Monitoring Structural Changes in Dynamic Time Series Models

监控动态时间序列模型中的结构变化

• 批准号: 0604670
• 负责人: Lajos Horvath
• 金额: --
• 依托单位: University of Utah
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2006
• 资助国家: 美国
• 起止时间: 2006-07-01 至 2009-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0604670&HistoricalAwards=false
• 关键词: Monitoring; Structural; Changes; Dynamic; Time

Structural stability is one of the principal objects in modern time series analysis and is of interest in fields as diverse as econometrics, geoscience, engineering, climatology, computer science and signal processing. Clearly, statistical analyses based on estimates derived from unstable relationships under the false assumption of stability are meaningless and will doubtlessly have far-reaching consequences. It is well-known that a variety of test statistics used to detect structural changes of a certain type (ie, level shifts) are also sensitive to other phenomena (ie, long memory). Examples are abundant in the literature. This indicates the need to develop new and more sophisticated procedures that not only detect existing changes but that can also identify the specific underlying mechanism that governs the observed data. Motivated by this need, the investigator's research is aimed at developing new up-to-date statistical methods that allow for a deeper understanding of the phenomenon under consideration. The framework is general enough to include ramifications to a wide variety of applications. There are two main objectives, econometrics and climatology. (1) One of the major concerns in econometrics is to validate or reject the random walk hypothesis. Commonly, test statistics used in the context have low power and are often sensitive not only to non-stationarity but also to level shifts and long memory. New methods are proposed that are able to distinguish between these phenomena. (2) In climatology, there is a great controversy how to interpret weather related data such as hurricanes, precipitation and temperatures (global warming, greenhouse effect). The investigator proposes new methods involving the detection of multiple breaks that will help to gain further insight. The investigator's research is concerned with detecting time dependent changes in environment. He believes to be able to contribute to the broad scientific discussion by developing new and nonstandard statistical methods which will have broad impacts in climatology and econometrics, and which will be of strategic interest for the federal government. Many problems invite the question if a previously assumed model is still valid and accurate or if a structural change took place, and model assumptions, hence, have to be adapted towards a new situation. Answering this questions certainly goes along with a demand for a more detailed and diversified understanding of the nature of the particular structural changes and the evolution of the competing models used to describe them.

结构稳定性是现代时间序列分析的主要目标之一，在计量经济学、地球科学、工程学、气候学、计算机科学和信号处理等领域都有广泛的研究兴趣。显然，基于在错误的稳定性假设下从不稳定关系中得出的估计数的统计分析是毫无意义的，而且无疑会产生深远的影响。众所周知，用于检测某种类型的结构变化（即电平变化）的各种检验统计量对其他现象（即长记忆）也很敏感。在文献中有大量的例子。这表明有必要制定新的和更复杂的程序，不仅检测现有的变化，而且还可以确定管理所观察到的数据的具体基本机制。出于这一需要，调查员的研究旨在开发新的最新统计方法，以便更深入地了解所考虑的现象。该框架足够通用，可以包括各种应用程序的分支。有两个主要目标，计量经济学和气候学。(1)计量经济学中的一个主要问题是验证或拒绝随机游走假设。通常情况下，测试统计量在上下文中使用的功率低，往往是敏感的，不仅非平稳性，但也电平移位和长记忆。提出了能够区分这些现象的新方法。(2)在气候学中，如何解释与天气有关的数据，如飓风，降水和温度（全球变暖，温室效应），存在很大的争议。研究人员提出了新的方法，涉及检测多个断裂，这将有助于获得进一步的了解。研究人员的研究涉及检测环境中随时间变化的变化。他相信能够通过开发新的和非标准的统计方法，对广泛的科学讨论做出贡献，这些方法将对气候学和计量经济学产生广泛的影响，并将对联邦政府产生战略利益。许多问题会引发这样的问题，即先前假设的模型是否仍然有效和准确，或者是否发生了结构性变化，因此，模型假设必须适应新的情况。探讨这个问题当然会沿着一种要求，即对特定结构变化的性质以及用来描述这些变化的相互竞争的模型的演变有更详细和更多样化的理解。