منابع مشابه
Testing stationarity of functional time series
Economic and financial data often take the formof a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that must be addressed, before an attempt is made to statistically model such data, is whether these curves...
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Deciding whether seasonality is of a stochastic nature, and thus slowly changing over time, or deterministic and thus repeating in the same way each season can have a substantial impact on forecast accuracy. Tests for stochastic seasonality, called seasonal unit root tests, have been developed for certain common seasonal periods, like 12 (monthly data) 4 and 2, but until now have not been avail...
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In a first order autoregressive model with drift, we derive the likelihood ratio test for a unit root against the stationary alternative. We also derive the test in a state space model with trend. Finite sample and asymptotic critical values are obtained by Monte Carlo simulations. A simulation study investigates the power performance of the likelihood ratio test and we also examine how a bias ...
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Many watershed models used within the hydrologic research community assume (by default) stationary conditions, that is, the key watershed properties that control water flow are considered to be time invariant. This assumption is rather convenient and pragmatic and opens up the wide arsenal of (multivariate) statistical and nonlinear optimization methods for inference of the (temporally fixed) m...
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Software testing techniques are widely used to assure properties such as dependability, as well as to gather system usage information to support software evolution. However, in spite of such techniques, comprehensive testing of commercial-grade software is rarely performed, resulting in software that is released with neglected test obligations. The dissemination power of the Internet and the in...
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ژورنال
عنوان ژورنال: Bulletin of informatics and cybernetics
سال: 1997
ISSN: 0286-522X
DOI: 10.5109/13459