Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Robust Estimation For Periodic Autoregressive Time Series
Download Robust Estimation For Periodic Autoregressive Time Series full books in PDF, epub, and Kindle. Read online Robust Estimation For Periodic Autoregressive Time Series ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Robust Estimation for Periodic Autoregressive Time Series by : Q. Shao
Download or read book Robust Estimation for Periodic Autoregressive Time Series written by Q. Shao and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A robust estimation procedure for periodic autoregressive (PAR) time series is introduced. The asymptotic properties and the asymptotic relative efficiency are discussed by the estimating equation approach. The performance of the robust estimators for PAR time-series models with order one is illustrated by a simulation study. The technique is applied to a real data analysis.
Book Synopsis Cyclostationarity: Theory and Methods – IV by : Fakher Chaari
Download or read book Cyclostationarity: Theory and Methods – IV written by Fakher Chaari and published by Springer. This book was released on 2019-07-31 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers contributions presented at the 10th Workshop on Cyclostationary Systems and Their Applications, held in Gródek nad Dunajcem, Poland in February 2017. It includes twelve interesting papers covering current topics related to both cyclostationary and general non stationary processes. Moreover, this book, which covers both theoretical and practical issues, offers a practice-oriented guide to the analysis of data sets with non-stationary behavior and a bridge between basic and applied research on nonstationary processes. It provides students, researchers and professionals with a timely guide on cyclostationary systems, nonstationary processes and relevant engineering applications.
Book Synopsis A Robust Estimate for an Autoregressive Time Series by : Jeffrey Terpstra
Download or read book A Robust Estimate for an Autoregressive Time Series written by Jeffrey Terpstra and published by . This book was released on 1997 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Periodic Time Series Models by : Philip Hans Franses
Download or read book Periodic Time Series Models written by Philip Hans Franses and published by OUP Oxford. This book was released on 2004-03-25 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results. The first part of the book deals with model selection, diagnostic checking and forecasting of univariate periodic autoregressive models. Tests for periodic integration, are discussed, and an extensive discussion of the role of deterministic regressors in testing for periodic integration and in forecasting is provided. The second part discusses multivariate periodic autoregressive models. It provides an overview of periodic cointegration models, as these are the most relevant. This overview contains single-equation type tests and a full-system approach based on generalized method of moments. All methods are illustrated with extensive examples, and the book will be of interest to advanced graduate students and researchers in econometrics, as well as practitioners looking for an understanding of how to approach seasonal data.
Book Synopsis Robust estimation for structural time series models by : Tan Hwee Kwan
Download or read book Robust estimation for structural time series models written by Tan Hwee Kwan and published by . This book was released on 1990 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Robust Estimation in Time Series Analysis by : Orsay Kucukemiroglu
Download or read book Robust Estimation in Time Series Analysis written by Orsay Kucukemiroglu and published by . This book was released on 1984 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficient Estimation for Periodic Autoregressive Coefficients Via Residuals by : L. Tang
Download or read book Efficient Estimation for Periodic Autoregressive Coefficients Via Residuals written by L. Tang and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A two-step estimation method is proposed for periodic autoregressive parameters via residuals when the observations contain trend and periodic autoregressive time series. The oracle efficiency of the proposed Yule-Walker-type estimator is established. The performance is illustrated by simulation studies and real data analysis.
Book Synopsis Some Aspects of Robust Estimation in Time Series Analysis by :
Download or read book Some Aspects of Robust Estimation in Time Series Analysis written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Robust estimation in autoregressive time series by : Hector Allende
Download or read book Robust estimation in autoregressive time series written by Hector Allende and published by . This book was released on 1986 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficient Robust Estimation of Time-series Regression Models by : Pavel Čížek
Download or read book Efficient Robust Estimation of Time-series Regression Models written by Pavel Čížek and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Robust Estimation in Time Series Regression If the Spectral Density is Vaguely Known by : J. Behrens
Download or read book Robust Estimation in Time Series Regression If the Spectral Density is Vaguely Known written by J. Behrens and published by . This book was released on 1989 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Algorithms for Robust Estimation in Unobserved Components Time Series Models by : Bengt Ringnér
Download or read book Algorithms for Robust Estimation in Unobserved Components Time Series Models written by Bengt Ringnér and published by . This book was released on 1989 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Some Aspects of Robust Estimation in Time Series Analysis by : Sanjoy Kumar Sinha
Download or read book Some Aspects of Robust Estimation in Time Series Analysis written by Sanjoy Kumar Sinha and published by . This book was released on 2000 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, a number of robust methods have been developed for estimating the parameters in a time series setting. To estimate the power spectrum of an ARMA process, an M estimation method has been introduced which maximizes the robust likelihood function of the discrete Fourier transforms of the process. This robust method is useful in estimating the parameters of the continuous spectrum ARMA process by downweighting the influence of possible discrete spectrum harmonic components on the data. The proposed M estimation method has been applied to some actual time series data sets of sea level records, where a strong presence of tidal (harmonic) components is observed along with the continuous spectrum surge process. Here robust estimation of the power spectrum of the surge process has been considered assuming that the surge follows an ARMA process.
Book Synopsis Robust Estimation, Time Series and Cointegration by : André Lucas
Download or read book Robust Estimation, Time Series and Cointegration written by André Lucas and published by . This book was released on 1992 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates by : Jaime Burgos
Download or read book Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates written by Jaime Burgos and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing needs of forecasting techniques has led to the popularity of the vector autoregressive model in multivariate time series analysis, which has become of typical use across different fields due to its simplicity in application. The traditional method for estimating the model parameters is the least squares minimization, due to the linear nature of the model and its similarity with multivariate linear regression. However, since least squares estimates are sensitive to outliers, more robust techniques have become of interest. This manuscript investigates a robust alternative by obtaining the estimates using a weighted Wilcoxon dispersion with Schweppe-type weights. The first section introduces the typical definition of a vector autoregressive model, along with popular estimation methods and weighting schemes. In section two, the proposed estimator is shown to be asymptotically multivariate normal, centered about the true model parameters, at a rate of n- 1/2. Section three follows with an in depth discussion of the derivation of the main theoretical results. After that, in section four, a Monte Carlo study is presented to evaluate the performance of alternative estimators compared against the least squares estimates. The study results suggest that the Schweppe-weighted Wilcoxon estimates will generally have best performance. This result is most noticeable under the presence of additive outliers or when the series is closer to non-stationarity. In the last section, the estimation methods are applied to quadrivariate financial time series and results are compared. The applied example results indicate that estimates that use weights are better at detecting outliers by reducing their influence on the fit. This work provides a high efficiency robust alternative to the estimation problem of the vector autoregressive model parameters in multivariate time series analysis.
Book Synopsis Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series by : Florian Ziel
Download or read book Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series written by Florian Ziel and published by . This book was released on 2013 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Research in Progress written by and published by . This book was released on with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
