Accession Number:

ADA222711

Title:

Reversed Residuals in Autoregressive Time Series Analysis

Descriptive Note:

Technical rept.

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Personal Author(s):

Report Date:

1990-04-01

Pagination or Media Count:

16.0

Abstract:

Both linear and nonlinear time series can have directional features, features which indicate that the series do not maintain identical statistical properties when the direction on the time scale is reversed. The main purpose of the present paper is to develop the analysis of these features and to indicate and illustrate how they can be used for the investigation and modelling of linear or nonlinear autoregressive statistical models. In particular, the aim of the paper is to introduce the idea of reversed residuals and to develop some of their properties. Particular pairs of reversed and ordinary residuals are shown to produce partial autocorrelation coefficients quadratic types of partial autocorrelation coefficients are introduced to assess dependence associated with nonlinear models which nevertheless have linear autoregressive Yule-Walker correlation structures. kr

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE