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Author : Bonita J. Campbell
Publisher :
ISBN 13 :
Total Pages : 296 pages
Book Rating : 4.:/5 ( download)
Download or read book Bayesian Estimation of Common Parameters for Two Time Series written by Bonita J. Campbell and published by . This book was released on 1979 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 574 pages
Book Rating : 4.3/5 (91 download)
Download or read book NBS Special Publication written by and published by . This book was released on 1970 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lyle D. Broemeling
Publisher : CRC Press
ISBN 13 : 0429948913
Total Pages : 211 pages
Book Rating : 4.4/5 (299 download)
Download or read book Bayesian Analysis of Time Series written by Lyle D. Broemeling and published by CRC Press. This book was released on 2019-04-16 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many branches of science relevant observations are taken sequentially over time. Bayesian Analysis of Time Series discusses how to use models that explain the probabilistic characteristics of these time series and then utilizes the Bayesian approach to make inferences about their parameters. This is done by taking the prior information and via Bayes theorem implementing Bayesian inferences of estimation, testing hypotheses, and prediction. The methods are demonstrated using both R and WinBUGS. The R package is primarily used to generate observations from a given time series model, while the WinBUGS packages allows one to perform a posterior analysis that provides a way to determine the characteristic of the posterior distribution of the unknown parameters. Features Presents a comprehensive introduction to the Bayesian analysis of time series. Gives many examples over a wide variety of fields including biology, agriculture, business, economics, sociology, and astronomy. Contains numerous exercises at the end of each chapter many of which use R and WinBUGS. Can be used in graduate courses in statistics and biostatistics, but is also appropriate for researchers, practitioners and consulting statisticians. About the author Lyle D. Broemeling, Ph.D., is Director of Broemeling and Associates Inc., and is a consulting biostatistician. He has been involved with academic health science centers for about 20 years and has taught and been a consultant at the University of Texas Medical Branch in Galveston, The University of Texas MD Anderson Cancer Center and the University of Texas School of Public Health. His main interest is in developing Bayesian methods for use in medical and biological problems and in authoring textbooks in statistics. His previous books for Chapman & Hall/CRC include Bayesian Biostatistics and Diagnostic Medicine, and Bayesian Methods for Agreement.
Author : Gary Koop
Publisher : Now Publishers Inc
ISBN 13 : 160198362X
Total Pages : 104 pages
Book Rating : 4.6/5 (19 download)
Download or read book Bayesian Multivariate Time Series Methods for Empirical Macroeconomics written by Gary Koop and published by Now Publishers Inc. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Author : Helmut Lütkepohl
Publisher : Springer Science & Business Media
ISBN 13 : 9783540569404
Total Pages : 576 pages
Book Rating : 4.5/5 (694 download)
Download or read book Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 1993-08-13 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection or specification are treated and a range of tests and criteria for evaluating the adequacy of a chosen model are introduced. The choice of point and interval forecasts is considered and impulse response analysis, dynamic multipliers as well as innovation accounting are presented as tools for structural analysis within the multiple time series context. This book is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on this book. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their task. It enables the reader to perform his or her analyses in a gap to the difficult technical literature on the topic.
Author : G. Larry Bretthorst
Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.3/5 (91 download)
Download or read book Bayesian Spectrum Analysis and Parameter Estimation written by G. Larry Bretthorst and published by . This book was released on 1988 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Helmut Lütkepohl
Publisher : Springer Science & Business Media
ISBN 13 : 9783540262398
Total Pages : 792 pages
Book Rating : 4.2/5 (623 download)
Download or read book New Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2007-07-26 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Author : Genshiro Kitagawa
Publisher : Springer Science & Business Media
ISBN 13 : 9780387948195
Total Pages : 284 pages
Book Rating : 4.9/5 (481 download)
Download or read book Smoothness Priors Analysis of Time Series written by Genshiro Kitagawa and published by Springer Science & Business Media. This book was released on 1996-08-09 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression "smoothness priors" state space point of view. Prior distributions on model coefficients are parametrized by hyperparameters. Maximizing the likelihood of a small number of hyperparameters permits the robust modeling of a time series with relatively complex structure and a very large number of implicitly inferred parameters. The critical statistical ideas in smoothness priors are the likelihood of the Bayesian model and the use of likelihood as a measure of the goodness of fit of the model. The emphasis is on a general state space approach in which the recursive conditional distributions for prediction, filtering, and smoothing are realized using a variety of nonstandard methods including numerical integration, a Gaussian mixture distribution-two filter smoothing formula, and a Monte Carlo "particle-path tracing" method in which the distributions are approximated by many realizations. The methods are applicable for modeling time series with complex structures.
Author : Raquel Prado
Publisher : CRC Press
ISBN 13 : 1439882754
Total Pages : 375 pages
Book Rating : 4.4/5 (398 download)
Download or read book Time Series written by Raquel Prado and published by CRC Press. This book was released on 2010-05-21 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on Bayesian approaches and computations using simulation-based methods for inference, Time Series: Modeling, Computation, and Inference integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian t
Author : Jian Chen
Publisher :
ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.:/5 (841 download)
Download or read book Bayesian Inference and Forecasting of Time Series Under the Different Loss Functions written by Jian Chen and published by . This book was released on 2005 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the different loss functions that are appropriate for the Bayesian analysis of some time series models. The Bayes inference and forecasting under these loss functions are given. For the autoregressive model, with the Normal-Gamma and Jeffreys' priors, the posteriors are found and Bayes estimates for the parameters in the model under the different loss functions are derived, the probability density function of k-step ahead Bayes prediction is derived in a concise matrix format. In particular, Bayes estimates of the one-step ahead forecasting under the different loss functions are given. We provide the practical k-step ahead Bayesian forecasting under these loss functions. The Bayes estimates and one-step ahead and two-step ahead forecasting results under these loss functions are calculated. Under the Normal-Gamma and Jeffreys' priors, Wolfer sunspot numbers data is used to illustrate Bayes inferences and forecasts to the real life data. For the moving average model, under the Gamma-Normal and Jeffreys' priors, based on the approximate likelihood function, the posteriors and one-step ahead forecasting probability density function are derived. Then we obtain the Bayes estimates for the parameters and predictive inferences for moving average processes under the different loss functions. The simulation of MA(2) model and the Bayes analysis and forecasting of the simulated data are performed. The IBM common stock closing prices from May 17th, 1961 to November 2nd, 1962, are used to demonstrate the model identification and the derived Bayes posterior and predictive inference for a real life data with ARIMA(0,1,1) model. The author uses SAS for Bayesian data simulation and complex Bayesian analysis.
Author : Michael Stumpf
Publisher : John Wiley & Sons
ISBN 13 : 1119952042
Total Pages : 624 pages
Book Rating : 4.1/5 (199 download)
Download or read book Handbook of Statistical Systems Biology written by Michael Stumpf and published by John Wiley & Sons. This book was released on 2011-09-09 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Systems Biology is now entering a mature phase in which the key issues are characterising uncertainty and stochastic effects in mathematical models of biological systems. The area is moving towards a full statistical analysis and probabilistic reasoning over the inferences that can be made from mathematical models. This handbook presents a comprehensive guide to the discipline for practitioners and educators, in providing a full and detailed treatment of these important and emerging subjects. Leading experts in systems biology and statistics have come together to provide insight in to the major ideas in the field, and in particular methods of specifying and fitting models, and estimating the unknown parameters. This book: Provides a comprehensive account of inference techniques in systems biology. Introduces classical and Bayesian statistical methods for complex systems. Explores networks and graphical modeling as well as a wide range of statistical models for dynamical systems. Discusses various applications for statistical systems biology, such as gene regulation and signal transduction. Features statistical data analysis on numerous technologies, including metabolic and transcriptomic technologies. Presents an in-depth presentation of reverse engineering approaches. Provides colour illustrations to explain key concepts. This handbook will be a key resource for researchers practising systems biology, and those requiring a comprehensive overview of this important field.
Author : Jingjing Fan (Ph. D.)
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Bayesian Semiparametric Inference of Complex Longitudinal and Multiple Time Series Systems written by Jingjing Fan (Ph. D.) and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time series inference differs from traditional statistical analysis in that there is inherent dependence between observations in a time series. In the case of multiple time series, multivariate time series, or panel data, performing inference can become even more complex because of possible interactions between different subjects, variables, or both. We develop three new methodologies capable of performing inference on multiple time series, high dimensional multivariate time series, and panel data respectively. For multiple time series, we combine functional analysis with a Hidden Markov model to create a clustering algorithm that allows each time series to change its cluster membership over time. For high dimensional multivariate time series, we develop a tensor decomposition estimation method for the Vector Autoregressive (VAR) model which greatly reduces the parameter space without sacrificing accuracy. We extend the tensor decomposed VAR into a random effects model to allow for information sharing between subjects in multi-subject panels. For panels with many subjects, we employ a divide-and-conquer strategy with embarrassingly parallel samplers to lessen the computational burden on a single estimation process
Author : Mark Louis Taper
Publisher : Frontiers Media SA
ISBN 13 : 288974406X
Total Pages : 238 pages
Book Rating : 4.8/5 (897 download)
Download or read book Evidential Statistics, Model Identification, and Science written by Mark Louis Taper and published by Frontiers Media SA. This book was released on 2022-02-15 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : B. Grigelionis
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3112313488
Total Pages : 752 pages
Book Rating : 4.1/5 (123 download)
Download or read book Probability Theory and Mathematical Statistics written by B. Grigelionis and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-05-05 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Probability Theory and Mathematical Statistics".
Author : Dominique M. Hanssens
Publisher : Springer Science & Business Media
ISBN 13 : 0306475944
Total Pages : 507 pages
Book Rating : 4.3/5 (64 download)
Download or read book Market Response Models written by Dominique M. Hanssens and published by Springer Science & Business Media. This book was released on 2005-12-19 with total page 507 pages. Available in PDF, EPUB and Kindle. Book excerpt: From 1976 to the beginning of the millennium—covering the quarter-century life span of this book and its predecessor—something remarkable has happened to market response research: it has become practice. Academics who teach in professional fields, like we do, dream of such things. Imagine the satisfaction of knowing that your work has been incorporated into the decision-making routine of brand managers, that category management relies on techniques you developed, that marketing management believes in something you struggled to establish in their minds. It’s not just us that we are talking about. This pride must be shared by all of the researchers who pioneered the simple concept that the determinants of sales could be found if someone just looked for them. Of course, economists had always studied demand. But the project of extending demand analysis would fall to marketing researchers, now called marketing scientists for good reason, who saw that in reality the marketing mix was more than price; it was advertising, sales force effort, distribution, promotion, and every other decision variable that potentially affected sales. The bibliography of this book supports the notion that the academic research in marketing led the way. The journey was difficult, sometimes halting, but ultimately market response research advanced and then insinuated itself into the fabric of modern management.
Author : Andres Fernandez
Publisher : International Monetary Fund
ISBN 13 : 1513549421
Total Pages : 60 pages
Book Rating : 4.5/5 (135 download)
Download or read book Sharing a Ride on the Commodities Roller Coaster written by Andres Fernandez and published by International Monetary Fund. This book was released on 2015-12-29 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector into a multi-country EMEs’ business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a ”spillover” effect from commodity prices to risk premia.
Author : Doron Levy
Publisher : Frontiers Media SA
ISBN 13 : 2889741788
Total Pages : 337 pages
Book Rating : 4.8/5 (897 download)
Download or read book Advances in Mathematical and Computational Oncology written by Doron Levy and published by Frontiers Media SA. This book was released on 2022-05-05 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt:
