A Generalization of Some Classical Time Series Tools

Publication: Research - peer-reviewJournal article – Annual report year: 2001

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A Generalization of Some Classical Time Series Tools. / Nielsen, Henrik Aalborg; Madsen, Henrik.

In: Computational Statistics & Data Analysis, Vol. 37, No. 1, 2001, p. 13-31.

Publication: Research - peer-reviewJournal article – Annual report year: 2001

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Nielsen, Henrik Aalborg; Madsen, Henrik / A Generalization of Some Classical Time Series Tools.

In: Computational Statistics & Data Analysis, Vol. 37, No. 1, 2001, p. 13-31.

Publication: Research - peer-reviewJournal article – Annual report year: 2001

Bibtex

@article{57a1274fb2fe4072aa4e160cd9335fcb,
title = "A Generalization of Some Classical Time Series Tools",
keywords = "Lagged scatter plot, R-squared, Bootstrap, Smoothing, Non-linear time series, Independence, Non-parametric",
publisher = "Elsevier BV",
author = "Nielsen, {Henrik Aalborg} and Henrik Madsen",
year = "2001",
volume = "37",
number = "1",
pages = "13--31",
journal = "Computational Statistics & Data Analysis",
issn = "0167-9473",

}

RIS

TY - JOUR

T1 - A Generalization of Some Classical Time Series Tools

A1 - Nielsen,Henrik Aalborg

A1 - Madsen,Henrik

AU - Nielsen,Henrik Aalborg

AU - Madsen,Henrik

PB - Elsevier BV

PY - 2001

Y1 - 2001

N2 - In classical time series analysis the sample autocorrelation function (SACF) and the sample partial autocorrelation function (SPACF) has gained wide application for structural identification of linear time series models. We suggest generalizations, founded on smoothing techniques, applicable for structural identification of non-linear time series models. A similar generalization of the sample cross correlation function is discussed. Furthermore, a measure of the departure from linearity is suggested. It is shown how bootstrapping can be applied to construct confidence intervals under independence or linearity. The generalizations do not prescribe a particular smoothing technique. In fact, when the smoother is replaced by a linear regression the generalizations reduce to close approximations of SACF and SPACF. For this reason a smooth transition from the linear to the non-linear case can be obtained by varying the bandwidth of a local linear smoother. By adjusting the flexibility of the smoother the power of the tests for independence and linearity against specific alternatives can be adjusted. The generalizations allow for graphical presentations, very similar to those used for SACF and SPACF. In this paper the generalizations are applied to some simulated data sets and to the Canadian lynx data. The generalizations seem to perform well and the measure of the departure from linearity proves to be an important additional tool.

AB - In classical time series analysis the sample autocorrelation function (SACF) and the sample partial autocorrelation function (SPACF) has gained wide application for structural identification of linear time series models. We suggest generalizations, founded on smoothing techniques, applicable for structural identification of non-linear time series models. A similar generalization of the sample cross correlation function is discussed. Furthermore, a measure of the departure from linearity is suggested. It is shown how bootstrapping can be applied to construct confidence intervals under independence or linearity. The generalizations do not prescribe a particular smoothing technique. In fact, when the smoother is replaced by a linear regression the generalizations reduce to close approximations of SACF and SPACF. For this reason a smooth transition from the linear to the non-linear case can be obtained by varying the bandwidth of a local linear smoother. By adjusting the flexibility of the smoother the power of the tests for independence and linearity against specific alternatives can be adjusted. The generalizations allow for graphical presentations, very similar to those used for SACF and SPACF. In this paper the generalizations are applied to some simulated data sets and to the Canadian lynx data. The generalizations seem to perform well and the measure of the departure from linearity proves to be an important additional tool.

KW - Lagged scatter plot

KW - R-squared

KW - Bootstrap

KW - Smoothing

KW - Non-linear time series

KW - Independence

KW - Non-parametric

JO - Computational Statistics & Data Analysis

JF - Computational Statistics & Data Analysis

SN - 0167-9473

IS - 1

VL - 37

SP - 13

EP - 31

ER -