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Empirical Likelihood For Outlier Detection And Estimation In Autoregressive Time Series
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Book Synopsis Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series by : Roberto Baragona
Download or read book Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series written by Roberto Baragona and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Identification and estimation of outliers in time series is proposed by using empirical likelihood methods. Theory and applications are developed for stationary autoregressive models with outliers distinguished in the usual additive and innovation types. Some other useful outlier types are considered as well. A simulation experiment is used for studying the behaviour of the empirical likelihood-based method in finite samples and indicates that the proposed methods are preferable when dealing with the non-Gaussian data. Our simulations suggest that the usual sequential procedure for multiple outlier detection is suitable also for the methods based on empirical likelihood.
Book Synopsis EMPIRICAL LIKELIHOOD FOR CHANGE POINT DETECTION AND ESTIMATION IN TIME SERIES MODELS by : Ramadha D Piyadi Gamage
Download or read book EMPIRICAL LIKELIHOOD FOR CHANGE POINT DETECTION AND ESTIMATION IN TIME SERIES MODELS written by Ramadha D Piyadi Gamage and published by . This book was released on 2017 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Likelihood (EL) method introduced by Owen (1988) is a widely used nonparametric tool for constructing confidence regions due to its appealing asymptotic distribution of the likelihood-ratio-type statistic which is same as the one under the parametric settings. However, the EL method was introduced to be used for independent data, hence it becomes difficult to apply it to dependent data such as time series data. Owen (2001) suggested using the conditional likelihood to remove the dependence structure and generate the estimating equations. Monti (1997) developed the idea of extending the EL method to short-memory time series models using the Whittle's (1953) estimation method to obtain an M-estimator of the periodogram ordinates of a time series which are asymptotically independent. This reduces a dependent data problem into an independent data problem. Nordman and Lahiri (2006) also formulated a frequency domain empirical likelihood (FDEL) using spectral estimating equations which can be used for short- and long- range dependent data. FDEL applies a data transformation which weakens the dependence structure of the data hence, allowing to use the EL method for the transformed data which is considered to be asymptotically independent. Unfortunately, there is a good chance that the solution to the profile empirical likelihood function computation which involves constrained maximization does not exist which raises some computational issues as mentioned by Chen et al. (2008). To overcome this difficulty, Chen et al. (2008) proposed an adjusted empirical likelihood (AEL) ratio function by adding a pseudo term to guarantee the zero to be an interior point of the convex hull, therefore, the required numerical maximization is guaranteed to have a solution always. This dissertation focuses on developing novel nonparametric tests based on the empirical likelihood to estimate and detect changes in parameters of various times series models. First part is focused on the AEL for short-memory time series models such as autoregression (AR), moving average (MA), autoregressive moving average (ARMA), etc. I incorporated Monti's (1997) approach along with Nordman and Lahiri's (2006) formulation, to propose an AEL for short-memory dependence data. In the second part, an AEL-type statistic has been established for long-memory time series models suggested by Yau (2012). The third part of the dissertation focuses on the detection of changes in structures of time series models based on the EL method. Real data sets are used in each section to illustrate the performance of the proposed methods.
Book Synopsis Empirical Likelihood by : Art B. Owen
Download or read book Empirical Likelihood written by Art B. Owen and published by CRC Press. This book was released on 2001-05-18 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical likelihood provides inferences whose validity does not depend on specifying a parametric model for the data. Because it uses a likelihood, the method has certain inherent advantages over resampling methods: it uses the data to determine the shape of the confidence regions, and it makes it easy to combined data from multiple sources. It al
Book Synopsis Advances in Intelligent Information Hiding and Multimedia Signal Processing by : Jeng-Shyang Pan
Download or read book Advances in Intelligent Information Hiding and Multimedia Signal Processing written by Jeng-Shyang Pan and published by Springer Nature. This book was released on 2021-04-20 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents selected papers from the Sixteenth International Conference on Intelligent Information Hiding and Multimedia Signal Processing, in conjunction with the Thirteenth International Conference on Frontiers of Information Technology, Applications and Tools, held on November 5–7, 2020, in Ho Chi Minh City, Vietnam. It is divided into two volumes and discusses the latest research outcomes in the field of Information Technology (IT) including information hiding, multimedia signal processing, big data, data mining, bioinformatics, database, industrial and Internet of things, and their applications.
Book Synopsis Artificial Intelligence and Security by : Xingming Sun
Download or read book Artificial Intelligence and Security written by Xingming Sun and published by Springer. This book was released on 2019-07-18 with total page 671 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 4-volume set LNCS 11632 until LNCS 11635 constitutes the refereed proceedings of the 5th International Conference on Artificial Intelligence and Security, ICAIS 2019, which was held in New York, USA, in July 2019. The conference was formerly called “International Conference on Cloud Computing and Security” with the acronym ICCCS. The total of 230 full papers presented in this 4-volume proceedings was carefully reviewed and selected from 1529 submissions. The papers were organized in topical sections as follows: Part I: cloud computing; Part II: artificial intelligence; big data; and cloud computing and security; Part III: cloud computing and security; information hiding; IoT security; multimedia forensics; and encryption and cybersecurity; Part IV: encryption and cybersecurity.
Book Synopsis Outlier Detection and Estimation in Nonlinear Time Series by : Francesco Battaglia
Download or read book Outlier Detection and Estimation in Nonlinear Time Series written by Francesco Battaglia and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of identifying the time location and estimating the amplitude of outliers in nonlinear time series is addressed. A model-based method is proposed for detecting the presence of additive or innovational outliers when the series is generated by a general nonlinear model. We use this method for identifying and estimating outliers in bilinear, self-exciting threshold autoregressive and exponential autoregressive models. A simulation study is performed to test the proposed procedures and comparing them with the methods based on linear models and linear interpolators. Finally, our results are applied for detecting outliers in the Canadian lynx trappings and in the sunspot numbers data.
Book Synopsis Empirical Likelihood Method for Time Series Analysis by : 小方浩明
Download or read book Empirical Likelihood Method for Time Series Analysis written by 小方浩明 and published by . This book was released on 2007 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Likelihood in Long-Memory Time Series Models by : Chun Yip Yau
Download or read book Empirical Likelihood in Long-Memory Time Series Models written by Chun Yip Yau and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article studies the empirical likelihood method for long-memory time series models. By virtue of the Whittle likelihood, one obtains a score function that can be viewed as an estimating equation of the parameters of a fractional integrated autoregressive moving average (ARFIMA) model. This score function is used to obtain an empirical likelihood ratio which is shown to be asymptotically chi-square distributed. Confidence regions for the parameters are constructed based on the asymptotic distribution of the empirical likelihood ratio. Bartlett correction and finite sample properties of the empirical likelihood confidence regions are examined.
Book Synopsis Outlier Detection for Temporal Data by : Manish Gupta
Download or read book Outlier Detection for Temporal Data written by Manish Gupta and published by Springer Nature. This book was released on 2022-06-01 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: Outlier (or anomaly) detection is a very broad field which has been studied in the context of a large number of research areas like statistics, data mining, sensor networks, environmental science, distributed systems, spatio-temporal mining, etc. Initial research in outlier detection focused on time series-based outliers (in statistics). Since then, outlier detection has been studied on a large variety of data types including high-dimensional data, uncertain data, stream data, network data, time series data, spatial data, and spatio-temporal data. While there have been many tutorials and surveys for general outlier detection, we focus on outlier detection for temporal data in this book. A large number of applications generate temporal datasets. For example, in our everyday life, various kinds of records like credit, personnel, financial, judicial, medical, etc., are all temporal. This stresses the need for an organized and detailed study of outliers with respect to such temporal data. In the past decade, there has been a lot of research on various forms of temporal data including consecutive data snapshots, series of data snapshots and data streams. Besides the initial work on time series, researchers have focused on rich forms of data including multiple data streams, spatio-temporal data, network data, community distribution data, etc. Compared to general outlier detection, techniques for temporal outlier detection are very different. In this book, we will present an organized picture of both recent and past research in temporal outlier detection. We start with the basics and then ramp up the reader to the main ideas in state-of-the-art outlier detection techniques. We motivate the importance of temporal outlier detection and brief the challenges beyond usual outlier detection. Then, we list down a taxonomy of proposed techniques for temporal outlier detection. Such techniques broadly include statistical techniques (like AR models, Markov models, histograms, neural networks), distance- and density-based approaches, grouping-based approaches (clustering, community detection), network-based approaches, and spatio-temporal outlier detection approaches. We summarize by presenting a wide collection of applications where temporal outlier detection techniques have been applied to discover interesting outliers. Table of Contents: Preface / Acknowledgments / Figure Credits / Introduction and Challenges / Outlier Detection for Time Series and Data Sequences / Outlier Detection for Data Streams / Outlier Detection for Distributed Data Streams / Outlier Detection for Spatio-Temporal Data / Outlier Detection for Temporal Network Data / Applications of Outlier Detection for Temporal Data / Conclusions and Research Directions / Bibliography / Authors' Biographies
Book Synopsis Outliers in Nonlinear Time Series Econometrics by : Jussi Tolvi
Download or read book Outliers in Nonlinear Time Series Econometrics written by Jussi Tolvi and published by . This book was released on 2001 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Likelihood with Applications in Time Series by : Yuyi Li
Download or read book Empirical Likelihood with Applications in Time Series written by Yuyi Li and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the statistical properties of Kernel Smoothed Empirical Likelihood (KSEL, e.g. Smith, 1997 and 2004) estimator and various associated inference procedures in weakly dependent data. New tests for structural stability are proposed and analysed. Asymptotic analyses and Monte Carlo experiments are applied to assess these new tests, theoretically and empirically. Chapter 1 reviews and discusses some estimation and inferential properties of Empirical Likelihood (EL, Owen, 1988) for identically and independently distributed data and compares it with Generalised EL (GEL), GMM and other estimators. KSEL is extensively treated, by specialising kernel-smoothed GEL in the working paper of Smith (2004), some of whose results and proofs are extended and refined in Chapter 2. Asymptotic properties of some tests in Smith (2004) are also analysed under local alternatives. These special treatments on KSEL lay the foundation for analyses in Chapters 3 and 4, which would not otherwise follow straightforwardly. In Chapters 3 and 4, subsample KSEL estimators are proposed to assist the development of KSEL structural stability tests to diagnose for a given breakpoint and for an unknown breakpoint, respectively, based on relevant work using GMM (e.g. Hall and Sen, 1999; Andrews and Fair, 1988; Andrews and Ploberger, 1994). It is also original in these two chapters that moment functions are allowed to be kernel-smoothed after or before the sample split, and it is rigorously proved that these two smoothing orders are asymptotically equivalent. The overall null hypothesis of structural stability is decomposed according to the identifying and overidentifying restrictions, as Hall and Sen (1999) advocate in GMM, leading to a more practical and precise structural stability diagnosis procedure. In this framework, these KSEL structural stability tests are also proved via asymptotic analysis to be capable of identifying different sources of instability, arising from parameter value change or violation of overidentifying restrictions. The analyses show that these KSEL tests follow the same limit distributions as their counterparts using GMM. To examine the finite-sample performance of KSEL structural stability tests in comparison to GMM's, Monte Carlo simulations are conducted in Chapter 5 using a simple linear model considered by Hall and Sen (1999). This chapter details some relevant computational algorithms and permits different smoothing order, kernel type and prewhitening options. In general, simulation evidence seems to suggest that compared to GMM's tests, these newly proposed KSEL tests often perform comparably. However, in some cases, the sizes of these can be slightly larger, and the false null hypotheses are rejected with much higher frequencies. Thus, these KSEL based tests are valid theoretical and practical alternatives to GMM's.
Book Synopsis Empirical Vector Autoregressive Modeling by : Marius Ooms
Download or read book Empirical Vector Autoregressive Modeling written by Marius Ooms and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address them one at a time. As soon as one sets about the making of a model of macroeconomic time series one has to choose which problems one will try to tackle oneself and which problems one will leave unresolved or to be solved by others. From a theoretic point of view it can be fruitful to concentrate oneself on only one problem. If one follows this strategy in empirical application one runs a serious risk of making a seemingly interesting model, that is just a corollary of some important mistake in the handling of other problems. Two well known examples of statistical artifacts are the finding of Kuznets "pseudo-waves" of about 20 years in economic activity (Sargent (1979, p. 248)) and the "spurious regression" of macroeconomic time series described in Granger and Newbold (1986, §6. 4). The easiest way to get away with possible mistakes is to admit they may be there in the first place, but that time constraints and unfamiliarity with the solution do not allow the researcher to do something about them. This can be a viable argument.
Book Synopsis Outliers in Time Series by : Ih Chang
Download or read book Outliers in Time Series written by Ih Chang and published by . This book was released on 1983 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Outlier Analysis by : Charu C. Aggarwal
Download or read book Outlier Analysis written by Charu C. Aggarwal and published by Springer Science & Business Media. This book was released on 2013-01-11 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the increasing advances in hardware technology for data collection, and advances in software technology (databases) for data organization, computer scientists have increasingly participated in the latest advancements of the outlier analysis field. Computer scientists, specifically, approach this field based on their practical experiences in managing large amounts of data, and with far fewer assumptions– the data can be of any type, structured or unstructured, and may be extremely large. Outlier Analysis is a comprehensive exposition, as understood by data mining experts, statisticians and computer scientists. The book has been organized carefully, and emphasis was placed on simplifying the content, so that students and practitioners can also benefit. Chapters will typically cover one of three areas: methods and techniques commonly used in outlier analysis, such as linear methods, proximity-based methods, subspace methods, and supervised methods; data domains, such as, text, categorical, mixed-attribute, time-series, streaming, discrete sequence, spatial and network data; and key applications of these methods as applied to diverse domains such as credit card fraud detection, intrusion detection, medical diagnosis, earth science, web log analytics, and social network analysis are covered.
Book Synopsis Empirical Likelihood Methods in Nonignorable Covariate-missing Data Problems by : Yanmei Xie
Download or read book Empirical Likelihood Methods in Nonignorable Covariate-missing Data Problems written by Yanmei Xie and published by . This book was released on 2019 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Missing covariate data occurs often in regression analysis, which frequently arises in the health and social sciences as well as in survey sampling. This dissertation contains three topics in nonignorable covariate-missing data problems, in which we study methods for the analysis of a nonignorable covariate-missing data problem in an assumed conditional mean function when some covariates are completely observed but other covariates are missing for some subjects. First, by exploitation of a probability model of missingness and a working conditional score model from a semiparametric perspective, we propose a unified approach to constructing a system of unbiased estimating equations, where there are more equations than unknown parameters of interest. These unbiased estimating equations naturally incorporate the incomplete data into the data analysis, making it possible to seek efficient estimation of the parameter of interest even when the working regression function is not specified to be the optimal regression function. Based on the proposed estimating equations, we introduce three maximum empirical likelihood estimators of the underlying regression parameters and compare their efficiencies with other existing competitors. By utilizing the proposed empirical likelihood method on a data set from the US National Health and Nutrition Examination Survey (NHANES), we study the effect of daily alcohol consumption on hypertension. Second, we explore unconstrained and constrained empirical likelihood ratio statistics to construct empirical likelihood confidence regions for the underlying regression parameters without and with constraints. We establish the asymptotic distributions of the proposed empirical likelihood ratio statistics. The proposed empirical likelihood methods have a better finite-sample performance than other existing competitors in terms of coverage probability and interval length. An analysis on the data set from the US NHANES demonstrates that increased alcohol consumption per day is significantly associated with increased systolic blood pressure. In addition, higher body mass index and older age have a significantly higher risk of hypertension. Third, we propose a pseudo empirical likelihood ratio statistic, yet it is demonstrated following an asymptotically chi-squared distribution. Our proposed method allows for confidence interval construction without variance estimation and thus is more computationally feasible. Simulation results suggest that the proposed empirical likelihood confidence interval has a better finite-sample performance than the corresponding Wald-based competitor in terms of coverage probability and interval length. Moreover, the proposed empirical likelihood ratio test is always superior to the Wald method in terms of their power performances in our simulation studies.
Author :University of Guelph. Department of Economics Resource and Environmental Economy Publisher : ISBN 13 :9780612949881 Total Pages :94 pages Book Rating :4.9/5 (498 download)
Book Synopsis Empirical Likelihood Estimation of Dynamic Panel Data Models by : University of Guelph. Department of Economics Resource and Environmental Economy
Download or read book Empirical Likelihood Estimation of Dynamic Panel Data Models written by University of Guelph. Department of Economics Resource and Environmental Economy and published by . This book was released on 2005 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-Linear Time Series Models in Empirical Finance by : Philip Hans Franses
Download or read book Non-Linear Time Series Models in Empirical Finance written by Philip Hans Franses and published by Cambridge University Press. This book was released on 2000-07-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2000 volume reviews non-linear time series models, and their applications to financial markets.
