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Author : Maurice Bertram Priestley
Publisher :
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.3/5 (91 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 258 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 : T. Subba Rao
Publisher : CRC Press
ISBN 13 : 9780412492600
Total Pages : 466 pages
Book Rating : 4.4/5 (926 download)
Download or read book Developments in Time Series Analysis written by T. Subba Rao and published by CRC Press. This book was released on 1993-07-01 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains 27 papers, written by time series analysts, dealing with statistical theory, methodology and applications. The emphasis is on the recent developments in the analysis of linear, onlinear (non-Gaussian), stationary and nonstationary time series. The topics include cointegration, estimation and asymptotic theory, Kalman filtering, nonparametric statistical inference, long memory models, nonlinear models, spectral analysis of stationary and nonstationary processes. Quite a number of papers are devoted to modelling and analysis of real time series, and the econometricians, mathematical statisticians, communications engineers and scientists who use time series techniques and Fourier analysis should find the papers in this volume useful.
Author : Holger Kantz
Publisher : Cambridge University Press
ISBN 13 : 9780521529020
Total Pages : 390 pages
Book Rating : 4.5/5 (29 download)
Download or read book Nonlinear Time Series Analysis written by Holger Kantz and published by Cambridge University Press. This book was released on 2004 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paradigm of deterministic chaos has influenced thinking in many fields of science. Chaotic systems show rich and surprising mathematical structures. In the applied sciences, deterministic chaos provides a striking explanation for irregular behaviour and anomalies in systems which do not seem to be inherently stochastic. The most direct link between chaos theory and the real world is the analysis of time series from real systems in terms of nonlinear dynamics. Experimental technique and data analysis have seen such dramatic progress that, by now, most fundamental properties of nonlinear dynamical systems have been observed in the laboratory. Great efforts are being made to exploit ideas from chaos theory wherever the data displays more structure than can be captured by traditional methods. Problems of this kind are typical in biology and physiology but also in geophysics, economics, and many other sciences.
Author : Zhou Zhou
Publisher :
ISBN 13 : 9781109314366
Total Pages : 103 pages
Book Rating : 4.3/5 (143 download)
Download or read book Non-stationary Time Series Analysis, a Nonlinear Systems Approach written by Zhou Zhou and published by . This book was released on 2009 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays, technological innovations have made it possible to collect a massive amount of data with complex structure over a relatively long period of time. For such data, many empirical evidences have shown that the traditional time series analysis tools for stationary processes are insufficient. As a consequence, there have been great demands and interests for theoretical and methodological advancements for non-stationary time series analysis. In this thesis, we shall propose a general class of non-stationary time series models, which we call locally stationary time series, and discuss the consequences of such modelling. In particular, inferences of quantile curves and conditional mean functions of such processes will be discussed in detail. Numerous real data examples shows the applicability of our theory and methodology in fields such as environmental sciences and financial econometrics.
Author : Jianqing Fan
Publisher : Springer Science & Business Media
ISBN 13 : 0387693955
Total Pages : 565 pages
Book Rating : 4.3/5 (876 download)
Download or read book Nonlinear Time Series written by Jianqing Fan and published by Springer Science & Business Media. This book was released on 2008-09-11 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book that integrates useful parametric and nonparametric techniques with time series modeling and prediction, the two important goals of time series analysis. Such a book will benefit researchers and practitioners in various fields such as econometricians, meteorologists, biologists, among others who wish to learn useful time series methods within a short period of time. The book also intends to serve as a reference or text book for graduate students in statistics and econometrics.
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 : W. J. Fitzgerald
Publisher : Cambridge University Press
ISBN 13 : 9780521800440
Total Pages : 510 pages
Book Rating : 4.8/5 (4 download)
Download or read book Nonlinear and Nonstationary Signal Processing written by W. J. Fitzgerald and published by Cambridge University Press. This book was released on 2000 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: Signal processing, nonlinear data analysis, nonlinear time series, nonstationary processes.
Author : Tata Subba Rao
Publisher : Elsevier
ISBN 13 : 0444538585
Total Pages : 778 pages
Book Rating : 4.4/5 (445 download)
Download or read book Time Series Analysis: Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
Author : Alireza Entezami
Publisher : Springer Nature
ISBN 13 : 3030662594
Total Pages : 145 pages
Book Rating : 4.0/5 (36 download)
Download or read book Structural Health Monitoring by Time Series Analysis and Statistical Distance Measures written by Alireza Entezami and published by Springer Nature. This book was released on 2021-02-01 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book conducts effective research on data-driven Structural Health Monitoring (SHM), and accordingly presents many novel feature extraction methods by time series analysis and signal processing, to extract reliable damage sensitive features from vibration responses. In this regard, some limitations of time series modeling are dealt with. For decision-making, innovative distance-based novelty detection techniques are presented to detect, locate, and quantify different damage scenarios. The performance of the presented methods is demonstrated via laboratory and full-scale structures along with several comparative studies. The main target audience of the book includes scholars, graduate students working on SHM via statistical pattern recognition in terms of feature extraction and classification for damage diagnosis under environmental and operational variations; it would also be beneficial for practicing engineers whose work involves these topics.
Author : Jan G. De Gooijer
Publisher : Springer
ISBN 13 : 3319432524
Total Pages : 618 pages
Book Rating : 4.3/5 (194 download)
Download or read book Elements of Nonlinear Time Series Analysis and Forecasting written by Jan G. De Gooijer and published by Springer. This book was released on 2017-03-30 with total page 618 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of the current state-of-the-art of nonlinear time series analysis, richly illustrated with examples, pseudocode algorithms and real-world applications. Avoiding a “theorem-proof” format, it shows concrete applications on a variety of empirical time series. The book can be used in graduate courses in nonlinear time series and at the same time also includes interesting material for more advanced readers. Though it is largely self-contained, readers require an understanding of basic linear time series concepts, Markov chains and Monte Carlo simulation methods. The book covers time-domain and frequency-domain methods for the analysis of both univariate and multivariate (vector) time series. It makes a clear distinction between parametric models on the one hand, and semi- and nonparametric models/methods on the other. This offers the reader the option of concentrating exclusively on one of these nonlinear time series analysis methods. To make the book as user friendly as possible, major supporting concepts and specialized tables are appended at the end of every chapter. In addition, each chapter concludes with a set of key terms and concepts, as well as a summary of the main findings. Lastly, the book offers numerous theoretical and empirical exercises, with answers provided by the author in an extensive solutions manual.
Author : Michael Small
Publisher : World Scientific
ISBN 13 : 981256117X
Total Pages : 262 pages
Book Rating : 4.8/5 (125 download)
Download or read book Applied Nonlinear Time Series Analysis written by Michael Small and published by World Scientific. This book was released on 2005 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of photographs focusing on the fading traditions, heritage and culture in County Cork Ireland.
Author : Christian Hafner
Publisher : Springer Science & Business Media
ISBN 13 : 3662126052
Total Pages : 235 pages
Book Rating : 4.6/5 (621 download)
Download or read book Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility written by Christian Hafner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.
Author : Gilles Dufrénot
Publisher : Springer Nature
ISBN 13 : 3030542521
Total Pages : 387 pages
Book Rating : 4.0/5 (35 download)
Download or read book Recent Econometric Techniques for Macroeconomic and Financial Data written by Gilles Dufrénot and published by Springer Nature. This book was released on 2020-11-21 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Author : Norden Eh Huang
Publisher : World Scientific
ISBN 13 : 9812703349
Total Pages : 326 pages
Book Rating : 4.8/5 (127 download)
Download or read book Hilbert-Huang Transform and Its Applications written by Norden Eh Huang and published by World Scientific. This book was released on 2005 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: The HilbertOCoHuang Transform (HHT) represents a desperate attempt to break the suffocating hold on the field of data analysis by the twin assumptions of linearity and stationarity. Unlike spectrograms, wavelet analysis, or the WignerOCoVille Distribution, HHT is truly a time-frequency analysis, but it does not require an a priori functional basis and, therefore, the convolution computation of frequency. The method provides a magnifying glass to examine the data, and also offers a different view of data from nonlinear processes, with the results no longer shackled by spurious harmonics OCo the artifacts of imposing a linearity property on a nonlinear system or of limiting by the uncertainty principle, and a consequence of Fourier transform pairs in data analysis. This is the first HHT book containing papers covering a wide variety of interests. The chapters are divided into mathematical aspects and applications, with the applications further grouped into geophysics, structural safety and visualization.
Author : Kung-sik Chan
Publisher : World Scientific
ISBN 13 : 9812836276
Total Pages : 412 pages
Book Rating : 4.8/5 (128 download)
Download or read book Exploration of a Nonlinear World written by Kung-sik Chan and published by World Scientific. This book was released on 2009 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extensions of Howell Tong's threshold approach to other fields of statistics abound. This volume is dedicated to his 65th birthday and consists of in-depth contributions from leading experts in a variety of fields of statistics, ecology, economics and finance as well as some of Tong's reprints.
Author : Douglas M. Patterson
Publisher : Springer Science & Business Media
ISBN 13 : 144198688X
Total Pages : 205 pages
Book Rating : 4.4/5 (419 download)
Download or read book A Nonlinear Time Series Workshop written by Douglas M. Patterson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: The complex dynamic behavior exhibited by many nonlinear systems - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a good deal of attention in recent years. A Nonlinear Time Series Workshop provides the reader with both the statistical background and the software tools necessary for detecting nonlinear behavior in time series data. The most useful existing detection techniques are described, including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on the estimated bispectrum. These techniques are illustrated using actual data from fields such as economics, finance, engineering, and geophysics.
