Modelling time series when mean and variability both change

C.S. Withers, D.P. Krouse, C.P. Pearson and S. Nadarajah

Mathematics and Computers in Simulation (MATCOM), 2008, vol. 77, issue 1, 57-63

Abstract: An extended least-squares method is described which allows us to model the location and scale of a process parametrically without specifying any parametric form for the distribution of the errors. The degree of the associated polynomials is chosen using a step-down method on a table of p-values. A pseudo-likelihood ratio test is given. The concepts of upper and lower return levels are extended to non-stationary series. The method is applied to annual means and extremes of Auckland temperatures. Evidence is found that the mean is changing non-linearly and the variance is also changing for all three series.

Keywords: Changing variability; Least-squares; Likelihood ratio test; Trends (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:77:y:2008:i:1:p:57-63

DOI: 10.1016/j.matcom.2007.01.039

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