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Author : Esben P. Høg
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (245 download)
Download or read book Analyzing Continuous-time Long-memory Models with Wavelets written by Esben P. Høg and published by . This book was released on 1996 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Esben P. Høg (IFI)
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (464 download)
Download or read book Analyzing Continuous-time Long-memory Models with Wavelets written by Esben P. Høg (IFI) and published by . This book was released on 1997 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Donald B. Percival
Publisher : Cambridge University Press
ISBN 13 : 1107717396
Total Pages : 628 pages
Book Rating : 4.1/5 (77 download)
Download or read book Wavelet Methods for Time Series Analysis written by Donald B. Percival and published by Cambridge University Press. This book was released on 2006-02-27 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.
Author : Esben P. Høg
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (476 download)
Download or read book Analyszing Continuous-time Long-memory Models with Wavelets written by Esben P. Høg and published by . This book was released on 1996 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marco Gallegati
Publisher : Springer
ISBN 13 : 3319070614
Total Pages : 271 pages
Book Rating : 4.3/5 (19 download)
Download or read book Wavelet Applications in Economics and Finance written by Marco Gallegati and published by Springer. This book was released on 2014-08-04 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.
Author : Ning Zhong
Publisher : Springer
ISBN 13 : 3540480617
Total Pages : 587 pages
Book Rating : 4.5/5 (44 download)
Download or read book New Directions in Rough Sets, Data Mining, and Granular-Soft Computing written by Ning Zhong and published by Springer. This book was released on 2004-06-22 with total page 587 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 7th International Workshop on Rough Sets, Fuzzy Sets, Data Mining, and Granular-Soft Computing, RSFDGrC'99, held in Yamaguchi, Japan, in November 1999. The 45 revised regular papers and 15 revised short papers presented together with four invited contributions were carefully reviewed and selected from 89 submissions. The book is divided into sections on rough computing: foundations and applications, rough set theory and applications, fuzzy set theory and applications, nonclassical logic and approximate reasoning, information granulation and granular computing, data mining and knowledge discovery, machine learning, and intelligent agents and systems.
Author :
Publisher :
ISBN 13 :
Total Pages : 1098 pages
Book Rating : 4.:/5 (334 download)
Download or read book The Quarterly Review of Economics and Finance written by and published by . This book was released on 2010 with total page 1098 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wilfredo Palma
Publisher : John Wiley & Sons
ISBN 13 : 0470131454
Total Pages : 306 pages
Book Rating : 4.4/5 (71 download)
Download or read book Long-Memory Time Series written by Wilfredo Palma and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: A self-contained, contemporary treatment of the analysis of long-range dependent data Long-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures. To facilitate understanding, the book: Assumes a basic knowledge of calculus and linear algebra and explains the more advanced statistical and mathematical concepts Features numerous examples that accelerate understanding and illustrate various consequences of the theoretical results Proves all theoretical results (theorems, lemmas, corollaries, etc.) or refers readers to resources with further demonstration Includes detailed analyses of computational aspects related to the implementation of the methodologies described, including algorithm efficiency, arithmetic complexity, CPU times, and more Includes proposed problems at the end of each chapter to help readers solidify their understanding and practice their skills A valuable real-world reference for researchers and practitioners in time series analysis, economerics, finance, and related fields, this book is also excellent for a beginning graduate-level course in long-memory processes or as a supplemental textbook for those studying advanced statistics, mathematics, economics, finance, engineering, or physics. A companion Web site is available for readers to access the S-Plus and R data sets used within the text.
Author : Wayne A. Woodward
Publisher : CRC Press
ISBN 13 : 1498734316
Total Pages : 460 pages
Book Rating : 4.4/5 (987 download)
Download or read book Applied Time Series Analysis with R written by Wayne A. Woodward and published by CRC Press. This book was released on 2017-02-17 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Virtually any random process developing chronologically can be viewed as a time series. In economics closing prices of stocks, the cost of money, the jobless rate, and retail sales are just a few examples of many. Developed from course notes and extensively classroom-tested, Applied Time Series Analysis with R, Second Edition includes examples across a variety of fields, develops theory, and provides an R-based software package to aid in addressing time series problems in a broad spectrum of fields. The material is organized in an optimal format for graduate students in statistics as well as in the natural and social sciences to learn to use and understand the tools of applied time series analysis. Features Gives readers the ability to actually solve significant real-world problems Addresses many types of nonstationary time series and cutting-edge methodologies Promotes understanding of the data and associated models rather than viewing it as the output of a "black box" Provides the R package tswge available on CRAN which contains functions and over 100 real and simulated data sets to accompany the book. Extensive help regarding the use of tswge functions is provided in appendices and on an associated website. Over 150 exercises and extensive support for instructors The second edition includes additional real-data examples, uses R-based code that helps students easily analyze data, generate realizations from models, and explore the associated characteristics. It also adds discussion of new advances in the analysis of long memory data and data with time-varying frequencies (TVF).
Author : E. Moulines
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter written by E. Moulines and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, methods to estimate the memory parameter using wavelet analysis have gained popularity in many areas of science. Despite its widespread use, a rigorous semi-parametric asymptotic theory, comparable with the one developed for Fourier methods, is still lacking. In this article, we adapt to the wavelet setting, the classical semi-parametric framework introduced by Robinson and his co-authors for estimating the memory parameter of a (possibly) non-stationary process. Our results apply to a class of wavelets with bounded supports, which include but are not limited to Daubechies wavelets. We derive an explicit expression of the spectral density of the wavelet coefficients and show that it can be approximated, at large scales, by the spectral density of the continuous-time wavelet coefficients of fractional Brownian motion. We derive an explicit bound for the difference between the spectral densities. As an application, we obtain minimax upper bounds for the log-scale regression estimator of the memory parameter for a Gaussian process and we derive an explicit expression of its asymptotic variance.
Author : Jan Beran
Publisher : Springer Science & Business Media
ISBN 13 : 3642355129
Total Pages : 892 pages
Book Rating : 4.6/5 (423 download)
Download or read book Long-Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Author : D N Shanbhag
Publisher : Gulf Professional Publishing
ISBN 13 : 9780444500137
Total Pages : 1028 pages
Book Rating : 4.5/5 (1 download)
Download or read book Stochastic Processes: Modeling and Simulation written by D N Shanbhag and published by Gulf Professional Publishing. This book was released on 2003-02-24 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to volume 19 of Handbook on Statistics on Stochastic Processes: Modelling and Simulation is concerned mainly with the theme of reviewing and, in some cases, unifying with new ideas the different lines of research and developments in stochastic processes of applied flavour. This volume consists of 23 chapters addressing various topics in stochastic processes. These include, among others, those on manufacturing systems, random graphs, reliability, epidemic modelling, self-similar processes, empirical processes, time series models, extreme value therapy, applications of Markov chains, modelling with Monte Carlo techniques, and stochastic processes in subjects such as engineering, telecommunications, biology, astronomy and chemistry. particular with modelling, simulation techniques and numerical methods concerned with stochastic processes. The scope of the project involving this volume as well as volume 19 is already clarified in the preface of volume 19. The present volume completes the aim of the project and should serve as an aid to students, teachers, researchers and practitioners interested in applied stochastic processes.
Author : Wayne A. Woodward
Publisher : CRC Press
ISBN 13 : 1439818371
Total Pages : 566 pages
Book Rating : 4.4/5 (398 download)
Download or read book Applied Time Series Analysis written by Wayne A. Woodward and published by CRC Press. This book was released on 2011-10-26 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Virtually any random process developing chronologically can be viewed as a time series. In economics, closing prices of stocks, the cost of money, the jobless rate, and retail sales are just a few examples of many. Developed from course notes and extensively classroom-tested, Applied Time Series Analysis includes examples across a variety of fields, develops theory, and provides software to address time series problems in a broad spectrum of fields. The authors organize the information in such a format that graduate students in applied science, statistics, and economics can satisfactorily navigate their way through the book while maintaining mathematical rigor. One of the unique features of Applied Time Series Analysis is the associated software, GW-WINKS, designed to help students easily generate realizations from models and explore the associated model and data characteristics. The text explores many important new methodologies that have developed in time series, such as ARCH and GARCH processes, time varying frequencies (TVF), wavelets, and more. Other programs (some written in R and some requiring S-plus) are available on an associated website for performing computations related to the material in the final four chapters.
Author :
Publisher : American Mathematical Soc.
ISBN 13 : 9780821839287
Total Pages : 190 pages
Book Rating : 4.8/5 (392 download)
Download or read book Selected Papers on Analysis and Related Topics written by and published by American Mathematical Soc.. This book was released on 2008 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains translations of papers that originally appeared in the Japanese journal 'Sugaku'. The papers range over a variety of topics, including operator algebras, analysis, and statistics.
Author : Barbel Finkenstadt
Publisher : CRC Press
ISBN 13 : 1420011057
Total Pages : 314 pages
Book Rating : 4.4/5 (2 download)
Download or read book Statistical Methods for Spatio-Temporal Systems written by Barbel Finkenstadt and published by CRC Press. This book was released on 2006-10-20 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Methods for Spatio-Temporal Systems presents current statistical research issues on spatio-temporal data modeling and will promote advances in research and a greater understanding between the mechanistic and the statistical modeling communities. Contributed by leading researchers in the field, each self-contained chapter starts w
Author : Alexandre Barbosa de Lima
Publisher : CRC Press
ISBN 13 : 1000795705
Total Pages : 186 pages
Book Rating : 4.0/5 (7 download)
Download or read book Internet Teletraffic Modeling and Estimation written by Alexandre Barbosa de Lima and published by CRC Press. This book was released on 2022-09-01 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: Network traffic has fractal properties such as impulsiveness, selfsimilarity, and long-range dependence over several time scales, from milliseconds to minutes. These features have motivated the development of new traffic models and traffic control algorithms. This book presents a new statespace model for Internet traffic, which is based on a finite-dimensional representation of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) random process. The modeling via Autoregressive (AR) processes is also investigated.
Author : Alan E. Gelfand
Publisher : CRC Press
ISBN 13 : 1351648543
Total Pages : 679 pages
Book Rating : 4.3/5 (516 download)
Download or read book Handbook of Environmental and Ecological Statistics written by Alan E. Gelfand and published by CRC Press. This book was released on 2019-01-15 with total page 679 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook focuses on the enormous literature applying statistical methodology and modelling to environmental and ecological processes. The 21st century statistics community has become increasingly interdisciplinary, bringing a large collection of modern tools to all areas of application in environmental processes. In addition, the environmental community has substantially increased its scope of data collection including observational data, satellite-derived data, and computer model output. The resultant impact in this latter community has been substantial; no longer are simple regression and analysis of variance methods adequate. The contribution of this handbook is to assemble a state-of-the-art view of this interface. Features: An internationally regarded editorial team. A distinguished collection of contributors. A thoroughly contemporary treatment of a substantial interdisciplinary interface. Written to engage both statisticians as well as quantitative environmental researchers. 34 chapters covering methodology, ecological processes, environmental exposure, and statistical methods in climate science.
