Method for time-varying series analysis

Zhihua Wang; Huimin Fu

Method for time-varying series analysis

Zhihua Wang^*
, Huimin Fu

^*Corresponding author for this work

School of Aeronautic Science and Engineering

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

The time-varying series model whose white-noise standard deviation varies with time is researched. A method for determining the function forms of white-noise standard deviation, autoregressive and moving average coefficients is established. The least square method and the maximum likelihood method are used respectively to determine the parameters. The prediction formula and its error estimation are also established. Its regression and time-varying autoregression model are presented.

Original language	English
Pages (from-to)	353-357
Number of pages	5
Journal	Jixie Qiangdu/Journal of Mechanical Strength
Volume	28
Issue number	3
State	Published - Jun 2006

Keywords

Non-stationary series
Prediction
Time-varying autoregression
Time-varying parameter
Time-varying series

Cite this

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title = "Method for time-varying series analysis",

abstract = "The time-varying series model whose white-noise standard deviation varies with time is researched. A method for determining the function forms of white-noise standard deviation, autoregressive and moving average coefficients is established. The least square method and the maximum likelihood method are used respectively to determine the parameters. The prediction formula and its error estimation are also established. Its regression and time-varying autoregression model are presented.",

keywords = "Non-stationary series, Prediction, Time-varying autoregression, Time-varying parameter, Time-varying series",

author = "Zhihua Wang and Huimin Fu",

year = "2006",

month = jun,

language = "英语",

volume = "28",

pages = "353--357",

journal = "Jixie Qiangdu/Journal of Mechanical Strength",

issn = "1001-9669",

publisher = "Chinese Mechanical Engineering Society",

number = "3",

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TY - JOUR

T1 - Method for time-varying series analysis

AU - Wang, Zhihua

AU - Fu, Huimin

PY - 2006/6

Y1 - 2006/6

N2 - The time-varying series model whose white-noise standard deviation varies with time is researched. A method for determining the function forms of white-noise standard deviation, autoregressive and moving average coefficients is established. The least square method and the maximum likelihood method are used respectively to determine the parameters. The prediction formula and its error estimation are also established. Its regression and time-varying autoregression model are presented.

AB - The time-varying series model whose white-noise standard deviation varies with time is researched. A method for determining the function forms of white-noise standard deviation, autoregressive and moving average coefficients is established. The least square method and the maximum likelihood method are used respectively to determine the parameters. The prediction formula and its error estimation are also established. Its regression and time-varying autoregression model are presented.

KW - Non-stationary series

KW - Prediction

KW - Time-varying autoregression

KW - Time-varying parameter

KW - Time-varying series

UR - https://www.scopus.com/pages/publications/33745649851

M3 - 文章

AN - SCOPUS:33745649851

SN - 1001-9669

VL - 28

SP - 353

EP - 357

JO - Jixie Qiangdu/Journal of Mechanical Strength

JF - Jixie Qiangdu/Journal of Mechanical Strength

IS - 3

ER -

Method for time-varying series analysis

Abstract

Keywords

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