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Author : R. D. Snyder
Publisher :
ISBN 13 : 9780867467130
Total Pages : 8 pages
Book Rating : 4.4/5 (671 download)
Download or read book Recursive Estimation of Restricted Linear Regression Models written by R. D. Snyder and published by . This book was released on 1985 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter C. Young
Publisher : Springer Science & Business Media
ISBN 13 : 364282336X
Total Pages : 315 pages
Book Rating : 4.6/5 (428 download)
Download or read book Recursive Estimation and Time-Series Analysis written by Peter C. Young and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has grown out of a set of lecture notes prepared originally for a NATO Summer School on "The Theory and Practice of Systems ModelLing and Identification" held between the 17th and 28th July, 1972 at the Ecole Nationale Superieure de L'Aeronautique et de L'Espace. Since this time I have given similar lecture courses in the Control Division of the Engineering Department, University of Cambridge; Department of Mechanical Engineering, University of Western Australia; the University of Ghent, Belgium (during the time I held the IBM Visiting Chair in Simulation for the month of January, 1980), the Australian National University, and the Agricultural University, Wageningen, the Netherlands. As a result, I am grateful to all the reci pients of these lecture courses for their help in refining the book to its present form; it is still far from perfect but I hope that it will help the student to become acquainted with the interesting and practically useful concept of recursive estimation. Furthermore, I hope it will stimulate the reader to further study the theoretical aspects of the subject, which are not dealt with in detail in the present text. The book is primarily intended to provide an introductory set of lecture notes on the subject of recursive estimation to undergraduate/Masters students. However, the book can also be considered as a "theoretical background" handbook for use with the CAPTAIN Computer Package.
Author : R. D. Snyder
Publisher :
ISBN 13 : 9780867466171
Total Pages : 21 pages
Book Rating : 4.4/5 (661 download)
Download or read book Recursive Estimation of Dynamic Linear Models written by R. D. Snyder and published by . This book was released on 1984 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter C. Young
Publisher : Springer Science & Business Media
ISBN 13 : 3642219810
Total Pages : 505 pages
Book Rating : 4.6/5 (422 download)
Download or read book Recursive Estimation and Time-Series Analysis written by Peter C. Young and published by Springer Science & Business Media. This book was released on 2011-08-04 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a revised version of the 1984 book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter century. Also over this time, the CAPTAIN Toolbox for recursive estimation and time series analysis has been developed at Lancaster, for use in the MatlabTM software environment (see Appendix G). Consequently, the present version of the book is able to exploit the many computational routines that are contained in this widely available Toolbox, as well as some of the other routines in MatlabTM and its other toolboxes. The book is an introductory one on the topic of recursive estimation and it demonstrates how this approach to estimation, in its various forms, can be an impressive aid to the modelling of stochastic, dynamic systems. It is intended for undergraduate or Masters students who wish to obtain a grounding in this subject; or for practitioners in industry who may have heard of topics dealt with in this book and, while they want to know more about them, may have been deterred by the rather esoteric nature of some books in this challenging area of study.
Author : Johannes Ledolter
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (227 download)
Download or read book A Recursive Approach to Parameter Estimation in Regression and Time Series Models written by Johannes Ledolter and published by . This book was released on 1978 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the recursive (on line) estimation of parameters in regression and autoregressive integrated moving average (ARIMA) time series models. The approach which is adopted uses Kalman filtering techniques to calculate estimates recursively. This approach can be used for the case of constant as well as time varying parameters. In the first section the linear regression model is considered and recursive estimates of the parameters, both for constant and time varying parameters, are discussed. Since the stochastic model for the parameters over time will be rarely known, simplifying assumptions have to be made. In particular a random walk as a model for time varying parameters is assumed and it is shown how one can determine whether the parameters are constant or changing over time. In the second section the recursive estimation of parameters in ARIMA models is considered. If moving average terms are present, the model has to be linearized and the Extended Kalman Filter can be used to recursively update the parameter estimates. The first order moving average model is discussed in detail. (Author).
Author : Pavel S. Knopov
Publisher : Springer Science & Business Media
ISBN 13 : 1461405742
Total Pages : 245 pages
Book Rating : 4.4/5 (614 download)
Download or read book Regression Analysis Under A Priori Parameter Restrictions written by Pavel S. Knopov and published by Springer Science & Business Media. This book was released on 2011-09-28 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph focuses on the construction of regression models with linear and non-linear constrain inequalities from the theoretical point of view. Unlike previous publications, this volume analyses the properties of regression with inequality constrains, investigating the flexibility of inequality constrains and their ability to adapt in the presence of additional a priori information The implementation of inequality constrains improves the accuracy of models, and decreases the likelihood of errors. Based on the obtained theoretical results, a computational technique for estimation and prognostication problems is suggested. This approach lends itself to numerous applications in various practical problems, several of which are discussed in detail The book is useful resource for graduate students, PhD students, as well as for researchers who specialize in applied statistics and optimization. This book may also be useful to specialists in other branches of applied mathematics, technology, econometrics and finance
Author : Susanti Lianto
Publisher :
ISBN 13 :
Total Pages : 414 pages
Book Rating : 4.:/5 (219 download)
Download or read book Recursive Estimation in the General Linear Model written by Susanti Lianto and published by . This book was released on 1986 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hrishikesh D. Vinod
Publisher :
ISBN 13 :
Total Pages : 384 pages
Book Rating : 4.:/5 (319 download)
Download or read book Recent Advances in Regression Methods written by Hrishikesh D. Vinod and published by . This book was released on 1981 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear regression model; Criteria for good regression estimators: MSE, consistency, stability, robustness, minimaxity and Bayesian 'MELO' ness; Restricted least squares and bayesian regression; Autoregressive moving average (ARMA) regression errors and heteroscedasticity; Multicollinearity and stability of regression coefficients; Stein-rule shrinkage estimator; Ridge regression; Further ridge theory and solutions; Estimation of polynomial distributed lag models; Multiple sets of regression squations; Simultaneous equations models; Canonical correlations, and discriminant analysis with ridge-type modification; Improved estimators under nonnormal errors and robust regression.
Author : Marvin H. J. Gruber
Publisher : JHU Press
ISBN 13 : 0801894263
Total Pages : 425 pages
Book Rating : 4.8/5 (18 download)
Download or read book Regression Estimators written by Marvin H. J. Gruber and published by JHU Press. This book was released on 2010-06-30 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the first edition --
Author : Harapan Tobing
Publisher :
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.:/5 (221 download)
Download or read book Recursive Estimation for Multivariate Regression Models written by Harapan Tobing and published by . This book was released on 1992 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (3 download)
Download or read book The Journal of Agricultural Economics Research written by and published by . This book was released on 1988 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Knottnerus
Publisher : Springer Science & Business Media
ISBN 13 : 3642483836
Total Pages : 203 pages
Book Rating : 4.6/5 (424 download)
Download or read book Linear Models with Correlated Disturbances written by Paul Knottnerus and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: In each chapter of this volume some specific topics in the econometric analysis of time series data are studied. All topics have in common the statistical inference in linear models with correlated disturbances. The main aim of the study is to give a survey of new and old estimation techniques for regression models with disturbances that follow an autoregressive-moving average process. In the final chapter also several test strategies for discriminating between various types of autocorrelation are discussed. In nearly all chapters it is demonstrated how useful the simple geometric interpretation of the well-known ordinary least squares (OLS) method is. By applying these geometric concepts to linear spaces spanned by scalar stochastic variables, it emerges that well-known as well as new results can be derived in a simple geometric manner, sometimes without the limiting restrictions of the usual derivations, e. g. , the conditional normal distribution, the Kalman filter equations and the Cramer-Rao inequality. The outline of the book is as follows. In Chapter 2 attention is paid to a generalization of the well-known first order autocorrelation transformation of a linear regression model with disturbances that follow a first order Markov scheme. Firstly, the appropriate lower triangular transformation matrix is derived for the case that the disturbances follow a moving average process of order q (MA(q». It turns out that the calculations can be carried out either analytically or in a recursive manner.
Author : Adrian Pizzinga
Publisher : Springer Science & Business Media
ISBN 13 : 1461447380
Total Pages : 66 pages
Book Rating : 4.4/5 (614 download)
Download or read book Restricted Kalman Filtering written by Adrian Pizzinga and published by Springer Science & Business Media. This book was released on 2012-07-25 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter – each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics).
Author : Zhongming Yang (Ph.D.)
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (317 download)
Download or read book Restricted Mixture Linear Regression Models written by Zhongming Yang (Ph.D.) and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter C. Young
Publisher : Springer
ISBN 13 : 9783642441295
Total Pages : 0 pages
Book Rating : 4.4/5 (412 download)
Download or read book Recursive Estimation and Time-Series Analysis written by Peter C. Young and published by Springer. This book was released on 2014-11-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a revised version of the 1984 book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter century. Also over this time, the CAPTAIN Toolbox for recursive estimation and time series analysis has been developed at Lancaster, for use in the MatlabTM software environment (see Appendix G). Consequently, the present version of the book is able to exploit the many computational routines that are contained in this widely available Toolbox, as well as some of the other routines in MatlabTM and its other toolboxes. The book is an introductory one on the topic of recursive estimation and it demonstrates how this approach to estimation, in its various forms, can be an impressive aid to the modelling of stochastic, dynamic systems. It is intended for undergraduate or Masters students who wish to obtain a grounding in this subject; or for practitioners in industry who may have heard of topics dealt with in this book and, while they want to know more about them, may have been deterred by the rather esoteric nature of some books in this challenging area of study.
Author :
Publisher : SAGE Publications
ISBN 13 : 1544336586
Total Pages : 273 pages
Book Rating : 4.5/5 (443 download)
Download or read book Linear Regression written by and published by SAGE Publications. This book was released on 1993 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Least squares estimation.
Author :
Publisher :
ISBN 13 :
Total Pages : 1038 pages
Book Rating : 4.:/5 (319 download)
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1994 with total page 1038 pages. Available in PDF, EPUB and Kindle. Book excerpt:
