DETERMINING THE DEGREE OF DIFFERENCING FOR TIME SERIES VIA THE LOG SPECTRUM
DETERMINING THE DEGREE OF DIFFERENCING FOR TIME SERIES VIA THE LOG SPECTRUM
复制标题
通过对数谱确定时间序列的差分程度
DOI：
10.1111/j.1467-9892.1982.tb00340.x
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发表时间：
1982
影响因子：
0.9
通讯作者：
G. Janacek
中科院分区：
文献类型：
--
作者：
G. Janacek
.虽然许多时间序列需要差分模型可以拟合之前，它已被证明，“overdifferencing”可能会导致拟合模型与长期预测性能差。当适当的差分度是分数时，这可能会出现真实的问题。我们表明，对数谱是一个自然的数量时，试图确定所需的差异程度和轮廓所需的分布理论。的想法延伸到季节性的情况下，可以用来评估是否季节性差异是适当的。
. While many time series require differencing before a model may be fitted it has been shown that ‘overdifferencing’ may result in a fitted model with poor long term forecasting properties. This may present real problems when the degree of differencing which is appropriate is fractional. We show that the log spectrum is a natural quantity to consider when attempting to determine the degree of differencing required and outline the distribution theory required. The ideas are shown to extend to the seasonal case and can be used to assess whether seasonal differencing is appropriate.