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Tytuł książki

Trend estimation problems in time-series analysis

Autorzy

E. Pleszczyńska

Seria

Rozprawy Matematyczne tom/nr w serii: 104 wydano: 1973

Zawartość

Pełne teksty:
rm104_01.pdf

Warianty tytułu

Abstrakty

EN

CONTENTS
1. Introduction............................................................................................................................................. 5
2. F-estimators........................................................................................................................................... 6
3. The role of the tests J* and T* in polynomial trend estimation problems.................................. 12
4. Testing the equivalence of two linear processes........................................................................... 34
5. Comments.............................................................................................................................................. 58
References.................................................................................................................................................. 64

Słowa kluczowe

Tematy

Wydawca

Instytut Matematyczny Polskiej Akademii Nauk

Miejsce publikacji

Warszawa

Copyright

Seria

Rozprawy Matematyczne tom/nr w serii: 104

Liczba stron

64

Liczba rozdzia³ów

Opis fizyczny

Dissertationes Mathematicae, Tom CIV

Daty

wydano
1973

Twórcy

autor
E. Pleszczyńska

Bibliografia

  • [1] T. W. Anderson, The statistical analysis of time series, Y. Wiley 1971.
  • [2] S. J. Anscombe, Examinations of residuals, Proc. 4th Berkeley Symp. 1, (1961) p. 1-36.
  • [3] G. E. P. Box and G. M. Jenkins Time series analysis, forecasting and control, Holden Day 1970.
  • [4] D. E. Cox, E. J. Snell, A general definition of residuals, J. Roy. Statist. Soc. Ser. B. 30 (1968), p. 248-275.
  • [5] H. Cramer, Mathematical methods of statistics, Prinecton 1946.
  • [6] J. Durbin, G. S. Watson, Testing for serial correlation in least squares regression, I. Biometrika 37 (1950), p. 409-428.
  • [7] J. H. Farley, and M. J. Hinich, A test for a shifting slope coefficient in a linear model, J. Amer. Statist. Assoc. 65 (1970), p. 1320-1329.
  • [8] E. A. Fisher, Tests of significance in harmonic analysis, Proc. Roy. Soc. A 125 (1929), 54-59.
  • [9] P. A. Graybill, An introduction to linear statistical models, Vol. I, New York 1961.
  • [10] U. Grenander and M. Rosenblatt, Statistical analysis of stationary time-series, J. Wiley, New York 1957.
  • [11] E. J. Hannan, Time-series analysis, Methuen, London 1960.
  • [12] E. J. Hannan, Testing for a jump in the spectral function, J. Roy. St. Soc. B 23 (1961), p. 394-404.
  • [13] E. J. Hannan, Multiple time series, Wiley, New York 1970.
  • [14] H. O. Hartley, Tests of significance in harmonic analysis, Biometrics (1949), 3G, p. 194-201.
  • [15] P. Gr. Hoel, On testing for the degree of a polynomial, Technometrics 10 (1968), p. 757-767.
  • [16] A. S. Hol’evo, On sequential estimates of parameters (in Russian), Teor. Verojatnost. i Primenen. 12 (1967), p. 172-179.
  • [17] A. S. Hol’evo, On estimates of regression coefficients (in Russian), ibidem 14 (1969), p. 78- 101.
  • [18] M. G. Kendall, Table of autoregressive series, Biometrika 36 (1949), p. 267-289.
  • [19] E. L. Lehmann, Some model I problems of selection, Ann. Math. Statist. 32 (1961), p. 990-1012.
  • [20] G. J. Leppink, On the estimation of the spectral density function by the periodogram truncated at an estimated point, Report S 314 of the Statistics Department of the Central Organization for Applied Scientific Research in the Netherlands T. N. 0., Leiden 1961.
  • [21] Z. A. Lomnicki, and S. K. Zaremba, On some moments and distributions occurring in the theory of linear stochastic processes, I, Montsh. Math. 61 (1957), p. 318-358.
  • [22] Z. A. Lomnicki, On some moments and distributions occurring in the theory of linear stochastic processes, II, ibidem 63 (1959), p. 128-168.
  • [23] Z. A. Lomnicki, On the estimation of autocorrelation in time-series, Ann. Math. Statist. 28 (1957), p. 140-157.
  • [24] E. Pleszczyńska, Further applications of the T*-test to time-series analysis, Zast. Mat. 12 (1971), p. 33-61.
  • [25] Gr. Pólya, and G. Szegö, Aufgaben und Lehrsätze aus der Analysis, Vol. II. Berlin 1925.
  • [26] M. B. Priestley, The analysis of stationary processes with mixed spectra, I, J. Roy. Statist. Soc. Ser. B, 24 (1962), p. 215-233.
  • [27] M. B. Priestley, The analysis of stationary processes with mixed spectra, II, ibidem 24 (1962), p. 511-529.
  • [28] M. B. Priestley, and T. Subba Rao, A test for non-stationarity of time-series, ibidem 31 (1969), p. 140-149.
  • [29] J. Riordan, Combinatorial identities, J. Wiley, New York 1968.
  • [30] S. N. Roy, and R. C. Bose, Simultaneous interval estimation, Biometrika 24 (1953), p. 516-536.
  • [31] J. Sacks, and D. Ylvisaker, Designs for regression problems with correlated errors: many parameters, Ann. Math. Statist. 39 (1968), p. 49-69.
  • [32] P. F. Sampson, R. T. Jennrich, An application of stepwise regression to nonlinear estimation, Technometrics 10 (1968), p. 63-72.
  • [33] T. Subba Rao, The fitting of non-stationary time-series models with time-dependent parameters, J. Roy. Statist. Soc. 32 (1970), p. 312-322.
  • [34] P. Whittle, Hypothesis testing in time series analysis, Almquist and Wicksell, Uppsala 1951.
  • [35] H. Wold, A study in the analysis of stationary time series, Almquist and Wicks ell, Stockholm 1954.
  • [36] S. K. Zaremba, Kurtosis and determinate components in linear processes, Rev. Inst. Internat. Statist. 33 (1965), p. 378-413.
  • [37] S. K. Zaremba, Quartic statistics in spectral analysis, In B. Harris (ed.), Spectral analysis of time-series, Wiley and Sons, New York 1967.
  • [38] S. K. Zaremba, Tests for the presence of trends in linear processes, Diss. Math. 95 (1972).

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