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Identification Of Periodic Autoregressive Moving Average Models
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Book Synopsis IDENTIFICATION OF PERIODIC AUTOREGRESSIVE MOVING AVERAGE MODELS. by :
Download or read book IDENTIFICATION OF PERIODIC AUTOREGRESSIVE MOVING AVERAGE MODELS. written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, identification of periodically varying orders of univariate Periodic Autoregressive Moving-Average (PARMA) processes is mainly studied. The identification of the varying orders of PARMA process is carried out by generalizing the well-known Box-Jenkins techniques to a seasonwise manner. The identification of pure periodic moving-average (PMA) and pure periodic autoregressive (PAR) models are considered only. For PARMA model identification, the Periodic Autocorrelation Function (PeACF) and Periodic Partial Autocorrelation Function (PePACF), which play the same role as their ARMA counterparts, are employed. For parameter estimation, which is considered only to refine model identification, the conditional least squares estimation (LSE) method is used which is applicable to PAR models. Estimation becomes very complicated, difficult and may give unsatisfactory results when a moving-average (MA) component exists in the model. On account of overcoming this difficulty, seasons following PMA processes are tried to be modeled as PAR processes with reasonable orders in order to employ LSE. Diagnostic checking, through residuals of the fitted model, is also performed stating its reasons and methods. The last part of the study demonstrates application of identification techniques through analysis of two seasonal hydrologic time series, which consist of average monthly streamflows. For this purpose, computer programs were developed specially for PARMA model identification.
Book Synopsis Hidden Periodic Autoregressive - Moving Average Models in Time Series Data by : Michael R. Grupe
Download or read book Hidden Periodic Autoregressive - Moving Average Models in Time Series Data written by Michael R. Grupe and published by . This book was released on 1980 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Aggregation and Estimation for Periodic Autoregressive-moving Average Models by : Aldo V. Vecchia
Download or read book Aggregation and Estimation for Periodic Autoregressive-moving Average Models written by Aldo V. Vecchia and published by . This book was released on 1983 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Autoregressive Moving-average (ARMA) Model Identification for Degenerate Time Series with Application to Maneuvering Target Tracking by : Norman Owen Speakman
Download or read book Autoregressive Moving-average (ARMA) Model Identification for Degenerate Time Series with Application to Maneuvering Target Tracking written by Norman Owen Speakman and published by . This book was released on 1985 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research was conducted in the general areas of time series analysis and stochastic realization. Results were then applied to the specific problem of tracking a highly maneuverable aircraft target. An algorithm was developed to identify the order and parameters of the minimum autoregressive moving-average (ARMA) model of a multi-variable system given the output autocorrelation sequence. Studies were also conducted in the area of degenerate time series modeling. It was found that degeneracy in vector-valued time series is caused by the presence of one or more deterministic relationships in the time series. ARMA models for degenerate time series can be identified by finding and extracting the deterministic relationships from the time series. The result is a reduced dimension atochastic model of the system, The model found will have fewer white noise inputs than outputs. An AR
Book Synopsis A Unified Approach to ARMA (Autoregressive-Moving Average) Model Identification and Preliminary Estimation by : G. T. Wilson
Download or read book A Unified Approach to ARMA (Autoregressive-Moving Average) Model Identification and Preliminary Estimation written by G. T. Wilson and published by . This book was released on 1983 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews several different methods for identifying the orders of autoregressive-moving average models for time series data. The case is made that these have a common basis, and that a unified approach may be found in the analysis of a matrix G, defined to be the covariance matrix of forecast values. The estimation of this matrix is considered, emphasis being placed on the use of high order autoregression to approximate the predictor coefficients. Statistical procedures are proposed for analyzing G, and identifying the model orders. A simulation example and three sets of real data are used to illustrate the procedure, which appears to be very useful as a tool for order identification and preliminary model estimation. (Author).
Book Synopsis Robust Identification of Autoregressive Moving Average Models by : Guido Masarotto
Download or read book Robust Identification of Autoregressive Moving Average Models written by Guido Masarotto and published by . This book was released on 1987 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Alternative Methods of Identification and Estimation of Vector Autoregressive Moving Average Models by : George Athanasopoulos
Download or read book Essays on Alternative Methods of Identification and Estimation of Vector Autoregressive Moving Average Models written by George Athanasopoulos and published by . This book was released on 2005 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Periodic Time Series Models by : Philip Hans Franses
Download or read book Periodic Time Series Models written by Philip Hans Franses and published by Oxford University Press. This book was released on 2004 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this insightful, modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.
Book Synopsis Periodic Autoregressive Model Identification Using Genetic Algorithms by : Eugen Ursu
Download or read book Periodic Autoregressive Model Identification Using Genetic Algorithms written by Eugen Ursu and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Periodic autoregressive (PAR) models extend the classical autoregressive models by allowing the parameters to vary with seasons. Selecting PAR time-series models can be computationally expensive, and the results are not always satisfactory. In this article, we propose a new automatic procedure to the model selection problem by using the genetic algorithm. The Bayesian information criterion is used as a tool to identify the order of the PAR model. The success of the proposed procedure is illustrated in a small simulation study, and an application with monthly data is presented.
Book Synopsis Hidden Periodic Autoregressive - Moving Average Models in Time Series Data by : Michael R. Grupe
Download or read book Hidden Periodic Autoregressive - Moving Average Models in Time Series Data written by Michael R. Grupe and published by . This book was released on 1979 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cyclostationarity: Theory and Methods - II by : Fakher Chaari
Download or read book Cyclostationarity: Theory and Methods - II written by Fakher Chaari and published by Springer. This book was released on 2015-04-15 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reports on the latest advances in the analysis of non-stationary signals, with special emphasis on cyclostationary systems. It includes cutting-edge contributions presented at the 7th Workshop on “Cyclostationary Systems and Their Applications,” which was held in Gródek nad Dunajcem, Poland, in February 2014. The book covers both the theoretical properties of cyclostationary models and processes, including estimation problems for systems exhibiting cyclostationary properties, and several applications of cyclostationary systems, including case studies on gears and bearings, and methods for implementing cyclostationary processes for damage assessment in condition-based maintenance operations. It addresses the needs of students, researchers and professionals in the broad fields of engineering, mathematics and physics, with a special focus on those studying or working with nonstationary and/or cyclostationary processes.
Book Synopsis Time Series Modelling of Water Resources and Environmental Systems by : K.W. Hipel
Download or read book Time Series Modelling of Water Resources and Environmental Systems written by K.W. Hipel and published by Elsevier. This book was released on 1994-04-07 with total page 1053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive presentation of the theory and practice of time series modelling of environmental systems. A variety of time series models are explained and illustrated, including ARMA (autoregressive-moving average), nonstationary, long memory, three families of seasonal, multiple input-single output, intervention and multivariate ARMA models. Other topics in environmetrics covered in this book include time series analysis in decision making, estimating missing observations, simulation, the Hurst phenomenon, forecasting experiments and causality. Professionals working in fields overlapping with environmetrics - such as water resources engineers, environmental scientists, hydrologists, geophysicists, geographers, earth scientists and planners - will find this book a valuable resource. Equally, environmetrics, systems scientists, economists, mechanical engineers, chemical engineers, and management scientists will find the time series methods presented in this book useful.
Book Synopsis Identification of Two-dimensional Autoregressive-moving Average Process by : Hlung-Wen Jack Penm
Download or read book Identification of Two-dimensional Autoregressive-moving Average Process written by Hlung-Wen Jack Penm and published by . This book was released on 19?? with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identification of a Mixed Autoregressive-moving Average Process by : Jean-Marc Beguin
Download or read book Identification of a Mixed Autoregressive-moving Average Process written by Jean-Marc Beguin and published by . This book was released on 1979 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Chaos in Hydrology by : Bellie Sivakumar
Download or read book Chaos in Hydrology written by Bellie Sivakumar and published by Springer. This book was released on 2016-11-16 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This authoritative book presents a comprehensive account of the essential roles of nonlinear dynamic and chaos theories in understanding, modeling, and forecasting hydrologic systems. This is done through a systematic presentation of: (1) information on the salient characteristics of hydrologic systems and on the existing theories for their modeling; (2) the fundamentals of nonlinear dynamic and chaos theories, methods for chaos identification and prediction, and associated issues; (3) a review of the applications of chaos theory in hydrology; and (4) the scope and potential directions for the future. This book bridges the divide between the deterministic and the stochastic schools in hydrology, and is well suited as a textbook for hydrology courses.
Book Synopsis Introduction to Multiple Time Series Analysis by : Helmut Lütkepohl
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 2013-04-17 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Series Analysis and Forecasting by : Lon-Mu Liu
Download or read book Time Series Analysis and Forecasting written by Lon-Mu Liu and published by . This book was released on 2006-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
