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Identification of a unit root based on aggregate time series: a polyvariogram approach.

Tam, Chik Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 66-67). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Problem of identifying d in ARIMA model --- p.1 / Chapter 1.2 --- Another Approach --- p.4 / Chapter 2 --- Polyvariogram approach --- p.8 / Chapter 2.1 --- Variogram --- p.8 / Chapter 2.2 --- Polyvariogram --- p.11 / Chapter 2.3 --- A testing procedure --- p.13 / Chapter 2.4 --- Testing with integrated white noise series --- p.14 / Chapter 3 --- Aggregate time series in ARIMA --- p.17 / Chapter 3.1 --- The preservation of unity in ARIMA model under aggregation --- p.17 / Chapter 3.1.1 --- "Aggregation model of ARIMA(0,1,0)" --- p.20 / Chapter 3.1.2 --- "Aggregation model of ARIMA(0,1,1)" --- p.23 / Chapter 3.1.3 --- "Aggregation model of ARIMA(1,1,0)" --- p.26 / Chapter 4 --- Aggregation effects on the power of the test --- p.33 / Chapter 4.1 --- "Testing integrated white noise ARIMA(0,1.0) under aggregation" --- p.35 / Chapter 4.1.1 --- Simulation scheme --- p.35 / Chapter 4.1.2 --- Result --- p.39 / Chapter 4.2 --- "Testing ARIMA(0,1,1) under aggregation" --- p.42 / Chapter 4.2.1 --- Simulation scheme --- p.42 / Chapter 4.2.2 --- Result --- p.45 / Chapter 4.3 --- "Testing ARIMA(1, 1,0) under aggregation" --- p.52 / Chapter 4.3.1 --- Simulation scheme --- p.53 / Chapter 4.3.2 --- Result --- p.56 / Chapter 5 --- Conclusions and Discussions --- p.64

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325930
Date January 2007
ContributorsTam, Chik Fai., Chinese University of Hong Kong Graduate School. Division of Statistics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, v, 67 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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