Asymptotic Properties Of Some Preliminary Estimators For Autoregressive Moving Average Time Series Models

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Handbook Of Applied Econometrics And Statistical Inference

Author : Aman Ullah
Publisher : CRC Press
ISBN 13 : 9780203911075
Total Pages : 754 pages
Book Rating : 4.9/5 (11 download)

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Book Synopsis Handbook Of Applied Econometrics And Statistical Inference by : Aman Ullah

Download or read book Handbook Of Applied Econometrics And Statistical Inference written by Aman Ullah and published by CRC Press. This book was released on 2002-01-29 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: Summarizing developments and techniques in the field, this reference covers sample surveys, nonparametric analysis, hypothesis testing, time series analysis, Bayesian inference, and distribution theory for applications in statistics, economics, medicine, biology, engineering, sociology, psychology, and information technology. It supplies a geometric proof of an extended Gauss-Markov theorem, approaches for the design and implementation of sample surveys, advances in the theory of Neyman's smooth test, and methods for pre-test and biased estimation. It includes discussions ofsample size requirements for estimation in SUR models, innovative developments in nonparametric models, and more.

The Statistical Theory of Linear Systems

Author : E. J. Hannan
Publisher : SIAM
ISBN 13 : 9781611972191
Total Pages : 425 pages
Book Rating : 4.9/5 (721 download)

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Book Synopsis The Statistical Theory of Linear Systems by : E. J. Hannan

Download or read book The Statistical Theory of Linear Systems written by E. J. Hannan and published by SIAM. This book was released on 1988-01-01 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1988, The Statistical Theory of Linear Systems deals with identification (in the sense of obtaining a model from data) of multi-input and multi-output linear systems, in particular systems in ARMAX and state space form. The book emphasizes the underlying theory. It covers structure theory, in particular realization and parameterization of linear systems, with special emphasis on the analysis of properties of parameter spaces and parameterizations relevant for estimation and model selection; Gaussian maximum likelihood estimation of the real-valued parameters of linear systems, with an emphasis on asymptotic theory; model selection, in particular order estimation, by information criteria such as AIC or BIC, with an emphasis on asymptotic theory; procedures for calculation of estimates; and approximation by rational functions. This edition includes an extensive new introduction that outlines central ideas and features of the subject matter, as well as developments since the book's original publication, such as subspace identification, data-driven local coordinates, and the results on post-model-selection estimators. It also provides a section of errata and an updated bibliography.

ARMA Model Identification

Author : ByoungSeon Choi
Publisher : Springer Science & Business Media
ISBN 13 : 1461397456
Total Pages : 211 pages
Book Rating : 4.4/5 (613 download)

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Book Synopsis ARMA Model Identification by : ByoungSeon Choi

Download or read book ARMA Model Identification written by ByoungSeon Choi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.

Statistical Theory and Method Abstracts

Author :
Publisher :
ISBN 13 :
Total Pages : 750 pages
Book Rating : 4.:/5 (7 download)

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Book Synopsis Statistical Theory and Method Abstracts by :

Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 2001 with total page 750 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Scientific and Technical Aerospace Reports

Author :
Publisher :
ISBN 13 :
Total Pages : 704 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Scientific and Technical Aerospace Reports by :

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt:

COMPSTAT

Author : Jelke G. Bethlehem
Publisher : Springer Science & Business Media
ISBN 13 : 9783790813265
Total Pages : 556 pages
Book Rating : 4.8/5 (132 download)

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Book Synopsis COMPSTAT by : Jelke G. Bethlehem

Download or read book COMPSTAT written by Jelke G. Bethlehem and published by Springer Science & Business Media. This book was released on 2000-08-04 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the keynote, invited and full contributed papers presented at COMPSTAT 2000, held in Utrecht. The papers range over all aspects of the link between statistical theory and applied statistics, with special attention for developments in the area of official statistics. The papers have been thoroughly refereed.

Actes de la Session

Author : International Statistical Institute
Publisher :
ISBN 13 :
Total Pages : 816 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Actes de la Session by : International Statistical Institute

Download or read book Actes de la Session written by International Statistical Institute and published by . This book was released on 1987 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Introduction to Time Series and Forecasting

Author : Peter J. Brockwell
Publisher : Springer Science & Business Media
ISBN 13 : 1475725264
Total Pages : 429 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Introduction to Time Series and Forecasting by : Peter J. Brockwell

Download or read book Introduction to Time Series and Forecasting written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introducitons are also given to cointegration and to non-linear, continuous-time and long-memory models. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.

Time Series: Theory and Methods

Author : Peter J. Brockwell
Publisher : Springer Science & Business Media
ISBN 13 : 1441903208
Total Pages : 591 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Time Series: Theory and Methods by : Peter J. Brockwell

Download or read book Time Series: Theory and Methods written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2009-05-13 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Time Series Modelling Package for the PC, which includes a manual and can be ordered from Springer-Verlag. * We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition. Fort Collins, Colorado P. J. BROCKWELL November, 1990 R. A. DAVIS * /TSM: An Interactive Time Series Modelling Package for the PC by P. J. Brockwell and R. A. Davis. ISBN: 0-387-97482-2; 1991.

Applied Time Series Analysis with R

Author : Wayne A. Woodward
Publisher : CRC Press
ISBN 13 : 1498734316
Total Pages : 460 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Applied Time Series Analysis with R by : Wayne A. Woodward

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).

Current Index to Statistics, Applications, Methods and Theory

Author :
Publisher :
ISBN 13 :
Total Pages : 676 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Current Index to Statistics, Applications, Methods and Theory by :

Download or read book Current Index to Statistics, Applications, Methods and Theory written by and published by . This book was released on 1995 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.

Time Series: Theory and Methods

Author : Peter J. Brockwell
Publisher : Springer Science & Business Media
ISBN 13 : 1489900047
Total Pages : 532 pages
Book Rating : 4.4/5 (899 download)

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Book Synopsis Time Series: Theory and Methods by : Peter J. Brockwell

Download or read book Time Series: Theory and Methods written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: We have attempted in this book to give a systematic account of linear time series models and their application to the modelling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for the techniques. Both time and frequency domain methods are discussed but the book is written in such a way that either approach could be emphasized. The book is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It has been used both at the M. S. level, emphasizing the more practical aspects of modelling, and at the Ph. D. level, where the detailed mathematical derivations of the deeper results can be included. Distinctive features of the book are the extensive use of elementary Hilbert space methods and recursive prediction techniques based on innovations, use of the exact Gaussian likelihood and AIC for inference, a thorough treatment of the asymptotic behavior of the maximum likelihood estimators of the coefficients of univariate ARMA models, extensive illustrations of the tech niques by means of numerical examples, and a large number of problems for the reader. The companion diskette contains programs written for the IBM PC, which can be used to apply the methods described in the text.

Festschrift for Tarmo Pukkila on His 60th Birthday

Author : Erkki Liski
Publisher :
ISBN 13 :
Total Pages : 392 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Festschrift for Tarmo Pukkila on His 60th Birthday by : Erkki Liski

Download or read book Festschrift for Tarmo Pukkila on His 60th Birthday written by Erkki Liski and published by . This book was released on 2006 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Control and Intelligent Systems

Author :
Publisher :
ISBN 13 :
Total Pages : 464 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Control and Intelligent Systems by :

Download or read book Control and Intelligent Systems written by and published by . This book was released on 2000 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Applied Time Series Analysis

Author : Wayne A. Woodward
Publisher : CRC Press
ISBN 13 : 1439818371
Total Pages : 566 pages
Book Rating : 4.4/5 (398 download)

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Book Synopsis Applied Time Series Analysis by : Wayne A. Woodward

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.

List of Recent Periodical Articles

Author : Joint Bank-Fund Library
Publisher :
ISBN 13 :
Total Pages : 838 pages
Book Rating : 4.:/5 (319 download)

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Book Synopsis List of Recent Periodical Articles by : Joint Bank-Fund Library

Download or read book List of Recent Periodical Articles written by Joint Bank-Fund Library and published by . This book was released on 1987 with total page 838 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Statistical Analysis of Financial Data

Author : James Gentle
Publisher : CRC Press
ISBN 13 : 0429939221
Total Pages : 541 pages
Book Rating : 4.4/5 (299 download)

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Book Synopsis Statistical Analysis of Financial Data by : James Gentle

Download or read book Statistical Analysis of Financial Data written by James Gentle and published by CRC Press. This book was released on 2020-03-12 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Analysis of Financial Data covers the use of statistical analysis and the methods of data science to model and analyze financial data. The first chapter is an overview of financial markets, describing the market operations and using exploratory data analysis to illustrate the nature of financial data. The software used to obtain the data for the examples in the first chapter and for all computations and to produce the graphs is R. However discussion of R is deferred to an appendix to the first chapter, where the basics of R, especially those most relevant in financial applications, are presented and illustrated. The appendix also describes how to use R to obtain current financial data from the internet. Chapter 2 describes the methods of exploratory data analysis, especially graphical methods, and illustrates them on real financial data. Chapter 3 covers probability distributions useful in financial analysis, especially heavy-tailed distributions, and describes methods of computer simulation of financial data. Chapter 4 covers basic methods of statistical inference, especially the use of linear models in analysis, and Chapter 5 describes methods of time series with special emphasis on models and methods applicable to analysis of financial data. Features * Covers statistical methods for analyzing models appropriate for financial data, especially models with outliers or heavy-tailed distributions. * Describes both the basics of R and advanced techniques useful in financial data analysis. * Driven by real, current financial data, not just stale data deposited on some static website. * Includes a large number of exercises, many requiring the use of open-source software to acquire real financial data from the internet and to analyze it.