[EMAIL PROTECTED] (Pradyumna S Upadrashta) wrote in message news:<[EMAIL PROTECTED]>... > Hi Dave, > > I suspected that this was the case. I did a simple simulation using > normal random numbers, rescaled using a log-transform; indeed, the acf > shows significant peaks that go on 'forever'. > I suspect that a nonstationarity in the original time-series is the > cause of the behavior I see, yet, if the process is nonlinear, then I > can't justify elminating the nonstationarity which might destroy the (if > any) nonlinear dynamics of the process that i'm interested in. I'm > somewhat stuck on what to do here. > > What is considered a reasonable procedure for examining this time-series > and determining whether it contains nonlinear structure? that is, what > types of linear analysis should I undertake before trying to look at > nonlinearity. I realize that one could follow the ARIMA approach and > attempt to model trends, seasonality, take differences, etc and then fit > an ARMA model to the resultant stationary process, but if we are > interested in the nonlinear structure, would this still be the correct > approach? > > Any suggestions are appreciated. A recipe for initial analysis is even > more appreciated. > > regards, > P > > _____________________________________ > Pradyumna Sribharga Upadrashta, PhD Student > Scientific Computation, UofMN > Prady,
I myself have not done too much in this area. You might consider reviewing http://pages.stern.nyu.edu/~churvich/TimeSeries/Handouts/NonLin.pdf and contacting Prof. Stern at NYU . You might also consider simulating some non-linear models and then study the implications of pre-filtering with identified ( albeit incorrectly ) ARIMA structure. I would extend the simulation to include various deterministic structures such as local time trends and stochastic structures such as differencing with a trend which often masquerades as a linear time trend model. Hope this helps ... Dave Reilly AUTOMATIC FORECASTING SYSTEMS http://www.autobox.com . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
