Testing procedure for unit root based on polyvariogram.

• Other Authors: Ho, Sin Yu.
• Format: Others
• Language: English; Chinese
• Published: 2011
• Subjects: Spatial analysis (Statistics) > Mathematical models; Time-series analysis
• Online Access: http://library.cuhk.edu.hk/record=b5894535; http://repository.lib.cuhk.edu.hk/en/item/cuhk-327085

Ho, Sin Yu. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. === Includes bibliographical references (leaves 49-52). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 1.1 --- Autoregressive moving average time series --- p.1 === Chapter 1.2 --- Integrated stationary time series --- p.3 === Chapter 1.3 --- Some existing methods of identifying d --- p.4 === Chapter 1.4 --- Introduction to Cressie's --- p.6 === Chapter 1.5 --- Outline of thesis --- p.6 === Chapter 2 --- Variogram and Polyvariogram --- p.7 === Chapter 2.1 --- Introduction to variogram --- p.7 === Chapter 2.2 --- Polyvariogram of order b --- p.8 === Chapter 3 --- Testing Procedure --- p.10 === Chapter 3.1 --- Testing for an integrated white noise series --- p.10 === Chapter 3.2 --- Testing for an integrated ARM A series --- p.11 === Chapter 3.3 --- Testing for an integrated linear process --- p.12 === Chapter 4 --- Simulation Results --- p.14 === Chapter 4.1 --- Choice of series length n and r --- p.14 === Chapter 4.2 --- Integrated ARMA series --- p.21 === Chapter 4.3 --- Integrated linear process --- p.39 === Chapter 4.4 --- Comparisons with some methods in literatures --- p.43 === Chapter 4.5 --- An illustrative example --- p.45 === Chapter 5 --- Concluding Remark --- p.48 === Bibliography --- p.49