Modelling and residual analysis of nonlinear auto-regressive time series in exponential variables
By: by P.A.W. Lewis [and] A.J. Lawrance
Contributors: Lawrance, A. J.; Naval Postgraduate School (U.S.)
Publisher: Naval Postgraduate School
Published: 1984
Place of publication: Monterey, California
Language: eng
Number of pages: 35
Subjects: Time-series analysis; Autoregression (Statistics)
Description: An approach to modelling and residual analysis of nonlinear autoregressive time series in exponential variables is presented; the approach is illustrated by analysis of a long series of wind velocity data which has first been detrended and then transformed into a stationary series with an exponential marginal distribution. The stationary series is modelled with a newly developed type of second order autoregressive process with random coefficients, called the NEAR(2) model; it has a second order autoregressive correlation structure but is nonlinear because its coefficients are random. The exponential distributional assumptions involved in this model highlight a very broad four parameter structure which combines five exponential random variables into a sixth exponential random variable; other applications of this structure are briefly considered. Dependency in the NEAR(2) process not accounted for by standard autocorrelations is explored by developing a residual analysis for time series having autoregressive correlation structure; this involves defining linear uncorrelated residuals which are dependent, and then assessing this higher order dependence by standard time series computations. Application of this residual analysis to the wind velocity data illustrates both the utility and difficulty of nonlinear time series modelling.
Notes: Title from cover.

"Prepared for: Chief of Naval Research, Arlington, Va 22217"--Cover.

"August 1984"--Cover.

"NPS55-84-19"--Cover.

DTIC Identifiers: Residual analysis, exponential variables, autoregressive time series analysis, NEAR-2 model, PE61152N.

Includes bibliographical references (p. 33-35).

"Approved for public release; distribution unlimited"--Cover.

Technical report; 1984.

ck/ 9/22/09.