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Estimators For Persistent And Possibly Non Stationary Data With Classical Properties
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Book Synopsis Forecasting: principles and practice by : Rob J Hyndman
Download or read book Forecasting: principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Book Synopsis Econometric Analysis of Cross Section and Panel Data, second edition by : Jeffrey M. Wooldridge
Download or read book Econometric Analysis of Cross Section and Panel Data, second edition written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2010-10-01 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Book Synopsis Capital Mobility, Exchange Rate Regimes and Currency Crises by : Juthathip Jongwanich
Download or read book Capital Mobility, Exchange Rate Regimes and Currency Crises written by Juthathip Jongwanich and published by Nova Publishers. This book was released on 2007 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the determinants of real exchange rates (RERs), with an emphasis on the roles of a pegged exchange rate regime and capital account opening in driving the persistent real exchange rates appreciation in the lead-up to the 1997 currency crisis, through an in-depth case study of Thailand. The book aims to inform the debate, rekindled by the recent currency crises in emerging market economies, on exchange rate policy choice and the timing and sequencing of capital account opening.
Book Synopsis Climate Time Series Analysis by : Manfred Mudelsee
Download or read book Climate Time Series Analysis written by Manfred Mudelsee and published by Springer. This book was released on 2014-06-27 with total page 477 pages. Available in PDF, EPUB and Kindle. Book excerpt: Climate is a paradigm of a complex system. Analysing climate data is an exciting challenge, which is increased by non-normal distributional shape, serial dependence, uneven spacing and timescale uncertainties. This book presents bootstrap resampling as a computing-intensive method able to meet the challenge. It shows the bootstrap to perform reliably in the most important statistical estimation techniques: regression, spectral analysis, extreme values and correlation. This book is written for climatologists and applied statisticians. It explains step by step the bootstrap algorithms (including novel adaptions) and methods for confidence interval construction. It tests the accuracy of the algorithms by means of Monte Carlo experiments. It analyses a large array of climate time series, giving a detailed account on the data and the associated climatological questions. “....comprehensive mathematical and statistical summary of time-series analysis techniques geared towards climate applications...accessible to readers with knowledge of college-level calculus and statistics.” (Computers and Geosciences) “A key part of the book that separates it from other time series works is the explicit discussion of time uncertainty...a very useful text for those wishing to understand how to analyse climate time series.” (Journal of Time Series Analysis) “...outstanding. One of the best books on advanced practical time series analysis I have seen.” (David J. Hand, Past-President Royal Statistical Society)
Book Synopsis Selected Water Resources Abstracts by :
Download or read book Selected Water Resources Abstracts written by and published by . This book was released on 1975 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Review written by and published by . This book was released on 2009 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 1997 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regression Analysis written by Frost and published by Statistics by Jim Publishing. This book was released on 2024-09-22 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: BONUS! Hardcover edition contains a 42-page bonus chapter! Other Multivariate Methods Learn regression analysis at a deeper level with guidance written in everyday language! Intuitively understand regression analysis by focusing on concepts and graphs rather than equations. Learn practical tips for modeling your data and interpreting the results. Feel confident that you're analyzing your data properly and able to trust your results. Know that you can detect and correct problems that arise. Progress from a beginner to a skilled practitioner ready for real-world applications! After an overview of how regression works and why to use it, the book covers a range of topics, including specifying and assessing models, practical applications, types of effects, statistical significance, predictions, and an array of problem-solving techniques. Contains practical and analytical guidance. Select the correct type of regression analysis. Specify the best model and assess how well it fits the data. Interpret the results. Understand main effects, interaction effects, and modeling curvature. Use polynomials, data transformations, and weighted least squares. Generate predictions and evaluate their precision. Check the assumptions and resolve issues. Identify and manage unusual observations. Examples of many regression models and scenarios. Access free downloadable datasets so you can work the examples yourself.
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 1992 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-linear and Non-stationary Time Series Analysis by : Maurice Bertram Priestley
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:
Book Synopsis Journal of the American Statistical Association by : American Statistical Association
Download or read book Journal of the American Statistical Association written by American Statistical Association and published by . This book was released on 2000 with total page 766 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fractal Analyses: Statistical And Methodological Innovations And Best Practices by : John G. Holden
Download or read book Fractal Analyses: Statistical And Methodological Innovations And Best Practices written by John G. Holden and published by Frontiers E-books. This book was released on 2013-06-03 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many statistical and methodological developments regarding fractal analyses have appeared in the scientific literature since the publication of the seminal texts introducing Fractal Physiology. However, the lion’s share of more recent work is distributed across many outlets and disciplines, including aquatic sciences, biology, computer science, ecology, economics, geology, mathematics, medicine, neuroscience, physics, physiology, psychology, and others. The purpose of this special topic is to solicit submissions regarding fractal and nonlinear statistical techniques from experts that span a wide range of disciplines. The articles will aggregate extensive cross-discipline expertise into comprehensive and broadly applicable resources that will support the application of fractal methods to physiology and related disciplines. The articles will be organized with respect to a continuum defined by the characteristics of the empirical measurements a given analysis is intended to confront. At one end of the continuum are stochastic techniques directed at assessing scale invariant but stochastic data. The next step in the continuum concerns self-affine random fractals and methods directed at systems that entail scale-invariant or 1/f patterns or related patterns of temporal and spatial fluctuation. Analyses directed at (noisy) deterministic signals correspond to the final stage of the continuum that relates the statistical treatments of nonlinear stochastic and deterministic signals. Each section will contain introductory articles, advanced articles, and application articles so readers with any level of expertise with fractal methods will find the special topic accessible and useful. Example stochastic methods include probability density estimation for the inverse power-law, the lognormal, and related distributions. Articles describing statistical issues and tools for discriminating different classes of distributions will be included. An example issue is distinguishing power-law distributions from exponential distributions. Modeling issues and problems regarding statistical mimicking will be addressed as well. The random fractal section will present introductions to several one-dimensional monofractal time-series analysis. Introductory articles will be accompanied by advanced articles that will supply comprehensive treatments of all the key fractal time series methods such as dispersion analysis, detrended fluctuation analysis, power spectral density analysis, and wavelet techniques. Box counting and related techniques will be introduced and described for spatial analyses of two and three dimensional domains as well. Tutorial articles on the execution and interpretation of multifractal analyses will be solicited. There are several standard wavelet based and detrended fluctuation based methods for estimating a multifractal spectrum. We hope to include articles that contrast the different methods and compare their statistical performance as well. The deterministic methods section will include articles that present methods of phase space reconstruction, recurrence analysis, and cross-recurrence analysis. Recurrence methods are widely applicable, but motivated by signals that contain deterministic patterns. Nonetheless recent developments such as the analysis of recurrence interval scaling relations suggest applicability to fractal systems. Several related statistical procedures will be included in this section. Examples include average mutual information statistics and false nearest neighbor analyses.
Book Synopsis Adaptive Radar Signal Processing by : Simon Haykin
Download or read book Adaptive Radar Signal Processing written by Simon Haykin and published by John Wiley & Sons. This book was released on 2006-11-10 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collaborative work presents the results of over twenty years of pioneering research by Professor Simon Haykin and his colleagues, dealing with the use of adaptive radar signal processing to account for the nonstationary nature of the environment. These results have profound implications for defense-related signal processing and remote sensing. References are provided in each chapter guiding the reader to the original research on which this book is based.
Book Synopsis System Identification 2003 by : Paul Van Den Hof
Download or read book System Identification 2003 written by Paul Van Den Hof and published by Elsevier. This book was released on 2004-06-29 with total page 2092 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scope of the symposium covers all major aspects of system identification, experimental modelling, signal processing and adaptive control, ranging from theoretical, methodological and scientific developments to a large variety of (engineering) application areas. It is the intention of the organizers to promote SYSID 2003 as a meeting place where scientists and engineers from several research communities can meet to discuss issues related to these areas. Relevant topics for the symposium program include: Identification of linear and multivariable systems, identification of nonlinear systems, including neural networks, identification of hybrid and distributed systems, Identification for control, experimental modelling in process control, vibration and modal analysis, model validation, monitoring and fault detection, signal processing and communication, parameter estimation and inverse modelling, statistical analysis and uncertainty bounding, adaptive control and data-based controller tuning, learning, data mining and Bayesian approaches, sequential Monte Carlo methods, including particle filtering, applications in process control systems, motion control systems, robotics, aerospace systems, bioengineering and medical systems, physical measurement systems, automotive systems, econometrics, transportation and communication systems*Provides the latest research on System Identification*Contains contributions written by experts in the field*Part of the IFAC Proceedings Series which provides a comprehensive overview of the major topics in control engineering.
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.
Book Synopsis Rough Volatility by : Christian Bayer
Download or read book Rough Volatility written by Christian Bayer and published by SIAM. This book was released on 2023-12-18 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. The mathematical description of the volatility process has been an active topic of research for decades; however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility behaves essentially as a fractional Brownian motion with a small Hurst parameter. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling, providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject’s development and progression. This book is designed for researchers and graduate students in quantitative finance as well as quantitative analysts and finance professionals.
Download or read book Applied Mechanics Reviews written by and published by . This book was released on 1973 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt:
