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Author :
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (633 download)
Download or read book Parameter estimation for nearly nonstationary AR(1) processes written by and published by . This book was released on 1992 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dennis D. Cox
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (227 download)
Download or read book Gaussian Likelihood Estimation for Nearly Nonstationary AR(1) Processes written by Dennis D. Cox and published by . This book was released on 1987 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: An asymptotic analysis is presented for estimation in the three parameter first order autoregressive model, where the parameters are the mean, autoregressive coefficient, and variance of the shocks. The nearly nonstationary asymptotic model is considered wherein the autoregressive coefficient tends to 1 as sample size tends to infinity. Three different estimators are considered: the exact gaussian maximum likelihood estimator, the conditional maximum likelihood or least squares estimator, and some naive estimators. It is shown that the estimators converge in distribution to analogous estimators for a continuous time Ornstein-Uhlenbeck process. Simulation results show that the MLE has smaller asymptotic mean squared error than the other two, and that the conditional maximum likelihood estimator gives a very poor estimator of the process mean. Keywords: Likelihood estimation; Autoregressive processes; Nearly nonstationary time series; Ornstein Uhlenbeck process.
Author : M. J. L. de Hoorn
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (685 download)
Download or read book Parameter Estimation of Nearly Nonstationary Autoregressive Processes; January-Juni 1995 written by M. J. L. de Hoorn and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : B. Grigelionis
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3112313488
Total Pages : 752 pages
Book Rating : 4.1/5 (123 download)
Download or read book Probability Theory and Mathematical Statistics written by B. Grigelionis and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-05-05 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Probability Theory and Mathematical Statistics".
Author : A.V. Skorokhod
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3112318765
Total Pages : 532 pages
Book Rating : 4.1/5 (123 download)
Download or read book Exploring Stochastic Laws written by A.V. Skorokhod and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-05-18 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Exploring Stochastic Laws".
Author :
Publisher :
ISBN 13 :
Total Pages : 608 pages
Book Rating : 4.:/5 (43 download)
Download or read book Report written by and published by . This book was released on 1994 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Al?bert Nikolaevich Shiri?aev
Publisher : World Scientific
ISBN 13 : 9789810241018
Total Pages : 306 pages
Book Rating : 4.2/5 (41 download)
Download or read book Statistical Experiments and Decisions written by Al?bert Nikolaevich Shiri?aev and published by World Scientific. This book was released on 2000 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides an exposition of some fundamental aspects of the asymptotic theory of statistical experiments. The most important of them is ?how to construct asymptotically optimal decisions if we know the structure of optimal decisions for the limit experiment?.
Author : Wayne A. Fuller
Publisher : John Wiley & Sons
ISBN 13 : 0470317752
Total Pages : 734 pages
Book Rating : 4.4/5 (73 download)
Download or read book Introduction to Statistical Time Series written by Wayne A. Fuller and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
Author : Albert N Shiryaev
Publisher : World Scientific
ISBN 13 : 9814494151
Total Pages : 301 pages
Book Rating : 4.8/5 (144 download)
Download or read book Statistical Experiments And Decision, Asymptotic Theory written by Albert N Shiryaev and published by World Scientific. This book was released on 2000-07-04 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides an exposition of some fundamental aspects of the asymptotic theory of statistical experiments. The most important of them is “how to construct asymptotically optimal decisions if we know the structure of optimal decisions for the limit experiment”.
Author : Mark Podolskij
Publisher : Springer
ISBN 13 : 3319258265
Total Pages : 529 pages
Book Rating : 4.3/5 (192 download)
Download or read book The Fascination of Probability, Statistics and their Applications written by Mark Podolskij and published by Springer. This book was released on 2015-12-26 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas. The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems. The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.
Author : Yury A. Kutoyants
Publisher : Springer Nature
ISBN 13 : 3031370546
Total Pages : 683 pages
Book Rating : 4.0/5 (313 download)
Download or read book Introduction to the Statistics of Poisson Processes and Applications written by Yury A. Kutoyants and published by Springer Nature. This book was released on 2023-09-04 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers an extensive class of models involving inhomogeneous Poisson processes and deals with their identification, i.e. the solution of certain estimation or hypothesis testing problems based on the given dataset. These processes are mathematically easy-to-handle and appear in numerous disciplines, including astronomy, biology, ecology, geology, seismology, medicine, physics, statistical mechanics, economics, image processing, forestry, telecommunications, insurance and finance, reliability, queuing theory, wireless networks, and localisation of sources. Beginning with the definitions and properties of some fundamental notions (stochastic integral, likelihood ratio, limit theorems, etc.), the book goes on to analyse a wide class of estimators for regular and singular statistical models. Special attention is paid to problems of change-point type, and in particular cusp-type change-point models, then the focus turns to the asymptotically efficient nonparametric estimation of the mean function, the intensity function, and of some functionals. Traditional hypothesis testing, including some goodness-of-fit tests, is also discussed. The theory is then applied to three classes of problems: misspecification in regularity (MiR),corresponding to situations where the chosen change-point model and that of the real data have different regularity; optical communication with phase and frequency modulation of periodic intensity functions; and localization of a radioactive (Poisson) source on the plane using K detectors. Each chapter concludes with a series of problems, and state-of-the-art references are provided, making the book invaluable to researchers and students working in areas which actively use inhomogeneous Poisson processes.
Author : Isabel Llatas
Publisher :
ISBN 13 :
Total Pages : 302 pages
Book Rating : 4.:/5 (89 download)
Download or read book Asymptotic Inference for Nearly Non-Stationary Time Series written by Isabel Llatas and published by . This book was released on 1987 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Badi H. Baltagi
Publisher : John Wiley & Sons
ISBN 13 : 047099830X
Total Pages : 736 pages
Book Rating : 4.4/5 (79 download)
Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
Author : Gregory C. Reinsel
Publisher : Springer Science & Business Media
ISBN 13 : 146840198X
Total Pages : 278 pages
Book Rating : 4.4/5 (684 download)
Download or read book Elements of Multivariate Time Series Analysis written by Gregory C. Reinsel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of methods of time series analysis in the study of multivariate time series has become of increased interest in recent years. Although the methods are rather well developed and understood for univarjate time series analysis, the situation is not so complete for the multivariate case. This book is designed to introduce the basic concepts and methods that are useful in the analysis and modeling of multivariate time series, with illustrations of these basic ideas. The development includes both traditional topics such as autocovariance and auto correlation matrices of stationary processes, properties of vector ARMA models, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and model checking diagnostics for residuals, as well as topics of more recent interest for vector ARMA models such as reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate unit-root models and cointegration structure, and state-space models and Kalman filtering techniques and applications. This book concentrates on the time-domain analysis of multivariate time series, and the important subject of spectral analysis is not considered here. For that topic, the reader is referred to the excellent books by Jenkins and Watts (1968), Hannan (1970), Priestley (1981), and others.
Author : Econometric Society. World Congress
Publisher : Cambridge University Press
ISBN 13 : 9780521589819
Total Pages : 348 pages
Book Rating : 4.5/5 (898 download)
Download or read book Advances in Economics and Econometrics: Theory and Applications written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 1997-02-20 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the third of three volumes containing papers presented at the Seventh World Congress of the Econometric Society. The papers summarize and interpret key recent developments and discuss current and future directions in a wide range of topics in economics and econometrics. They cover both theory and applications. Authored by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.
Author : Steven M. Kay
Publisher : Pearson Education
ISBN 13 : 013280803X
Total Pages : 496 pages
Book Rating : 4.1/5 (328 download)
Download or read book Fundamentals of Statistical Signal Processing written by Steven M. Kay and published by Pearson Education. This book was released on 2013 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: "For those involved in the design and implementation of signal processing algorithms, this book strikes a balance between highly theoretical expositions and the more practical treatments, covering only those approaches necessary for obtaining an optimal estimator and analyzing its performance. Author Steven M. Kay discusses classical estimation followed by Bayesian estimation, and illustrates the theory with numerous pedagogical and real-world examples."--Cover, volume 1.
Author : William D. Penny
Publisher : Elsevier
ISBN 13 : 0080466508
Total Pages : 689 pages
Book Rating : 4.0/5 (84 download)
Download or read book Statistical Parametric Mapping: The Analysis of Functional Brain Images written by William D. Penny and published by Elsevier. This book was released on 2011-04-28 with total page 689 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an age where the amount of data collected from brain imaging is increasing constantly, it is of critical importance to analyse those data within an accepted framework to ensure proper integration and comparison of the information collected. This book describes the ideas and procedures that underlie the analysis of signals produced by the brain. The aim is to understand how the brain works, in terms of its functional architecture and dynamics. This book provides the background and methodology for the analysis of all types of brain imaging data, from functional magnetic resonance imaging to magnetoencephalography. Critically, Statistical Parametric Mapping provides a widely accepted conceptual framework which allows treatment of all these different modalities. This rests on an understanding of the brain's functional anatomy and the way that measured signals are caused experimentally. The book takes the reader from the basic concepts underlying the analysis of neuroimaging data to cutting edge approaches that would be difficult to find in any other source. Critically, the material is presented in an incremental way so that the reader can understand the precedents for each new development. This book will be particularly useful to neuroscientists engaged in any form of brain mapping; who have to contend with the real-world problems of data analysis and understanding the techniques they are using. It is primarily a scientific treatment and a didactic introduction to the analysis of brain imaging data. It can be used as both a textbook for students and scientists starting to use the techniques, as well as a reference for practicing neuroscientists. The book also serves as a companion to the software packages that have been developed for brain imaging data analysis. An essential reference and companion for users of the SPM software Provides a complete description of the concepts and procedures entailed by the analysis of brain images Offers full didactic treatment of the basic mathematics behind the analysis of brain imaging data Stands as a compendium of all the advances in neuroimaging data analysis over the past decade Adopts an easy to understand and incremental approach that takes the reader from basic statistics to state of the art approaches such as Variational Bayes Structured treatment of data analysis issues that links different modalities and models Includes a series of appendices and tutorial-style chapters that makes even the most sophisticated approaches accessible
