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HAC-Robust Measurement of the Duration of a Trendless Subsample in a Global Climate Time Series 被引量:1
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作者 Ross R. McKitrick 《Open Journal of Statistics》 2014年第7期527-535,共9页
The IPCC has drawn attention to an apparent leveling-off of globally-averaged temperatures over the past 15 years or so. Measuring the duration of the hiatus has implications for determining if the underlying trend ha... The IPCC has drawn attention to an apparent leveling-off of globally-averaged temperatures over the past 15 years or so. Measuring the duration of the hiatus has implications for determining if the underlying trend has changed, and for evaluating climate models. Here, I propose a method for estimating the duration of the hiatus that is robust to unknown forms of heteroskedasticity and autocorrelation (HAC) in the temperature series and to cherry-picking of endpoints. For the specific case of global average temperatures I also add the requirement of spatial consistency between hemispheres. The method makes use of the Vogelsang-Franses (2005) HAC-robust trend variance estimator which is valid as long as the underlying series is trend stationary, which is the case for the data used herein. Application of the method shows that there is now a trendless interval of 19 years duration at the end of the HadCRUT4 surface temperature series, and of 16 - 26 years in the lower troposphere. Use of a simple AR1 trend model suggests a shorter hiatus of 14 - 20 years but is likely unreliable. 展开更多
关键词 Global WARMING TREND hac-robust Trendless Subsample
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中值无偏修正的预白化HAC法在伪回归中的应用
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作者 刘汉中 刘广 《系统工程理论与实践》 EI CSSCI CSCD 北大核心 2018年第5期1310-1320,共11页
传统预白化HAC法存在有限样本偏差,使得平稳过程之间回归时存在伪回归.本文利用一阶和高阶的中值无偏估计对传统预白化HAC进行修正,通过修正的预白化HAC对t统计量标准误进行调整,从而进一步研究其在平稳过程之间伪回归中的适用性.研究... 传统预白化HAC法存在有限样本偏差,使得平稳过程之间回归时存在伪回归.本文利用一阶和高阶的中值无偏估计对传统预白化HAC进行修正,通过修正的预白化HAC对t统计量标准误进行调整,从而进一步研究其在平稳过程之间伪回归中的适用性.研究表明:第一,中值无偏修正的预白化HAC法能减少长期方差的有限样本偏差并能降低伪回归概率;第二,修正的预白化HAC对持久性、GARCH类异方差和非正态随机新息等都具有稳健性. 展开更多
关键词 预白化HAC法 中值无偏估计 伪回归 稳健性
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