Interval Time Series Analysis with an Application to the Sterling-Dollar Exchange Rate

doi:10.1007/s11424-008-9135-5

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	Interval Time Series Analysis with an Application to the Sterling-Dollar Exchange Rate
	Han, Ai1 ; Hong, Yongmiao 2; Lai, K. K.3; Wang, Shouyang1
	2008-12-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	21 期号:4 页码:558-573
摘要	Traditional econometrics has long employed "points" to measure time series data. In real life situations, however, it suffers the loss of volatility information, since many variables are bounded by intervals in a given period. To address this issue, this paper provides a new methodology for interval time series analysis. The concept of "interval stochastic process" is formally defined as a counterpart of "stochastic process" in point-based econometrics. The authors introduce the concepts of interval stationarity, interval statistics (including interval mean, interval variance, etc.) and propose an interval linear model to investigate the dynamic relationships between interval processes. A new interval-based optimization approach for estimation is proposed, and corresponding evaluation criteria are derived. To demonstrate that the new interval method provides valid results, an empirical example on the sterling-dollar exchange rate is presented.
关键词	Evaluation criteria interval-based estimation interval linear model interval statistics interval stationarity interval stochastic process
DOI	10.1007/s11424-008-9135-5
语种	英语
资助项目	National Natural Science Foundation of China ; Research Granting Committee of Hong Kong
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000260878200006
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/6842
专题	系统科学研究所
通讯作者	Han, Ai
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China 2.Cornell Univ, Dept Econ, New York, NY 10021 USA 3.City Univ Hong Kong, Fac Business, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Han, Ai,Hong, Yongmiao,Lai, K. K.,et al. Interval Time Series Analysis with an Application to the Sterling-Dollar Exchange Rate[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2008,21(4):558-573.
APA	Han, Ai,Hong, Yongmiao,Lai, K. K.,&Wang, Shouyang.(2008).Interval Time Series Analysis with an Application to the Sterling-Dollar Exchange Rate.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,21(4),558-573.
MLA	Han, Ai,et al."Interval Time Series Analysis with an Application to the Sterling-Dollar Exchange Rate".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 21.4(2008):558-573.