摘要翻译:
光滑转移自回归模型被广泛应用于捕捉单变量和多元时间序列中的非线性。通常假定定解的存在性,隐式或显式。本文给出了向量星模型平稳性和遍历性的条件。关键条件是某些矩阵的联合谱半径小于1,如果只有独立谱半径小于1,则不能保证联合谱半径小于1。我们的结果允许使用最近从计算数学中引进的工具箱来验证向量星模型的平稳性和遍历性。
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英文标题:
《Stationarity and ergodicity of vector STAR models》
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作者:
Igor L. Kheifets and Pentti J. Saikkonen
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最新提交年份:
2019
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分类信息:
一级分类:Mathematics 数学
二级分类:Statistics Theory 统计理论
分类描述:Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计:例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Statistics 统计学
二级分类:Statistics Theory 统计理论
分类描述:stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近,贝叶斯推论,决策理论,估计,基础,推论,检验。
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英文摘要:
Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed, implicitly or explicitly. In this paper we describe conditions for stationarity and ergodicity of vector STAR models. The key condition is that the joint spectral radius of certain matrices is below 1, which is not guaranteed if only separate spectral radii are below 1. Our result allows to use recently introduced toolboxes from computational mathematics to verify the stationarity and ergodicity of vector STAR models.
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PDF链接:
https://arxiv.org/pdf/1805.11311