Mathematical Sciences: Inference for Nonstationary and Nonlinear Time Series

数学科学：非平稳和非线性时间序列的推理

• 批准号: 8911802
• 负责人: Ching-Zong Wei
• 金额: $ 5.74万
• 依托单位: University of Maryland, College Park
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1989
• 资助国家: 美国
• 起止时间: 1989-06-15 至 1991-11-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=8911802&HistoricalAwards=false
• 关键词: Mathematical; Sciences; Inference; Nonstationary; Nonlinear

The principal investigator will work on two projects. The first project is concerned with inference for nonstationary time series. The main objective is to study the consistency and efficiency of the model selection procedures that are either based on information criteria or on the predictive least squares principle. The second project is concerned with the inference for nonlinear time series. The main objective is to establish a unified estimation theory for the nonlinear autoregressive model and a general computation method for its functionals. Nonlinearity tests and conditions for stationarity are also considered. Since in applications the problems in general are nonstationary and nonlinear, these projects will contribute not only to the field of statistics, but also to other branches of science.

首席研究员将从事两个项目。 第一个项目涉及非平稳时间序列的推理。 主要目标是研究基于信息标准或预测最小二乘原理的模型选择程序的一致性和效率。 第二个项目涉及非线性时间序列的推理。 主要目标是建立非线性自回归模型的统一估计理论及其泛函的通用计算方法。 还考虑了非线性测试和平稳性条件。 由于在应用中问题通常是非平稳和非线性的，因此这些项目不仅将为统计领域做出贡献，而且还将为其他科学分支做出贡献。