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Author : J. Behrens
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (897 download)
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:
Author : Johanna Behrens
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (46 download)
Download or read book Robust estimation in time series regression if the spectral density is vaguely known written by Johanna Behrens and published by . This book was released on 1989 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Franke
Publisher : Springer Science & Business Media
ISBN 13 : 1461578213
Total Pages : 297 pages
Book Rating : 4.4/5 (615 download)
Download or read book Robust and Nonlinear Time Series Analysis written by J. Franke and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical time series methods are based on the assumption that a particular stochastic process model generates the observed data. The, most commonly used assumption is that the data is a realization of a stationary Gaussian process. However, since the Gaussian assumption is a fairly stringent one, this assumption is frequently replaced by the weaker assumption that the process is wide~sense stationary and that only the mean and covariance sequence is specified. This approach of specifying the probabilistic behavior only up to "second order" has of course been extremely popular from a theoretical point of view be cause it has allowed one to treat a large variety of problems, such as prediction, filtering and smoothing, using the geometry of Hilbert spaces. While the literature abounds with a variety of optimal estimation results based on either the Gaussian assumption or the specification of second-order properties, time series workers have not always believed in the literal truth of either the Gaussian or second-order specifica tion. They have none-the-less stressed the importance of such optimali ty results, probably for two main reasons: First, the results come from a rich and very workable theory. Second, the researchers often relied on a vague belief in a kind of continuity principle according to which the results of time series inference would change only a small amount if the actual model deviated only a small amount from the assum ed model.
Author : Yan Liu
Publisher : Springer
ISBN 13 : 9811001529
Total Pages : 136 pages
Book Rating : 4.8/5 (11 download)
Download or read book Empirical Likelihood and Quantile Methods for Time Series written by Yan Liu and published by Springer. This book was released on 2018-12-05 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book integrates the fundamentals of asymptotic theory of statistical inference for time series under nonstandard settings, e.g., infinite variance processes, not only from the point of view of efficiency but also from that of robustness and optimality by minimizing prediction error. This is the first book to consider the generalized empirical likelihood applied to time series models in frequency domain and also the estimation motivated by minimizing quantile prediction error without assumption of true model. It provides the reader with a new horizon for understanding the prediction problem that occurs in time series modeling and a contemporary approach of hypothesis testing by the generalized empirical likelihood method. Nonparametric aspects of the methods proposed in this book also satisfactorily address economic and financial problems without imposing redundantly strong restrictions on the model, which has been true until now. Dealing with infinite variance processes makes analysis of economic and financial data more accurate under the existing results from the demonstrative research. The scope of applications, however, is expected to apply to much broader academic fields. The methods are also sufficiently flexible in that they represent an advanced and unified development of prediction form including multiple-point extrapolation, interpolation, and other incomplete past forecastings. Consequently, they lead readers to a good combination of efficient and robust estimate and test, and discriminate pivotal quantities contained in realistic time series models.
Author : Sanjoy Kumar Sinha
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.:/5 (116 download)
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.
Author : David F. Findley
Publisher : Academic Press
ISBN 13 : 1483263908
Total Pages : 811 pages
Book Rating : 4.4/5 (832 download)
Download or read book Applied Time Series Analysis II written by David F. Findley and published by Academic Press. This book was released on 2014-05-10 with total page 811 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied Time Series Analysis II contains the proceedings of the Second Applied Time Series Symposium Held in Tulsa, Oklahoma, on March 3-5, 1980. The symposium provided a forum for discussing significant advances in time series analysis and signal processing. Effective alternatives to the familiar least-square and maximum likelihood procedures are described, along with maximum likelihood procedures for modeling irregularly sampled series and for classifying non-stationary series. Comprised of 22 chapters, this volume begins with an introduction to the multidimensional filtering theory and presents specific case histories related to the multidimensional recursive filter stability problem; the least squares inverse problem; realization of filters; and spectral estimation. The unique properties of the three-dimensional wave equation are also considered. Subsequent chapters focus on high-resolution spectral estimators; time series analysis of geophysical inverse scattering problems; minimum entropy deconvolution; and fitting of a continuous time autoregression to discrete data. This monograph will appeal to students and practitioners in the fields of mathematics and statistics, electrical and electronics engineering, and information and computer sciences.
Author : L. H. Koopmans
Publisher : Academic Press
ISBN 13 : 1483218546
Total Pages : 383 pages
Book Rating : 4.4/5 (832 download)
Download or read book The Spectral Analysis of Time Series written by L. H. Koopmans and published by Academic Press. This book was released on 2014-05-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Spectral Analysis of Time Series describes the techniques and theory of the frequency domain analysis of time series. The book discusses the physical processes and the basic features of models of time series. The central feature of all models is the existence of a spectrum by which the time series is decomposed into a linear combination of sines and cosines. The investigator can used Fourier decompositions or other kinds of spectrals in time series analysis. The text explains the Wiener theory of spectral analysis, the spectral representation for weakly stationary stochastic processes, and the real spectral representation. The book also discusses sampling, aliasing, discrete-time models, linear filters that have general properties with applications to continuous-time processes, and the applications of multivariate spectral models. The text describes finite parameter models, the distribution theory of spectral estimates with applications to statistical inference, as well as sampling properties of spectral estimates, experimental design, and spectral computations. The book is intended either as a textbook or for individual reading for one-semester or two-quarter course for students of time series analysis users. It is also suitable for mathematicians or professors of calculus, statistics, and advanced mathematics.
Author : Orsay Kucukemiroglu
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (953 download)
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:
Author : Lambert Herman Koopmans
Publisher :
ISBN 13 :
Total Pages : 390 pages
Book Rating : 4.3/5 (91 download)
Download or read book The Spectral Analysis of Time Series written by Lambert Herman Koopmans and published by . This book was released on 1974 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Spectral Analysis of Time Series ...
Author : NERLOVE
Publisher : Birkhäuser
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.F/5 ( download)
Download or read book Problems of Time Series Analysis written by NERLOVE and published by Birkhäuser. This book was released on 1980 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last decade has witnessed an increased interest in time series analysis. Non-parametric methods like spectral and cross spectral analysis are used to discover regularities in individual time series, re lationships between specific components of different time series and leads or lags between those series. Box-Jenkins procedures for the pa rametric estimation of autoregressive-moving average schemes be long nowadays to the standard equipment of a computer center. In economics this revival of time series analysis has led to numer ous empirical studies on optimal seasonal adjustment procedures, the behavior of prices, production, employment etc. More recently, Box Jenkins methods form an integral part for tests on the efficiency of markets, the effectiveness of monetary and fiscal policies and for the study of the röle of different assumptions on the formation of expec tations. This volume comprehends aseries of lectures which deal with var ious topics of time series analysis delivered during the wintersemester 1978/79 at the faculty of economics and statistics. The collection be gins with a paper by M. Nerlove introducing the concept of unob served components. Theoretical results are illustrated by examples se ries on prices of steers, heifers, cows and milk, of cattle and for time hog slaughter, of industrial production and male unemployment. The study by S. Heiler considers a mixed model with a linear regression part and a regular residual process for the prediction of economic processes when additional information is available.
Author : Sarah Gelper
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (254 download)
Download or read book Robust Online Scale Estimation in Time Series written by Sarah Gelper and published by . This book was released on 2007 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andreas Hagemann
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Robust Spectral Analysis written by Andreas Hagemann and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I introduce quantile spectral densities that summarize the cyclical behavior of time series across their whole distribution by analyzing periodicities in quantile crossings. This approach can capture systematic changes in the impact of cycles on the distribution of a time series and allows robust spectral estimation and inference in situations where the dependence structure is not accurately captured by the auto-covariance function. I study the statistical properties of quantile spectral estimators in a large class of nonlinear time series models and discuss inference both at fixed and across all frequencies. Monte Carlo experiments illustrate the advantages of quantile spectral analysis over classical methods when standard assumptions are violated.
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:
Author : I. G. Žurbenko
Publisher : North Holland
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Spectral Analysis of Time Series written by I. G. Žurbenko and published by North Holland. This book was released on 1986 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examined in this volume are the asymptotic properties of spectral estimates of stationary processes and random fields. A new class of lag window estimates indifferent to remote frequencies is introduced and pseudorandom sequences are investigated from the point of view of their nearness to the sequence of white noise. Principles and algorithms are given for constructing an ideal sequence. A good achievement is the new estimates of higher spectral density asymptotically unbiased and consistent for all admissible values of the argument. A new type of the random number generator which is sufficiently close to white noise is introduced.
Author : Steven M. Kay
Publisher :
ISBN 13 :
Total Pages : 574 pages
Book Rating : 4.3/5 (91 download)
Download or read book Modern Spectral Estimation written by Steven M. Kay and published by . This book was released on 1988 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sam Efromovich
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Efficient Non-Parametric Estimation of the Spectral Density in the Presence of Missing Observations written by Sam Efromovich and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of non-parametric spectral density estimation for discrete-time series in the presence of missing observations has a long history. In particular, the first consistent estimators of the spectral density have been developed at about the same time as consistent estimators for non-parametric regression. On the other hand, while for now, the theory of efficient (under the minimax mean integrated squared error criteria) and adaptive nonparametric regression estimation with missing data is well developed, no similar results have been proposed for the spectral density of a time series whose observations are missed according to an unknown stochastic process. This article develops the theory of efficient and adaptive estimation for a class of spectral densities that includes classical causal autoregressive moving-average time series. The developed theory shows how a missing mechanism affects the estimation and what penalty it imposes on the risk convergence. In particular, given costs of a single observation in time series with and without missing data and a desired accuracy of estimation, the theory allows one to choose the cost-effective time series. A numerical study confirms the asymptotic theory.
Author : R J. Fenton
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (111 download)
Download or read book Estimation of the Spectral Density of a Time Series written by R J. Fenton and published by . This book was released on 1979 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
