随机系数INAR模型的一致模型选择程序
1School of Statistics, Southwestern University of Finance and Economics, Chengdu 611130, China.
Entropy (Basel, Switzerland)
|August 26, 2023
概括
这项研究引入了一个新的时间序列分析处罚标准,克服了复杂模型中传统信息标准 (如AIC和BIC) 的问题. 该方法有效地选择随机系数整数值时间序列分析中的变量.
科学领域:
- 统计 统计 统计 统计
- 时间序列分析时间序列分析
- 计量经济学 计量经济学 计量经济学
背景情况:
- 信息标准 (AIC,BIC) 对于时间序列滞后顺序选择至关重要.
- 基于概率的标准很难应用于随机系数整数值的时间序列模型,因为复杂的概率函数.
- 现有的方法在准确选择这些复杂的时间序列结构的模型方面面临挑战.
研究的目的:
- 开发一种新的惩罚标准,用于在随机系数整数值时间序列中选择模型.
- 在这种特定的建模环境中,解决传统信息标准 (AIC,BIC) 的局限性.
- 为确定滞后顺序和选择变量提供强大有效的方法.
主要方法:
- 使用从条件最小方程估计的估计方程制定处罚标准.
- 拟议的处罚标准的非对称性属性的导出.
- 数字模拟研究和比较分析以评估性能.
主要成果:
- 新的处罚标准被证明具有合理的非对称性质.
- 模拟研究表明,在放松条件下,该标准在变量选择中的有效性.
- 对比分析证实了新方法比传统方法的优越性.
结论:
- 拟议的处罚标准为随机系数整数值时间序列中的模型选择提供了一个可行的和有效的替代方案.
- 该方法证明了连贯的变量选择性能,即使是复杂的数据结构.
- 对传染病和地震频率数据的成功应用凸显了它的实际实用性.
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