基于非线性规划的指数自回归模型的辨识

讨论了指数自回归模型的辨识问题，证明了该模型最小二乘估计的目标函数的非凸性，并给出了使该函数为凸的条件，最后给出了辨识该模型的算法及该算法的收敛性，并以数值例子加以说明。     

Spectral estimation of video signals

Spectrum analyzers are ubiquitous in laboratory work concerning one dimensional signals. This is because linear operators are best examined in the frequency domain. Linear operators, such as linear filters, DCT coders, line shufflers, etc., dominate also the video systems scenario. Their frequency domain study is as appropriate and informative as it is in the case of their one-dimensional counterparts. This paper considers the problems associated with the introduction of two well-known spectral estimation techniques, the periodogram and AR estimates, to the context of television signals. The potential for application of spectral estimation to video problems is exemplified by a number of applications related to the fields of enhanced quality television and HDTV. Special attention is paid to the computational aspects, whose effective solution conditions the practical applicability of the proposed spectral estimation techniques.R. Rinaldo is currently at the Department of Electrical and Computer Engineering of the University of California, Berkeley.     

A time series approach to fatigue crack propagation

The inherently nonlinear phenomenon of fatigue crack propagation is modeled as a linear random process. To a first approximation, simple, nonstationary time series models are introduced and standard techniques for determining the parameters of autoregressive integrated moving-average processes are applied. Multiplicative time series models are next utilised for the representation of a group of crack history curves. Implementation of the models on the Virkler experimental data set yields satisfactory results. Reliable Gaussian approximations to the distribution of the time required by a crack to reach a specified critical length are obtained, and the usefulness of the approach is demonstrated when updating lifetime predictions after periodic inspections.     

Dynamic analysis of the NPP pressure sensor system

The aim of the work was to develop on-line methods of control and diagnostics of pressure sensors at a NPP. The analysis was carried out along two lines:

1. i) The detection system including the sensor itself was modeled theoretically to obtain and study its transfer function, and to establish correspondence between the spectral characteristics of the pressure signal.

2. ii) The numerical processing of the signal using the AR technique to reconstruct the transfer function and evaluate the system's response, to a step impulse, as well as the spectral analysis. The hydraulic model presented indicate that the spectral lines observed at 10 Hz are due to longitu-dinal oscillations of water in the system branches, while the response time of the detection system is effectively the time of signal retardation in the porous ceramic diaphragms of the δ-cell of the sensor itself.

     

TESTING CHANGE-POINTS IN THE EXPLOSIVE GAUSSIAN AUTOREGRESSIVE PROCESSES

Abstract. A functional limit theorem with a particular function class and topology is derived for non-ergodic type time series. This limit theorem allows us to study the asymptotic law of the associated likelihood ratio test (LRT) statistic for testing the presence of a change in the covariance parameter in the explosive Gaussian autoregressive model. We show that the level of the LRT cannot be approximated without introducing appropriate normalization. The limit law of a particular weighted likelihood ratio test is examined through a simulation study and is compared with the well-known Kolmogorov distribution obtained in the stationary case; we conclude that for practical applications when the root is really close to unity one can use the same thresholds as in the stationary case. This procedure is applied to the study of three real time series known to be non-stationary.     

Estimation in Random Coefficient Autoregressive Models

Abstract. We propose the quasi‐maximum likelihood method to estimate the parameters of an RCA(1) process, i.e. a random coefficient autoregressive time series of order 1. The strong consistency and the asymptotic normality of the estimators are derived under optimal conditions.     

SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL

Abstract. The simultaneous switching autoregressive (SSAR) model proposed by Kunitomo and Sato (A non-linearity in economic time series and disequilibrium econometric models. In Theory and Application of Mathematical Statistics (ed. A. Takemura). Tokyo:University of Tokyo Press (in Japanese), 1994; Asymmetry in economic time series and simultaneous switching autoregressive model. Struct. Change Econ. Dyn. , forthcoming (1994).) is a Markovian non-linear time series model. We investigate the finite sample as well as the asymptotic properties of the least squares estimator and the maximum likelihood (ML) estimator. Due to a specific simultaneity involved in the SSAR model, the least squares estimator is badly biased. However, the ML estimator under the assumption of Gaussian disturbances gives reasonable estimates.     

ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS

Abstract. Some simple preliminary estimators for the coefficients of mixed autoregressive moving average time series models are considered. As the first step the estimators require the fitting of a long autoregression to the data. The first two methods of the paper are non-iterative and generally inefficient. The estimators are Yule-Walker type modifications of the least squares estimators of the coefficients in auxiliary linear regression models derived, respectively, for the coefficients of the long autoregression and for the coefficients of the corresponding long moving average approximation of the model. Both of these estimators are shown to be strongly consistent and their asymptotic distributions are derived. The asymptotic distributions are used in studying the loss in efficiency and in constructing the third estimator of the paper which is an asymptotically efficient two-step estimator. A numerical illustration of the third estimator with real data is given.     

Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models

Abstract. A symbolic method which can be used to obtain the asymptotic bias and variance coefficients to order O(1/n) for estimators in stationary time series is discussed. Using this method, the large‐sample bias of the Burg estimator in the AR(p) for p = 1, 2, 3 is shown to be equal to that of the least squares estimators in both the known and unknown mean cases. Previous researchers have only been able to obtain simulation results for the Burg estimator's bias because this problem is too intractable without using computer algebra. The asymptotic bias coefficient to O(1/n) of Yule–Walker as well as least squares estimates is also derived in AR(3) models. Our asymptotic results show that for the AR(3), just as in the AR(2), the Yule–Walker estimates have a large bias when the parameters are near the nonstationary boundary. The least squares and Burg estimates are much better in this situation. Simulation results confirm our findings.     

REVERSED RESIDUALS IN AUTOREGRESSIVE TIME SERIES ANALYSIS

Abstract. Both linear and non-linear time series can have directional features which can be used to enhance the modelling and investigation of linear or non-linear autoregressive statistical models. For this purpose, reversed p th-order residuals are introduced. Cross-correlations of residuals and squared reversed residuals allow extensions of current model identification ideas. Quadratic types of partial autocorrelation functions are introduced to assess dependence associated with non-linear models which nevertheless have linear autoregressive correlation structures. The use of these residuals and their cross-correlation functions is exemplified empirically on some deseasonalized river flow data for which a first-order autoregressive model is a satisfactory second-order fit. Parallel theoretical computations are undertaken for the non-linear first-order random coefficient autoregressive model and comparisons are made. While the data are shown to be strongly non-linear, their correlational signatures are found to be convincingly different from those of a first-order autoregressive model with random coefficients.