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Model Identification And Estimation Of Nongaussian Arma Processes
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Book Synopsis Model Identification and Estimation of NonGaussian ARMA Processes by : Keh-Shin Lii
Download or read book Model Identification and Estimation of NonGaussian ARMA Processes written by Keh-Shin Lii and published by . This book was released on 1982 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finite parameter models of ARMA type have been used extensively in many applications. Under the usual Gaussian assumption, the second order analysis will not be able to discriminate among competing models which give the same correlation structure. In many applications the innovation process is non-Gaussian. In this case, analysis using higher order moments will identify the model uniquely without the usual invertibility assumption. This in turn will affect the forecasting based on the non-Gaussian model. We present a method which uses bispectral analysis and the Pade approximation. We show that the method will consistently identify the order of the ARMA model and estimate the parameters of the model. One could also deconvolve the process to estimate the innovative process which will provide information for possible more efficient maximum likelihood estimation of the parameters. Asymptotic distributions are given, and a few examples are presented to illustrate the effectiveness of the method. (Author).
Book Synopsis ARMA Model Identification by : ByoungSeon Choi
Download or read book ARMA Model Identification written by ByoungSeon Choi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.
Book Synopsis On estimating non-causal non-minimum phase arma models of non-gaussian processes by : Georgios B. Giannakis
Download or read book On estimating non-causal non-minimum phase arma models of non-gaussian processes written by Georgios B. Giannakis and published by . This book was released on 1988 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 604 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computationally Efficient Methods of ARMA System Identification and Spectral Estimation by : Robert Louis Cupo
Download or read book Computationally Efficient Methods of ARMA System Identification and Spectral Estimation written by Robert Louis Cupo and published by . This book was released on 1982 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Johnson Su-transformations for Parameter Estimation in Arma-models when Data are Non-gaussian by : R. van Montfort
Download or read book Johnson Su-transformations for Parameter Estimation in Arma-models when Data are Non-gaussian written by R. van Montfort and published by . This book was released on 1983 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cumulant based order determination of non-gaussian arma models by : Georgios B. Giannakis
Download or read book Cumulant based order determination of non-gaussian arma models written by Georgios B. Giannakis and published by . This book was released on 1987 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cumulant and polyspectral measures for non-Gaussian signal classification and estimation by : Georgios B. Giannakis
Download or read book Cumulant and polyspectral measures for non-Gaussian signal classification and estimation written by Georgios B. Giannakis and published by . This book was released on 1989 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Robust Estimation of ARMA Models with Near Root Cancellation by : Timothy Cogley
Download or read book Robust Estimation of ARMA Models with Near Root Cancellation written by Timothy Cogley and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard estimation of ARMA models in which the AR and MA roots nearly cancel, so that individual coefficients are only weakly identified, often produces inferential ranges for individual coefficients that give a spurious appearance of accuracy. We remedy this problem with a model that uses a simple mixture prior. The posterior mixing probability is derived using Bayesian methods, but we show that the method works well in both Bayesian and frequentist setups. In particular, we show that our mixture procedure weights standard results heavily when given data from a well-identified ARMA model (which does not exhibit near root cancellation) and weights heavily an uninformative inferential region when given data from a weakly-identified ARMA model (with near root cancellation). When our procedure is applied to a well-identified process the investigator gets the "usual results," so there is no important statistical cost to using our procedure. On the other hand, when our procedure is applied to a weakly-identified process, the investigator learns that the data tell us little about the parameters -- and is thus protected against making spurious inferences. We recommend that mixture models be computed routinely when inference about ARMA coefficients is of interest.
Download or read book Technical Abstract Bulletin written by and published by . This book was released on 1982 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Networked Digital Technologies, Part II by : Filip Zavoral
Download or read book Networked Digital Technologies, Part II written by Filip Zavoral and published by Springer Science & Business Media. This book was released on 2010-06-30 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: On behalf of the NDT 2010 conference, the Program Committee and Charles University in Prague, Czech Republic, we welcome you to the proceedings of the Second International Conference on ‘Networked Digital Technologies’ (NDT 2010). The NDT 2010 conference explored new advances in digital and Web technology applications. It brought together researchers from various areas of computer and information sciences who addressed both theoretical and applied aspects of Web technology and Internet applications. We hope that the discussions and exchange of ideas that took place will contribute to advancements in the technology in the near future. The conference received 216 papers, out of which 85 were accepted, resulting in an acceptance rate of 39%. These accepted papers are authored by researchers from 34 countries covering many significant areas of Web applications. Each paper was evaluated by a minimum of two reviewers. Finally, we believe that the proceedings document the best research in the studied areas. We express our thanks to the Charles University in Prague, Springer, the authors and the organizers of the conference.
Book Synopsis Non-gaussian ARMA Estimation Based on Higher-order Statistics by : Josep Vidal Manzano
Download or read book Non-gaussian ARMA Estimation Based on Higher-order Statistics written by Josep Vidal Manzano and published by . This book was released on 1993 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis New results on state-space and input-output identification of non-gaussian processes using cumulants by : Georgios B. Giannakis
Download or read book New results on state-space and input-output identification of non-gaussian processes using cumulants written by Georgios B. Giannakis and published by . This book was released on 1987 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modern Signal Processing by : Xian-Da Zhang
Download or read book Modern Signal Processing written by Xian-Da Zhang and published by Walter de Gruyter GmbH & Co KG. This book was released on 2022-12-05 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book systematically introduces theories of frequently-used modern signal processing methods and technologies, and focuses discussions on stochastic signal, parameter estimation, modern spectral estimation, adaptive filter, high-order signal analysis and non-linear transformation in time-domain signal analysis. With abundant exercises, the book is an essential reference for graduate students in electrical engineering and information science.
Book Synopsis The Application of Higher Order Statistics to Non-linear Model Identification and Parameter Estimation in the Time and Frequency Domains by : David Guy
Download or read book The Application of Higher Order Statistics to Non-linear Model Identification and Parameter Estimation in the Time and Frequency Domains written by David Guy and published by . This book was released on 1992 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Non-Gaussian Autoregressive-Type Time Series by : N. Balakrishna
Download or read book Non-Gaussian Autoregressive-Type Time Series written by N. Balakrishna and published by Springer Nature. This book was released on 2022-01-27 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together a variety of non-Gaussian autoregressive-type models to analyze time-series data. This book collects and collates most of the available models in the field and provide their probabilistic and inferential properties. This book classifies the stationary time-series models into different groups such as linear stationary models with non-Gaussian innovations, linear stationary models with non-Gaussian marginal distributions, product autoregressive models and minification models. Even though several non-Gaussian time-series models are available in the literature, most of them are focusing on the model structure and the probabilistic properties.
