Nonparametric and Robust Approach in Time Series Analysis
| Project/Area Number |
16540110
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Kagoshima University |
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Principal Investigator |
KONDO Masao Kagoshima University, Faculty of Science, Professor, 理学部, 教授 (70117505)
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| Co-Investigator(Kenkyū-buntansha) |
YAMATO Hajime Kagoshima University, Faculty of Science, Professor, 理学部, 教授 (90041227)
INADA Koichi Kagoshima University, Faculty of Science, Professor, 理学部, 教授 (20018899)
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| Project Period (FY) |
2004 – 2005
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| Project Status |
Completed (Fiscal Year 2005)
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| Budget Amount *help |
¥2,400,000 (Direct Cost: ¥2,400,000)
Fiscal Year 2005: ¥1,000,000 (Direct Cost: ¥1,000,000)
Fiscal Year 2004: ¥1,400,000 (Direct Cost: ¥1,400,000)
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| Keywords | time series analysis / nonparametric / robust / ノンパラメトリック法 / ロバスト性 |
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| Research Abstract |
This research is concerned with the estimation of the autocorrelation of a stationary Gaussian process by nonparametric and robust method without assuming a specific parametric model, and the tests based on nonparametric spectral estimators in time series analysis.
We discuss the estimation of the autocorrelation based on limiter estimating functions for a stationary Gaussian process having the representation of an infinite moving average. Several new estimators are proposed and their asymptotic distributions are obtained. The estimation of the autocorrelation of a stationary Gaussian process with additive outliers is discussed. The biases of several estimators of the autocorrelation based on limiter estimating functions are compared.
We consider to test whether the integral of appropriate function of the spectral density is equal to a given constant or not. For this problem a test based on a nonparametric spectral estimator is proposed, and the asymptotic power evaluation under a sequence of nonparametric contiguous alternatives is given. We discuss to test whether the integral of appropriate function of the spectral density of a process, is equal to that of the other process, or not.
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Report
(3 results)
Research Products
(2 results)
