Accession Number:

ADA239822

Title:

Identification of Nonlinear Times Series from First Order Cumulative Characteristics.

Descriptive Note:

Technical rept.,

Corporate Author:

FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS

Personal Author(s):

Report Date:

1991-08-01

Pagination or Media Count:

25.0

Abstract:

We consider the problem of identifying the class of time series model to which a series belongs based on observation of part of the series. Techniques of nonparametric estimation have been applied to this problem by various authors using kernel estimates of the one-step lagged conditional mean and variance functions. We study cumulative versions of Tukey regressogram estimators of such functions. These are more stable than estimates of the mean and variance functions themselves and can be used to construct confidence bands. Goodness of fit tests for specific parametric models are also developed.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE