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Author : Chien-Ho Wang
Publisher :
ISBN 13 :
Total Pages : 204 pages
Book Rating : 4.3/5 (129 download)
Download or read book Essays on Nonlinear Transformations of Nonstationary Time Series written by Chien-Ho Wang and published by . This book was released on 2003 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maurice Bertram Priestley
Publisher :
ISBN 13 :
Total Pages : 250 pages
Book Rating : 4.:/5 (319 download)
Download or read book Non-linear and Non-stationary Time Series Analysis written by Maurice Bertram Priestley and published by . This book was released on 1988 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yoosoon Chang
Publisher : Emerald Group Publishing
ISBN 13 : 1837532109
Total Pages : 360 pages
Book Rating : 4.8/5 (375 download)
Download or read book Essays in Honor of Joon Y. Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Author : Mark Joseph Dwyer
Publisher :
ISBN 13 :
Total Pages : 172 pages
Book Rating : 4.:/5 (359 download)
Download or read book Essays in Nonlinear, Nonstationary Time Series Econometrics written by Mark Joseph Dwyer and published by . This book was released on 1995 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Niels Haldrup
Publisher : Oxford University Press, USA
ISBN 13 : 0199679959
Total Pages : 393 pages
Book Rating : 4.1/5 (996 download)
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by Oxford University Press, USA. This book was released on 2014-05 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Author : Yoichi Arai
Publisher :
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.:/5 (318 download)
Download or read book Nonlinear Nonstationary Time Series Analysis and Its Application written by Yoichi Arai and published by . This book was released on 2004 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Norman R. Swanson
Publisher :
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays in Forecasting Stationary and Nonstationary Stochastic Processes written by Norman R. Swanson and published by . This book was released on 1994 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kamil Feridun Turkman
Publisher : Springer
ISBN 13 : 3319070282
Total Pages : 255 pages
Book Rating : 4.3/5 (19 download)
Download or read book Non-Linear Time Series written by Kamil Feridun Turkman and published by Springer. This book was released on 2014-09-29 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a useful combination of probabilistic and statistical tools for analyzing nonlinear time series. Key features of the book include a study of the extremal behavior of nonlinear time series and a comprehensive list of nonlinear models that address different aspects of nonlinearity. Several inferential methods, including quasi likelihood methods, sequential Markov Chain Monte Carlo Methods and particle filters, are also included so as to provide an overall view of the available tools for parameter estimation for nonlinear models. A chapter on integer time series models based on several thinning operations, which brings together all recent advances made in this area, is also included. Readers should have attended a prior course on linear time series, and a good grasp of simulation-based inferential methods is recommended. This book offers a valuable resource for second-year graduate students and researchers in statistics and other scientific areas who need a basic understanding of nonlinear time series.
Author : Jonathan R. Michel
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.:/5 (111 download)
Download or read book Essays in Nonlinear Time Series Analysis written by Jonathan R. Michel and published by . This book was released on 2019 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of six papers. Each of these papers are on a different aspect of statistical analysis of nonlinear time series. In the first paper, we study the behavior of a nonstationary time series which has different behavior for "high" and "low" levels. This consists of the introduction of a new nonlinear time series model, a mathematical analysis of the functional limit theorem for this model, a statistical test for behavior similar to this new model, and a proposed technique for robust cointegration in the presence of this new model. The second paper consists of an extension of this idea into volatility modeling. The third paper considers experimental design and sampling of Markov chains. In particular, it focuses on how to feasibly optimally sample a continuous two-state Markov chain. The fourth paper is on integer valued time series. The focus here is on studying the properties of the INGARCH(1,1) model in the nonstationary case. This consists of applying mathematical machinery rarely used in econometrics. Additionally, in this paper extensions towards stationarity tests are considered. The fifth paper studies the dynamic Tobit, a time series model often used when data is censored below. In this paper, weak dependence and mixing properties are shown to hold, which is relevant for studying the statistical properties of estimation for this model. The sixth paper studies the reciprocal of the random walk. This is relevant in time series econometrics as such a process is a possible model for time series with a stochastic diminishing trend.
Author :
Publisher :
ISBN 13 :
Total Pages : 608 pages
Book Rating : 4.F/5 ( download)
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2005 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Namwon Hyung
Publisher :
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on Panel and Nonlinear Time Series Analysis written by Namwon Hyung and published by . This book was released on 1999 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chor-Yiu Sin
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on Non-linear Time Series written by Chor-Yiu Sin and published by . This book was released on 1993 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maurice B. Priestley
Publisher :
ISBN 13 :
Total Pages : 237 pages
Book Rating : 4.:/5 (974 download)
Download or read book Non-linear and Non-stationary Time Series Analysis written by Maurice B. Priestley and published by . This book was released on 1989 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Howell Tong
Publisher : Oxford University Press, USA
ISBN 13 :
Total Pages : 592 pages
Book Rating : 4.:/5 (319 download)
Download or read book Non-linear Time Series written by Howell Tong and published by Oxford University Press, USA. This book was released on 1990 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by an internationally recognized expert in the field, this book provides a valuable introduction to the rapidly growing area of non-linear time series. Because developments in the study of dynamical systems have motivated many of the advances discussed here, the author's coverage includes such fundamental concepts of dynamical systems theory as limit cycles, Lyapunov functions, thresholds, and stability, with detailed descriptions of their role in the analysis of non-linear time series data. As the first accessible and comprehensive account of these exciting new developments, this unique volume bridges the gap between linear and chaotic time series analysis. Both statisticians and dynamical systems theorists will value its survey of recent developments and the present state of research, as well as the discussion of a number of unsolved problems in the field.
Author : Ray Huffaker
Publisher : Oxford University Press
ISBN 13 : 0191085790
Total Pages : 312 pages
Book Rating : 4.1/5 (91 download)
Download or read book Nonlinear Time Series Analysis with R written by Ray Huffaker and published by Oxford University Press. This book was released on 2017-10-20 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis with R provides a practical guide to emerging empirical techniques allowing practitioners to diagnose whether highly fluctuating and random appearing data are most likely driven by random or deterministic dynamic forces. It joins the chorus of voices recommending 'getting to know your data' as an essential preliminary evidentiary step in modelling. Time series are often highly fluctuating with a random appearance. Observed volatility is commonly attributed to exogenous random shocks to stable real-world systems. However, breakthroughs in nonlinear dynamics raise another possibility: highly complex dynamics can emerge endogenously from astoundingly parsimonious deterministic nonlinear models. Nonlinear Time Series Analysis (NLTS) is a collection of empirical tools designed to aid practitioners detect whether stochastic or deterministic dynamics most likely drive observed complexity. Practitioners become 'data detectives' accumulating hard empirical evidence supporting their modelling approach. This book is targeted to professionals and graduate students in engineering and the biophysical and social sciences. Its major objectives are to help non-mathematicians — with limited knowledge of nonlinear dynamics — to become operational in NLTS; and in this way to pave the way for NLTS to be adopted in the conventional empirical toolbox and core coursework of the targeted disciplines. Consistent with modern trends in university instruction, the book makes readers active learners with hands-on computer experiments in R code directing them through NLTS methods and helping them understand the underlying logic (please see www.marco.bittelli.com). The computer code is explained in detail so that readers can adjust it for use in their own work. The book also provides readers with an explicit framework — condensed from sound empirical practices recommended in the literature — that details a step-by-step procedure for applying NLTS in real-world data diagnostics.
Author : Peter Fuleky
Publisher : Springer Nature
ISBN 13 : 3030311503
Total Pages : 716 pages
Book Rating : 4.0/5 (33 download)
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Author : Fragiskos Archontakis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Essays on Nonstationary Time Series written by Fragiskos Archontakis and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
