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Article: On the estimation of an instantaneous transformation for time series
Title | On the estimation of an instantaneous transformation for time series |
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Authors | |
Keywords | Autoregressive model Autoregressive transformation L-spline Monotonic function estimation Order selection |
Issue Date | 2000 |
Publisher | Wiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSB |
Citation | Journal Of The Royal Statistical Society. Series B: Statistical Methodology, 2000, v. 62 n. 2, p. 383-397 How to Cite? |
Abstract | We modify Ramsay's algorithm for estimating monotonic transformations in regression and extend it to autoregression, where strict monotonicity is an essential requirement. Compared with other methods, our method can capture some characteristics that are pertinent to the time series and is much easier to implement. An order selection method is introduced and developed. Some real data sets are analysed. |
Persistent Identifier | http://hdl.handle.net/10722/82983 |
ISSN | 2023 Impact Factor: 3.1 2023 SCImago Journal Rankings: 4.330 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Xia, Y | en_HK |
dc.contributor.author | Tong, H | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.contributor.author | Zhu, LX | en_HK |
dc.date.accessioned | 2010-09-06T08:35:36Z | - |
dc.date.available | 2010-09-06T08:35:36Z | - |
dc.date.issued | 2000 | en_HK |
dc.identifier.citation | Journal Of The Royal Statistical Society. Series B: Statistical Methodology, 2000, v. 62 n. 2, p. 383-397 | en_HK |
dc.identifier.issn | 1369-7412 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82983 | - |
dc.description.abstract | We modify Ramsay's algorithm for estimating monotonic transformations in regression and extend it to autoregression, where strict monotonicity is an essential requirement. Compared with other methods, our method can capture some characteristics that are pertinent to the time series and is much easier to implement. An order selection method is introduced and developed. Some real data sets are analysed. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Wiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSB | en_HK |
dc.relation.ispartof | Journal of the Royal Statistical Society. Series B: Statistical Methodology | en_HK |
dc.subject | Autoregressive model | en_HK |
dc.subject | Autoregressive transformation | en_HK |
dc.subject | L-spline | en_HK |
dc.subject | Monotonic function estimation | en_HK |
dc.subject | Order selection | en_HK |
dc.title | On the estimation of an instantaneous transformation for time series | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1369-7412&volume=62&spage=383&epage=397&date=2000&atitle=On+the+estimation+of+an+instantaneous+transformation+for+time+series | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1111/1467-9868.00238 | - |
dc.identifier.scopus | eid_2-s2.0-0034364965 | en_HK |
dc.identifier.hkuros | 49049 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0034364965&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 62 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 383 | en_HK |
dc.identifier.epage | 397 | en_HK |
dc.identifier.isi | WOS:000086433600011 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Xia, Y=7403027730 | en_HK |
dc.identifier.scopusauthorid | Tong, H=7201359749 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.scopusauthorid | Zhu, LX=7404201068 | en_HK |
dc.identifier.issnl | 1369-7412 | - |