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Author : Andrew C. Harvey
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (3 download)
Download or read book Seasonality in Dynamic Regression Models written by Andrew C. Harvey and published by . This book was released on 1993 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Memo written by and published by . This book was released on 1979 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katarina Jusélius
Publisher :
ISBN 13 : 9789515551474
Total Pages : 62 pages
Book Rating : 4.5/5 (514 download)
Download or read book Seasonality in Dynamic Regression Models written by Katarina Jusélius and published by . This book was released on 1981 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Henning Bunzel
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (832 download)
Download or read book Seasonality in Dynamic Regression Models written by Henning Bunzel and published by . This book was released on 1979* with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katarina Juselius
Publisher :
ISBN 13 :
Total Pages : 171 pages
Book Rating : 4.:/5 (463 download)
Download or read book Seasonality in Dynamic Regression Models written by Katarina Juselius and published by . This book was released on 1983 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Svend Hylleberg
Publisher : Academic Press
ISBN 13 : 1483277747
Total Pages : 284 pages
Book Rating : 4.4/5 (832 download)
Download or read book Seasonality in Regression written by Svend Hylleberg and published by Academic Press. This book was released on 2014-05-10 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonality in Regression presents the problems of seasonality in economic regression models. This book discusses the procedures that may have application in practical econometric work. Organized into eight chapters, this book begins with an overview of the tremendous increase in the computational capabilities made by the development of the electronic computer that has profound implications for the way seasonality is handled by economists. This text then examines some seasonal models and their characteristics. Other chapters consider the most frequently applied evaluation criteria and appraise the values in the applications. This book discusses as well the frequency domain estimators and provides insight into problems of estimating the disturbance–covariance matrix through the use of the disturbance spectrum. The final chapter deals with the main objective of the treatment of personality to formulate and estimate econometric models. This book is a valuable resource for economists and econometricians who have knowledge of econometrics at an advanced undergraduate or graduate level.
Author : Alan Pankratz
Publisher : John Wiley & Sons
ISBN 13 : 1118150783
Total Pages : 410 pages
Book Rating : 4.1/5 (181 download)
Download or read book Forecasting with Dynamic Regression Models written by Alan Pankratz and published by John Wiley & Sons. This book was released on 2012-01-20 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most widely used tools in statistical forecasting, single equation regression models is examined here. A companion to the author's earlier work, Forecasting with Univariate Box-Jenkins Models: Concepts and Cases, the present text pulls together recent time series ideas and gives special attention to possible intertemporal patterns, distributed lag responses of output to input series and the auto correlation patterns of regression disturbance. It also includes six case studies.
Author : Rob J Hyndman
Publisher : OTexts
ISBN 13 : 0987507117
Total Pages : 380 pages
Book Rating : 4.9/5 (875 download)
Download or read book Forecasting: principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Download or read book Memo written by and published by . This book was released on 1979 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Adrian G. Barnett
Publisher : Springer Science & Business Media
ISBN 13 : 3642107486
Total Pages : 174 pages
Book Rating : 4.6/5 (421 download)
Download or read book Analysing Seasonal Health Data written by Adrian G. Barnett and published by Springer Science & Business Media. This book was released on 2010-01-08 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonal patterns have been found in a remarkable range of health conditions, including birth defects, respiratory infections and cardiovascular disease. Accurately estimating the size and timing of seasonal peaks in disease incidence is an aid to understanding the causes and possibly to developing interventions. With global warming increasing the intensity of seasonal weather patterns around the world, a review of the methods for estimating seasonal effects on health is timely. This is the first book on statistical methods for seasonal data written for a health audience. It describes methods for a range of outcomes (including continuous, count and binomial data) and demonstrates appropriate techniques for summarising and modelling these data. It has a practical focus and uses interesting examples to motivate and illustrate the methods. The statistical procedures and example data sets are available in an R package called ‘season’.
Author : Giovanni Petris
Publisher : Springer Science & Business Media
ISBN 13 : 0387772383
Total Pages : 258 pages
Book Rating : 4.3/5 (877 download)
Download or read book Dynamic Linear Models with R written by Giovanni Petris and published by Springer Science & Business Media. This book was released on 2009-06-12 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.
Author : Mike West
Publisher : Springer Science & Business Media
ISBN 13 : 1475793650
Total Pages : 720 pages
Book Rating : 4.4/5 (757 download)
Download or read book Bayesian Forecasting and Dynamic Models written by Mike West and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book we are concerned with Bayesian learning and forecast ing in dynamic environments. We describe the structure and theory of classes of dynamic models, and their uses in Bayesian forecasting. The principles, models and methods of Bayesian forecasting have been developed extensively during the last twenty years. This devel opment has involved thorough investigation of mathematical and sta tistical aspects of forecasting models and related techniques. With this has come experience with application in a variety of areas in commercial and industrial, scientific and socio-economic fields. In deed much of the technical development has been driven by the needs of forecasting practitioners. As a result, there now exists a relatively complete statistical and mathematical framework, although much of this is either not properly documented or not easily accessible. Our primary goals in writing this book have been to present our view of this approach to modelling and forecasting, and to provide a rea sonably complete text for advanced university students and research workers. The text is primarily intended for advanced undergraduate and postgraduate students in statistics and mathematics. In line with this objective we present thorough discussion of mathematical and statistical features of Bayesian analyses of dynamic models, with illustrations, examples and exercises in each Chapter.
Author : Mike K. P. So
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (13 download)
Download or read book Dynamic Seasonality in Time Series written by Mike K. P. So and published by . This book was released on 2013 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this research, a new class of time series models capturing dynamic seasonality is introduced. Unlike traditional seasonal models which focus mainly on the mean process, our approach can accommodate dynamic seasonality in the mean and variance processes. This feature allows us to perform statistical inference of the dynamic seasonality in heteroskedastic time series models. Quasi-maximum likelihood estimation and a model selection procedure are adopted. Simulation study is carried out to evaluate the efficiency of the estimation method. In the empirical examples, our model outperforms deterministic seasonality model and Holt-Winter method in forecasting the monthly domestic electricity consumption in Hong Kong and the intraday stock return variation in out-of-sample analysis.
Author : Estela Bee Dagum
Publisher : Springer
ISBN 13 : 3319318225
Total Pages : 293 pages
Book Rating : 4.3/5 (193 download)
Download or read book Seasonal Adjustment Methods and Real Time Trend-Cycle Estimation written by Estela Bee Dagum and published by Springer. This book was released on 2016-06-20 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
Author : Svend Hylleberg
Publisher :
ISBN 13 : 9780123634566
Total Pages : 269 pages
Book Rating : 4.6/5 (345 download)
Download or read book Seasonality in Regression written by Svend Hylleberg and published by . This book was released on 1986 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Svend Hylleberg
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (841 download)
Download or read book Seasonality in Regression written by Svend Hylleberg and published by . This book was released on 1983* with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Gourieroux
Publisher : Cambridge University Press
ISBN 13 : 9780521411462
Total Pages : 692 pages
Book Rating : 4.4/5 (114 download)
Download or read book Time Series and Dynamic Models written by Christian Gourieroux and published by Cambridge University Press. This book was released on 1997 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.
