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Studies In The Modelling Of Discrete Time Series
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Book Synopsis Modeling Discrete Time-to-Event Data by : Gerhard Tutz
Download or read book Modeling Discrete Time-to-Event Data written by Gerhard Tutz and published by Springer. This book was released on 2016-06-14 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on statistical methods for the analysis of discrete failure times. Failure time analysis is one of the most important fields in statistical research, with applications affecting a wide range of disciplines, in particular, demography, econometrics, epidemiology and clinical research. Although there are a large variety of statistical methods for failure time analysis, many techniques are designed for failure times that are measured on a continuous scale. In empirical studies, however, failure times are often discrete, either because they have been measured in intervals (e.g., quarterly or yearly) or because they have been rounded or grouped. The book covers well-established methods like life-table analysis and discrete hazard regression models, but also introduces state-of-the art techniques for model evaluation, nonparametric estimation and variable selection. Throughout, the methods are illustrated by real life applications, and relationships to survival analysis in continuous time are explained. Each section includes a set of exercises on the respective topics. Various functions and tools for the analysis of discrete survival data are collected in the R package discSurv that accompanies the book.
Book Synopsis An Introduction to Discrete-Valued Time Series by : Christian H. Weiss
Download or read book An Introduction to Discrete-Valued Time Series written by Christian H. Weiss and published by John Wiley & Sons. This book was released on 2018-02-05 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: A much-needed introduction to the field of discrete-valued time series, with a focus on count-data time series Time series analysis is an essential tool in a wide array of fields, including business, economics, computer science, epidemiology, finance, manufacturing and meteorology, to name just a few. Despite growing interest in discrete-valued time series—especially those arising from counting specific objects or events at specified times—most books on time series give short shrift to that increasingly important subject area. This book seeks to rectify that state of affairs by providing a much needed introduction to discrete-valued time series, with particular focus on count-data time series. The main focus of this book is on modeling. Throughout numerous examples are provided illustrating models currently used in discrete-valued time series applications. Statistical process control, including various control charts (such as cumulative sum control charts), and performance evaluation are treated at length. Classic approaches like ARMA models and the Box-Jenkins program are also featured with the basics of these approaches summarized in an Appendix. In addition, data examples, with all relevant R code, are available on a companion website. Provides a balanced presentation of theory and practice, exploring both categorical and integer-valued series Covers common models for time series of counts as well as for categorical time series, and works out their most important stochastic properties Addresses statistical approaches for analyzing discrete-valued time series and illustrates their implementation with numerous data examples Covers classical approaches such as ARMA models, Box-Jenkins program and how to generate functions Includes dataset examples with all necessary R code provided on a companion website An Introduction to Discrete-Valued Time Series is a valuable working resource for researchers and practitioners in a broad range of fields, including statistics, data science, machine learning, and engineering. It will also be of interest to postgraduate students in statistics, mathematics and economics.
Book Synopsis Studies in the Modelling of Discrete Time Series by : Greta Marianne Ljung
Download or read book Studies in the Modelling of Discrete Time Series written by Greta Marianne Ljung and published by . This book was released on 1976 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Discrete Time Series, Processes, and Applications in Finance by : Gilles Zumbach
Download or read book Discrete Time Series, Processes, and Applications in Finance written by Gilles Zumbach and published by Springer Science & Business Media. This book was released on 2012-10-04 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.
Book Synopsis Handbook of Discrete-Valued Time Series by : Richard A. Davis
Download or read book Handbook of Discrete-Valued Time Series written by Richard A. Davis and published by CRC Press. This book was released on 2016-01-06 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed ca
Book Synopsis Smoothing, Forecasting and Prediction of Discrete Time Series by : Robert Goodell Brown
Download or read book Smoothing, Forecasting and Prediction of Discrete Time Series written by Robert Goodell Brown and published by Courier Corporation. This book was released on 2004-01-01 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computer application techniques are applied to routine short-term forecasting and prediction in this classic of operations research. The text begins with a consideration of data sources and sampling intervals, progressing to discussions of time series models and probability models. An extensive overview of smoothing techniques surveys the mathematical techniques for periodically raising the estimates of coefficients in forecasting problems. Sections on forecasting and error measurement and analysis are followed by an exploration of alternatives and the applications of the forecast to specific problems, and a treatment of the handling of systems design problems ranges from observed data to decision rules. 1963 ed.
Book Synopsis Discrete-Time Models for Communication Systems Including ATM by : Herwig Bruneel
Download or read book Discrete-Time Models for Communication Systems Including ATM written by Herwig Bruneel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most queuing analyses performed in the literature are based on characterization of queueing phenomena in continuous-time items. Recently in the telecommunication industries, BISDN (broadband integrated services digital network) has received considerable attention since it can provide a common interface for future communication needs including video, data, and speech. Since information in BISDN is transported by means of dicsrete units of 53-octet ATM (asynchronous transfer mode) cells, interests in discrete-time systems have increased. Discrete-Time Models for Communication Systems Including ATM provides a general framework for queueing analyses of dicrete-time systems. After a brief look at past studies of discrete-time systems, a detailed description and analysis are presented for a generic discrete-time model with a single server, arbitrary service times and independent arrivals. The book then follows a less stringent approach and focuses more on the average statistics and on different queueing disciplines. Conventional first-in-out and last-in-first-out disciplines are discussed in terms of the average statistics. Systems with multiple classes of messages without class-dependent priorities are considered to establish a discrete-time conservation law. Multiple classes with priorities are also considered to derive performance measures of priority scheduling disciplines. Finally, a multi-queue system with cyclic service is analyzed in the context of round-robin service ordering. This is followed by analyses of discrete-time queueing systems with `more complicate' input and output processes. Specifically, single-server systems are investigated whereby either the arrivals or the server is subject to random interruptions. Results are mainly obtained in terms of generating functions and mean values of the principal performance measures. The influence of the nature of the arrival correlation and the server interruptions on the queueing behavior is discussed. Finally, the book explores queueing models directly associated with ATM switches and multiplexers. This book is a valuable reference and may be used as a text for and advanced course on the subject.
Book Synopsis Reliability Modelling and Analysis in Discrete Time by : Unnikrishnan Nair
Download or read book Reliability Modelling and Analysis in Discrete Time written by Unnikrishnan Nair and published by Academic Press. This book was released on 2018-05-15 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reliability Modelling and Analysis in Discrete Time provides an overview of the probabilistic and statistical aspects connected with discrete reliability systems. This engaging book discusses their distributional properties and dependence structures before exploring various orderings associated between different reliability structures. Though clear explanations, multiple examples, and exhaustive coverage of the basic and advanced topics of research in this area, the work gives the reader a thorough understanding of the theory and concepts associated with discrete models and reliability structures. A comprehensive bibliography assists readers who are interested in further research and understanding. Requiring only an introductory understanding of statistics, this book offers valuable insight and coverage for students and researchers in Probability and Statistics, Electrical Engineering, and Reliability/Quality Engineering. The book also includes a comprehensive bibliography to assist readers seeking to delve deeper. - Includes a valuable introduction to Reliability Theory before covering advanced topics of research and real world applications - Features an emphasis on the mathematical theory of reliability modeling - Provides many illustrative examples to foster reader understanding
Book Synopsis Hidden Markov and Other Models for Discrete- valued Time Series by : Iain L. MacDonald
Download or read book Hidden Markov and Other Models for Discrete- valued Time Series written by Iain L. MacDonald and published by CRC Press. This book was released on 1997-01-01 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discrete-valued time series are common in practice, but methods for their analysis are not well-known. In recent years, methods have been developed which are specifically designed for the analysis of discrete-valued time series. Hidden Markov and Other Models for Discrete-Valued Time Series introduces a new, versatile, and computationally tractable class of models, the "hidden Markov" models. It presents a detailed account of these models, then applies them to data from a wide range of diverse subject areas, including medicine, climatology, and geophysics. This book will be invaluable to researchers and postgraduate and senior undergraduate students in statistics. Researchers and applied statisticians who analyze time series data in medicine, animal behavior, hydrology, and sociology will also find this information useful.
Book Synopsis Introducing Survival and Event History Analysis by : Melinda Mills
Download or read book Introducing Survival and Event History Analysis written by Melinda Mills and published by SAGE. This book was released on 2011-01-19 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an accessible, practical and comprehensive guide for researchers from multiple disciplines including biomedical, epidemiology, engineering and the social sciences. Written for accessibility, this book will appeal to students and researchers who want to understand the basics of survival and event history analysis and apply these methods without getting entangled in mathematical and theoretical technicalities. Inside, readers are offered a blueprint for their entire research project from data preparation to model selection and diagnostics. Engaging, easy to read, functional and packed with enlightening examples, ‘hands-on’ exercises, conversations with key scholars and resources for both students and instructors, this text allows researchers to quickly master advanced statistical techniques. It is written from the perspective of the ‘user’, making it suitable as both a self-learning tool and graduate-level textbook. Also included are up-to-date innovations in the field, including advancements in the assessment of model fit, unobserved heterogeneity, recurrent events and multilevel event history models. Practical instructions are also included for using the statistical programs of R, STATA and SPSS, enabling readers to replicate the examples described in the text.
Book Synopsis Studies in Econometrics, Time Series, and Multivariate Statistics by : Samuel Karlin
Download or read book Studies in Econometrics, Time Series, and Multivariate Statistics written by Samuel Karlin and published by Academic Press. This book was released on 2014-05-10 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson's probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
Book Synopsis Extracting Knowledge From Time Series by : Boris P. Bezruchko
Download or read book Extracting Knowledge From Time Series written by Boris P. Bezruchko and published by Springer Science & Business Media. This book was released on 2010-09-03 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical modelling is ubiquitous. Almost every book in exact science touches on mathematical models of a certain class of phenomena, on more or less speci?c approaches to construction and investigation of models, on their applications, etc. As many textbooks with similar titles, Part I of our book is devoted to general qu- tions of modelling. Part II re?ects our professional interests as physicists who spent much time to investigations in the ?eld of non-linear dynamics and mathematical modelling from discrete sequences of experimental measurements (time series). The latter direction of research is known for a long time as “system identi?cation” in the framework of mathematical statistics and automatic control theory. It has its roots in the problem of approximating experimental data points on a plane with a smooth curve. Currently, researchers aim at the description of complex behaviour (irregular, chaotic, non-stationary and noise-corrupted signals which are typical of real-world objects and phenomena) with relatively simple non-linear differential or difference model equations rather than with cumbersome explicit functions of time. In the second half of the twentieth century, it has become clear that such equations of a s- ?ciently low order can exhibit non-trivial solutions that promise suf?ciently simple modelling of complex processes; according to the concepts of non-linear dynamics, chaotic regimes can be demonstrated already by a third-order non-linear ordinary differential equation, while complex behaviour in a linear model can be induced either by random in?uence (noise) or by a very high order of equations.
Book Synopsis Continuous Time Modeling in the Behavioral and Related Sciences by : Kees van Montfort
Download or read book Continuous Time Modeling in the Behavioral and Related Sciences written by Kees van Montfort and published by Springer. This book was released on 2018-10-11 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique book provides an overview of continuous time modeling in the behavioral and related sciences. It argues that the use of discrete time models for processes that are in fact evolving in continuous time produces problems that make their application in practice highly questionable. One main issue is the dependence of discrete time parameter estimates on the chosen time interval, which leads to incomparability of results across different observation intervals. Continuous time modeling by means of differential equations offers a powerful approach for studying dynamic phenomena, yet the use of this approach in the behavioral and related sciences such as psychology, sociology, economics and medicine, is still rare. This is unfortunate, because in these fields often only a few discrete time (sampled) observations are available for analysis (e.g., daily, weekly, yearly, etc.). However, as emphasized by Rex Bergstrom, the pioneer of continuous-time modeling in econometrics, neither human beings nor the economy cease to exist in between observations. In 16 chapters, the book addresses a vast range of topics in continuous time modeling, from approaches that closely mimic traditional linear discrete time models to highly nonlinear state space modeling techniques. Each chapter describes the type of research questions and data that the approach is most suitable for, provides detailed statistical explanations of the models, and includes one or more applied examples. To allow readers to implement the various techniques directly, accompanying computer code is made available online. The book is intended as a reference work for students and scientists working with longitudinal data who have a Master's- or early PhD-level knowledge of statistics.
Book Synopsis Communication and Computer Networks by : Michael E. Woodward
Download or read book Communication and Computer Networks written by Michael E. Woodward and published by Wiley-IEEE Computer Society Press. This book was released on 1994 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned exclusively with discrete-time queues and their applications to the performance modeling of communication and computer networks. Since most modern networks operate on the basis of time slotting, and transmit information in fixed length (packets or cells), it thus becomes natural to model such networks in discrete-time by associating a time slot in a physical network with the unit time in the corresponding discrete-time model. The book shows how, in this way, very accurate models that faithfully reproduce the stochastic behaviour of a communication or computer network can be constructed. The treatment is self contained, and progresses from basic probability theory and discrete-time queueing networks. These latter are applied to model the performance of numerous wide area satellite networks and local area networks, ranging in complexity from simple Aloha schemes to the timed token protocol of the FDDI network. The main objective of this book is to present a unified method for modeling any network access protocol as a discrete-time queueing network and t develop efficient solution techniques for these models. A significant number of the models and their solutions which are included have not previously appeared in the open literature. The text should prove useful to practitioners and researchers concerned with communication and computer network performance modeling, or anyone wanting a sound understanding of the application of discrete-time technique to this subject area.
Download or read book Time Series written by Raquel Prado and published by CRC Press. This book was released on 2010-05-21 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on Bayesian approaches and computations using simulation-based methods for inference, Time Series: Modeling, Computation, and Inference integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian time series modeling and analysis, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and emerging topics at research frontiers. The book presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. The authors also explore the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian tools, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. They illustrate the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, and finance. Data sets, R and MATLAB® code, and other material are available on the authors’ websites. Along with core models and methods, this text offers sophisticated tools for analyzing challenging time series problems. It also demonstrates the growth of time series analysis into new application areas.
Book Synopsis Studies in Astronomical Time Series Analysis by : Jeffrey Drexel Scargle
Download or read book Studies in Astronomical Time Series Analysis written by Jeffrey Drexel Scargle and published by . This book was released on 1979 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Discrete-Event Simulation by : George S. Fishman
Download or read book Discrete-Event Simulation written by George S. Fishman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is an excellent and well-written text on discrete event simulation with a focus on applications in Operations Research. There is substantial attention to programming, output analysis, pseudo-random number generation and modelling and these sections are quite thorough. Methods are provided for generating pseudo-random numbers (including combining such streams) and for generating random numbers from most standard statistical distributions." --ISI Short Book Reviews, 22:2, August 2002
