응용통계연구 (The Korean Journal of Applied Statistics)

  • 제8권2호
  • /
  • Pages.187-200
  • /
  • 1995
  • /
  • 1225-066X(pISSN)
  • /
  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

비선형시계열 오차를 갖는 회귀모형에 관한 연구

A study on a regression model with nonlinear time series errors

  • 황선영 ((140-742) 서울 용산구 청파동 2가, 숙명여자대학교 통계학과)
  • 발행 : 1995.09.01
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

본 논문에서는 회귀모형에서의 오차항이 비선형시계열(nonlinear time series)을 따르는 경우에 오차항이 선형인지를 검정하는 방법에 대해서 연구하고 있다. 이를 위해서 회귀계수의 대표본 성질을 규명하고 잔차를 이용한 오차항의 선형성 검정통계량을 유도하고 그 성질을 연구해 보았다.

This paper is concerned with a regression model with nonlinear time series errors. Testing procedures for linearity of error terms are studied. To this end, large-sample properties of estimators of regression parameters and autoregression parameter are obtained. These results are then used to develop test statistics for testing linearity of errors. Some simulation studies are shown.

키워드

참고문헌

  1. International Statistics Review v.59 A Kolmogorov-Smimov type statistic with application to test for nonlinearity in time series An,H.;Cheng,B.
  2. Time Series:Theory and Methods Brockwell,P.D.;Davis,R.A.
  3. Biometrika v.37;38 Testing for serial correlation in least squares regression,Ⅰ,Ⅱ Durbin,J.;Watson,G.S.
  4. Journal of Time Series Analysis v.6 Random coefficient autoregressive processes:A Markov chain analysis of stationarity and finitness of moments Feigin,P.D.;Tweedie,R.L.
  5. Introcduction to Statistical Time Seies Fuller,W.A.
  6. Stochastic Process and Their Applications v.46 Asymptotic optimal inference for a class of nonlinear time series models Hwang,S.Y.;Basawa,I.V.
  7. Journal of Statistical Planning and Inference v.36 Parameter estimation in a regression model with random coefficient autoregressive errors Hwang,S.Y.;Basawa,I.V.
  8. Journal of the Royal Statistical Society, Series A The analysis of economic time series-partⅠ;Prices Kendal,M.G.
  9. Annals of Statistics v.6 On conditional least squares estimation for stochastic processes Klimko,L.A.;Nelson,P.I.
  10. Biometrika v.65 On a measure of lack of fit in time series models Ljung,G.M.;Box,G.E.P.
  11. Rnadom Coefficient Autoregressive Models:An Introduction Nicholls,D.F.;Quinn,B.G.
  12. Journal of Applied Probability v.21 A threshold AR(1) Petruccelli,J.D.;Woolford,S.W.
  13. Lecture Notes in Statistics v.21 Threshold Models in Non-linear Time Series Analysis Tong,H.
  14. Non-linear Time Series Tong,H.