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Maximum Likelihood Estimation Of Parameters Of An Autoregressive Process With Moving Average Residuals And Other Covariance Matrices With Linear Structure
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Book Synopsis Maximum Likelihood Estimation of Parameters of an Autoregressive Process with Moving Average Residuals and Other Covariance Matrices with Linear Structure by : STANFORD UNIV CALIF DEPT OF STATISTICS.
Download or read book Maximum Likelihood Estimation of Parameters of an Autoregressive Process with Moving Average Residuals and Other Covariance Matrices with Linear Structure written by STANFORD UNIV CALIF DEPT OF STATISTICS. and published by . This book was released on 1973 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Structural Econometric Time Series Analysis Approach by : Arnold Zellner
Download or read book The Structural Econometric Time Series Analysis Approach written by Arnold Zellner and published by Cambridge University Press. This book was released on 2004-10-21 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.
Book Synopsis Maximum Likelihood Estimation of the Autoregressive Coefficients and Moving Average Covariances of Vector Autoregressive Moving Average Models by : Fereydoon Ahrabi
Download or read book Maximum Likelihood Estimation of the Autoregressive Coefficients and Moving Average Covariances of Vector Autoregressive Moving Average Models written by Fereydoon Ahrabi and published by . This book was released on 1979 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to derive asymptotically efficient estimates for the autoregressive matrix coefficients and moving average covariance matrices of the vector autoregressive moving average (VARMA) models in both time and frequency domains. To do this we shall apply the Newton-Raphson and scoring methods to the maximum likelihood equations derived from modified likelihood functions under the Gaussian Assumption.
Book Synopsis Developments in Statistics by : Paruchuri R. Krishnaiah
Download or read book Developments in Statistics written by Paruchuri R. Krishnaiah and published by Academic Press. This book was released on 2014-06-28 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developments in Statistics, Volume 4 reviews developments in the theory and applications of statistics, covering topics such as time series, identifiability and model selection, and missing data. The application of structured exploratory data analysis to human genetics, specifically, the mode of inheritance, is also considered. Comprised of four chapters, this volume begins with an introduction to spectrum parameter estimation in time series analysis, restricting the discussion to the simplest univariate (that is, scalar) real-valued time series X(t). An accurate formulation of the general problem is presented. The accuracy of different consistent estimates obtained for large but fixed values of T (maximum likelihood estimates, Whittle's estimates, and simplified asymptotically efficient estimates) is also compared. The next chapter deals with identifiability and modeling in econometrics, focusing on the theoretical framework relating realization theory, identification, and parametrization. The realization theory is illustrated on various levels of generality by means of examples related to econometrics, along with some advanced applications of system theory. The book also examines inference on parameters of multivariate normal populations when some data are missing before concluding with an evaluation of structured exploratory data as applied to the study of the mode of inheritance. This monograph will be of interest to students and practitioners of statistics.
Book Synopsis Topics in Applied Multivariate Analysis by : D. M. Hawkins
Download or read book Topics in Applied Multivariate Analysis written by D. M. Hawkins and published by Cambridge University Press. This book was released on 1982-04-22 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multivariate methods are employed widely in the analysis of experimental data but are poorly understood by those users who are not statisticians. This is because of the wide divergence between the theory and practice of multivariate methods. This book provides concise yet thorough surveys of developments in multivariate statistical analysis and gives statistically sound coverage of the subject. The contributors are all experienced in the theory and practice of multivariate methods and their aim has been to emphasize the major features from the point of view of applicability and to indicate the limitations and conditions of the techniques. Professional statisticians wanting to improve their background in applicable methods, users of high-level statistical methods wanting to improve their background in fundamentals, and graduate students of statistics will all find this volume of value and use.
Book Synopsis The Collected Papers of T.W. Anderson, 1943-1985 by : Theodore Wilbur Anderson
Download or read book The Collected Papers of T.W. Anderson, 1943-1985 written by Theodore Wilbur Anderson and published by Wiley-Interscience. This book was released on 1990 with total page 872 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Transactions of the Seventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes and of the 1974 European Meeting of Statisticians by : J. Kozesnik
Download or read book Transactions of the Seventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes and of the 1974 European Meeting of Statisticians written by J. Kozesnik and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Prague Conferences on Information Theory, Statistical Decision Functions, and Random Processes have been organized every three years since 1956. During the eighteen years of their existence the Prague Conferences developed from a platform for presenting results obtained by a small group of researchers into a probabilistic congress, this being documented by the increasing number of participants as well as of presented papers. The importance of the Seventh Prague Conference has been emphasized by the fact that this Conference was held jointly with the eighth European Meeting of Statisticians. This joint meeting was held from August 18 to 23, 1974 at the Technical University of Prague. The Conference was organized by the Institute of Information Theory and Automation of the Czechoslovak Academy of Sciences and was sponsored by the Czechoslovak Academy of Sciences, by the Committee for the European Region of the Institute of Mathematical Statistics, and by the International As sociation for Statistics in Physical Sciences. More than 300 specialists from 25 countries participated in the Conference. In 57 sessions 164 papers (including 17 invited papers) were read, 128 of which are published in the present two volumes of the Transactions of the Conference. Volume A includes papers related mainly to probability theory and stochastic processes, whereas the papers of Volume B concern mainly statistics and information theory.
Book Synopsis System Identification by : Lennart Ljung
Download or read book System Identification written by Lennart Ljung and published by Pearson Education. This book was released on 1998-12-29 with total page 873 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field's leading text, now completely updated. Modeling dynamical systems — theory, methodology, and applications. Lennart Ljung's System Identification: Theory for the User is a complete, coherent description of the theory, methodology, and practice of System Identification. This completely revised Second Edition introduces subspace methods, methods that utilize frequency domain data, and general non-linear black box methods, including neural networks and neuro-fuzzy modeling. The book contains many new computer-based examples designed for Ljung's market-leading software, System Identification Toolbox for MATLAB. Ljung combines careful mathematics, a practical understanding of real-world applications, and extensive exercises. He introduces both black-box and tailor-made models of linear as well as non-linear systems, and he describes principles, properties, and algorithms for a variety of identification techniques: Nonparametric time-domain and frequency-domain methods. Parameter estimation methods in a general prediction error setting. Frequency domain data and frequency domain interpretations. Asymptotic analysis of parameter estimates. Linear regressions, iterative search methods, and other ways to compute estimates. Recursive (adaptive) estimation techniques. Ljung also presents detailed coverage of the key issues that can make or break system identification projects, such as defining objectives, designing experiments, controlling the bias distribution of transfer-function estimates, and carefully validating the resulting models. The first edition of System Identification has been the field's most widely cited reference for over a decade. This new edition will be the new text of choice for anyone concerned with system identification theory and practice.
Download or read book A Very British Affair written by T. Mills and published by Springer. This book was released on 2012-11-27 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops the major themes of time series analysis from its formal beginnings in the early part of the 20th century to the present day through the research of six distinguished British statisticians, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance.
Book Synopsis The Collected Papers of T.W. Anderson, 1943-1958 by : Theodore Wilbur Anderson
Download or read book The Collected Papers of T.W. Anderson, 1943-1958 written by Theodore Wilbur Anderson and published by . This book was released on 1990 with total page 950 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Report by : University of Wisconsin--Madison. Department of Statistics
Download or read book Technical Report written by University of Wisconsin--Madison. Department of Statistics and published by . This book was released on 1972 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistics and Probability by : J. K. Ghosh
Download or read book Statistics and Probability written by J. K. Ghosh and published by New Age International. This book was released on 1993 with total page 594 pages. Available in PDF, EPUB and Kindle. Book excerpt: All The Four Editors Are Professors Of The Indian Statistical Institute Who Hold The Rank Of Distinguished Scientist. They Have Been Serving As Editors Of Sankhya, The Indian Journal Of Statistics For A Long Time. They Are Fellows Of The Indian National Science Academy And The Indian Academy Of Science. They Were Elected To The Membership Of The International Statistical Institute Of Which J.K. Ghosh Is Currently The President Elect. S.K. Mitra Is A Distinguished Scientist Emeritus. B.L.S. Prakasa Rao Is At Present The Director Of This Institute, J.K. Ghosh, K.R. Parthasarathy And B.L.S. Prakasa Rao Are All Recipients Of The Shanti Swarup Bhatnagar Prize.
Book Synopsis Spectral Analysis and Time Series: Multivariate series, prediction and control by : Maurice Bertram Priestley
Download or read book Spectral Analysis and Time Series: Multivariate series, prediction and control written by Maurice Bertram Priestley and published by . This book was released on 1981 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis JOURNAL OF Econometrics COMPUTATION IN ECONMETRIC MODELS by : Warren T. Dent
Download or read book JOURNAL OF Econometrics COMPUTATION IN ECONMETRIC MODELS written by Warren T. Dent and published by . This book was released on 1980 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Continuous Time Series Modeling with Applications by : Tanakon Ungpiyakul
Download or read book Continuous Time Series Modeling with Applications written by Tanakon Ungpiyakul and published by . This book was released on 1979 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bayesian Estimation of Common Parameters for Two Time Series by : Bonita J. Campbell
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:
Book Synopsis Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models by : STANFORD UNIV CALIF DEPT OF STATISTICS.
Download or read book Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models written by STANFORD UNIV CALIF DEPT OF STATISTICS. and published by . This book was released on 1978 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The vector autoregressive moving average model is a multivariate stationary stochastic process where the unobservable multivariate process consists of independently identically distributed random vectors. The coefficient matrices and the covariance matrix are to be estimated from an observed sequence. Under the assumption of normality the method of maximum likelihood is applied to likelihoods suitably modified for techniques in the frequency and time domains. Newton-Raphson and scoring iterative methods are presented.
