion. Each categorized type is investigated and characterized precisely using the mean tide level and the unit root test (ADF test) next. The frequency of the type having unstable tidal motion increases when the Kuroshio Current is non-meandering or in a transition state or the tide level is high, and the type shows a non-stationary process. On the other hand, when the Kuroshio Current meanders, the tidal motion tends to take a periodical and stable state and the motion is a stationary process. Though it is not frequent, we also discover a type of stationary and irregular tidal motion.
