This paper considers a sequence of misspecification tests for a flexible nonlinear time series model. The model is a generalization of both the smooth transition autoregressive (STAR) and the autoregressive artificial neural network (AR-ANN) models. The tests are Lagrange multiplier (LM) type...

The Pearson distribution system can represent wide class of distributions with various skewness and kurtosis. We develop a practical approach of using all types of its distribution system including the type-IV distribution which was difficult to implement. Copyright 2003 Blackwell Publishing Ltd.

In Keich (2000),we define a stationary tangent process, or a locally optimal stationary approximation, to a real non-stationary smooth Gaussian process. This paper extends the idea by constructing a discrete tangent - a `locally' optimal stationary approximation - for a discrete time, real...

Dynamic models with parameters that are allowed to depend on the state of a hidden Markov chain have become a popular tool for modelling time series subject to changes in regime. An important question that arises in applications involving such models is how to determine the number of states...

In a series of papers, Lindgren (1975a, 1985) and de Maré (1980) set the principles of optimal alarm systems and obtained the basic results. Application of these ideas to linear discrete time-series models was carried out by Svensson et al. (1996). In this paper, we suggest a Bayesian...

Let observations (X_1, H ,X_n) be generated by a harmonic model such that X_t=A_0 cos omega_0t + B_0 sin omega_0t + epsilon _t, where A_0,B_0, omega_0 are constants and ( epsilon _t) is a stationary process with zero mean and finite variance. The estimation of A_0,B_0, omega_0 by the method of...

This paper describes artificial neural network based pure significance tests for the unit root hypothesis against nonlinear alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken. Copyright 2003 Blackwell...

This article provides various comprehensive comparisons between Breitung-Gouriéroux and Granger-Hallman rank statistics for the unit root test. New analytical asymptotic properties for the Granger-Hallman rank statistic are demonstrated. The statistic is of a Dickey-Fuller type, where the...

In this paper, we give statistical analyses and simulation studies on the Lyapunov exponents estimated from noisy chaotic time series. Through the Jacobian estimation approach, the asymptotic distribution of the estimated Lyapunov exponents are studied and characterized from the observed noisy...

_This paper attempts to find the possibilities of simplifying a multiple time series. We consider a dynamic factor model, Z_t=[sum]_i=1-super-m Lambda infiX_t-i+G epsilon _t, where Z_t is a k-dimensional Gaussian stationary time series, X_t is an unobservable r-dimensional factor series (K=r)...