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Author : Bengt Ringnér
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (185 download)
Download or read book Algorithms for Robust Estimation in Unobserved Components Time Series Models written by Bengt Ringnér and published by . This book was released on 1989 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Algorithms for Statistical Model Selection and Robust Estimation written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marc Hofmann
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 (717 download)
Download or read book Algorithms for Statistical Model Selection and Robust Estimation written by Marc Hofmann and published by . This book was released on 2009 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Harvey
Publisher : OUP Oxford
ISBN 13 : 019151554X
Total Pages : 472 pages
Book Rating : 4.1/5 (915 download)
Download or read book Readings in Unobserved Components Models written by Andrew Harvey and published by OUP Oxford. This book was released on 2005-04-07 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. The book is intended to give a self-contained presentation of the methods and applicative issues. Harvey has made major contributions to this field and provides substantial introductions throughout the book to form a unified view of the literature. - ;This book presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. It contains four parts, three of which concern recent theoretical developments in classical and Bayesian estimation of linear, nonlinear, and non Gaussian UC models, signal extraction and testing, and one is devoted to selected econometric applications. The first part focuses on the linear state space model; the readings provide insight on prediction theory, signal extraction, and likelihood inference for non stationary and non invertible processes, diagnostic checking, and the use of state space methods for spline smoothing. Part II deals with applications of linear UC models to various estimation problems concerning economic time series, such as trend-cycle decompositions, seasonal adjustment, and the modelling of the serial correlation induced by survey sample design. The issues involved in testing in linear UC models are the theme of part III, which considers tests concerned with whether or not certain variance parameters are zero, with special reference to stationarity tests. Finally, part IV is devoted to the advances concerning classical and Bayesian inference for non linear and non Gaussian state space models, an area that has been evolving very rapidly during the last decade, paralleling the advances in computational inference using stochastic simulation techniques. The book is intended to give a relatively self-contained presentation of the methods and applicative issues. For this purpose, each part comes with an introductory chapter by the editors that provides a unified view of the literature and the many important developments that have occurred in the last years. -
Author : Siem Jan Koopman
Publisher : Oxford University Press
ISBN 13 : 0199683662
Total Pages : 389 pages
Book Rating : 4.1/5 (996 download)
Download or read book Unobserved Components and Time Series Econometrics written by Siem Jan Koopman and published by Oxford University Press. This book was released on 2015 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.
Author : Matteo M. Pelagatti
Publisher : CRC Press
ISBN 13 : 1482225018
Total Pages : 275 pages
Book Rating : 4.4/5 (822 download)
Download or read book Time Series Modelling with Unobserved Components written by Matteo M. Pelagatti and published by CRC Press. This book was released on 2015-07-28 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical o
Author : Tan Hwee Kwan
Publisher :
ISBN 13 :
Total Pages : 624 pages
Book Rating : 4.:/5 (94 download)
Download or read book Robust estimation for structural time series models written by Tan Hwee Kwan and published by . This book was released on 1990 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Orsay Kucukemiroglu
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (953 download)
Download or read book Robust Estimation in Time Series Analysis written by Orsay Kucukemiroglu and published by . This book was released on 1984 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philip Rothman
Publisher : Springer Science & Business Media
ISBN 13 : 1461551293
Total Pages : 379 pages
Book Rating : 4.4/5 (615 download)
Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Author : David Brillinger
Publisher : Springer Science & Business Media
ISBN 13 : 1461392969
Total Pages : 391 pages
Book Rating : 4.4/5 (613 download)
Download or read book New Directions in Time Series Analysis written by David Brillinger and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications NEW DIRECTIONS IN TIME SERIES ANALYSIS, PART II is based on the proceedings of the IMA summer program "New Directions in Time Series Analysis. " We are grateful to David Brillinger, Peter Caines, John Geweke, Emanuel Parzen, Murray Rosenblatt, and Murad Taqqu for organizing the program and we hope that the remarkable excitement and enthusiasm of the participants in this interdisciplinary effort are communicated to the reader. A vner Friedman Willard Miller, Jr. PREFACE Time Series Analysis is truly an interdisciplinary field because development of its theory and methods requires interaction between the diverse disciplines in which it is applied. To harness its great potential, strong interaction must be encouraged among the diverse community of statisticians and other scientists whose research involves the analysis of time series data. This was the goal of the IMA Workshop on "New Directions in Time Series Analysis. " The workshop was held July 2-July 27, 1990 and was organized by a committee consisting of Emanuel Parzen (chair), David Brillinger, Murray Rosenblatt, Murad S. Taqqu, John Geweke, and Peter Caines. Constant guidance and encouragement was provided by Avner Friedman, Director of the IMA, and his very helpful and efficient staff. The workshops were organized by weeks. It may be of interest to record the themes that were announced in the IMA newsletter describing the workshop: l.
Author : Michael P. Clements
Publisher : OUP USA
ISBN 13 : 0195398645
Total Pages : 732 pages
Book Rating : 4.1/5 (953 download)
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Author : Chaohua Dong
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)
Download or read book Multiple-index Nonstationary Time Series Models written by Chaohua Dong and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C ̆alin Vamos ̧
Publisher : Springer Science & Business Media
ISBN 13 : 9400748248
Total Pages : 136 pages
Book Rating : 4.4/5 (7 download)
Download or read book Automatic trend estimation written by C ̆alin Vamos ̧ and published by Springer Science & Business Media. This book was released on 2012-09-15 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our book introduces a method to evaluate the accuracy of trend estimation algorithms under conditions similar to those encountered in real time series processing. This method is based on Monte Carlo experiments with artificial time series numerically generated by an original algorithm. The second part of the book contains several automatic algorithms for trend estimation and time series partitioning. The source codes of the computer programs implementing these original automatic algorithms are given in the appendix and will be freely available on the web. The book contains clear statement of the conditions and the approximations under which the algorithms work, as well as the proper interpretation of their results. We illustrate the functioning of the analyzed algorithms by processing time series from astrophysics, finance, biophysics, and paleoclimatology. The numerical experiment method extensively used in our book is already in common use in computational and statistical physics.
Author : Mike West
Publisher : Springer Science & Business Media
ISBN 13 : 1475793650
Total Pages : 720 pages
Book Rating : 4.4/5 (757 download)
Download or read book Bayesian Forecasting and Dynamic Models written by Mike West and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book we are concerned with Bayesian learning and forecast ing in dynamic environments. We describe the structure and theory of classes of dynamic models, and their uses in Bayesian forecasting. The principles, models and methods of Bayesian forecasting have been developed extensively during the last twenty years. This devel opment has involved thorough investigation of mathematical and sta tistical aspects of forecasting models and related techniques. With this has come experience with application in a variety of areas in commercial and industrial, scientific and socio-economic fields. In deed much of the technical development has been driven by the needs of forecasting practitioners. As a result, there now exists a relatively complete statistical and mathematical framework, although much of this is either not properly documented or not easily accessible. Our primary goals in writing this book have been to present our view of this approach to modelling and forecasting, and to provide a rea sonably complete text for advanced university students and research workers. The text is primarily intended for advanced undergraduate and postgraduate students in statistics and mathematics. In line with this objective we present thorough discussion of mathematical and statistical features of Bayesian analyses of dynamic models, with illustrations, examples and exercises in each Chapter.
Author : Agustín Maravall
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (432 download)
Download or read book Estimation Error and the Specification of Unobserved Component Models written by Agustín Maravall and published by . This book was released on 1993 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lang Wu
Publisher : CRC Press
ISBN 13 : 9781420074086
Total Pages : 431 pages
Book Rating : 4.0/5 (74 download)
Download or read book Mixed Effects Models for Complex Data written by Lang Wu and published by CRC Press. This book was released on 2009-11-11 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although standard mixed effects models are useful in a range of studies, other approaches must often be used in correlation with them when studying complex or incomplete data. Mixed Effects Models for Complex Data discusses commonly used mixed effects models and presents appropriate approaches to address dropouts, missing data, measurement errors, censoring, and outliers. For each class of mixed effects model, the author reviews the corresponding class of regression model for cross-sectional data. An overview of general models and methods, along with motivating examples After presenting real data examples and outlining general approaches to the analysis of longitudinal/clustered data and incomplete data, the book introduces linear mixed effects (LME) models, generalized linear mixed models (GLMMs), nonlinear mixed effects (NLME) models, and semiparametric and nonparametric mixed effects models. It also includes general approaches for the analysis of complex data with missing values, measurement errors, censoring, and outliers. Self-contained coverage of specific topics Subsequent chapters delve more deeply into missing data problems, covariate measurement errors, and censored responses in mixed effects models. Focusing on incomplete data, the book also covers survival and frailty models, joint models of survival and longitudinal data, robust methods for mixed effects models, marginal generalized estimating equation (GEE) models for longitudinal or clustered data, and Bayesian methods for mixed effects models. Background material In the appendix, the author provides background information, such as likelihood theory, the Gibbs sampler, rejection and importance sampling methods, numerical integration methods, optimization methods, bootstrap, and matrix algebra. Failure to properly address missing data, measurement errors, and other issues in statistical analyses can lead to severely biased or misleading results. This book explores the biases that arise when naïve methods are used and shows which approaches should be used to achieve accurate results in longitudinal data analysis.
Author :
Publisher :
ISBN 13 :
Total Pages : 886 pages
Book Rating : 4.:/5 (7 download)
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 2000 with total page 886 pages. Available in PDF, EPUB and Kindle. Book excerpt:
