Testing For Random Walk Coefficients In A Simple State Space Model

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Testing for Random Walk Coefficients in Regression and State Space Models

Author : Martin Moryson
Publisher : Springer Science & Business Media
ISBN 13 : 3642997996
Total Pages : 326 pages
Book Rating : 4.6/5 (429 download)

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Book Synopsis Testing for Random Walk Coefficients in Regression and State Space Models by : Martin Moryson

Download or read book Testing for Random Walk Coefficients in Regression and State Space Models written by Martin Moryson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of the book deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Different exact and large sample tests are presented and extensively compared based on Monte Carlo studies, so that the reader is guided in the question which test to choose in a particular situation. Moreover, different new tests are proposed which are suitable in situations with autocorrelated or heteroskedastic errors. Additionally, methods are developed to test for the constancy of regression coefficients in situations where one knows already that some coefficients follow a random walk, thereby one is enabled to find out which of the coefficients varies over time.

Testing for Random Walk Coefficients in a Simple State Space Model

Author :
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (916 download)

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Book Synopsis Testing for Random Walk Coefficients in a Simple State Space Model by :

Download or read book Testing for Random Walk Coefficients in a Simple State Space Model written by and published by . This book was released on 1994 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Tests for Random Walk Coefficients in State Space Models

Author :
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (916 download)

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Book Synopsis Tests for Random Walk Coefficients in State Space Models by :

Download or read book Tests for Random Walk Coefficients in State Space Models written by and published by . This book was released on 1996 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Comparisions of Tests for the Presence of Random Walk Coefficients in Two Simple Linear Models

Author : Jukka Nyblom
Publisher :
ISBN 13 : 9789516964822
Total Pages : 16 pages
Book Rating : 4.9/5 (648 download)

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Book Synopsis Comparisions of Tests for the Presence of Random Walk Coefficients in Two Simple Linear Models by : Jukka Nyblom

Download or read book Comparisions of Tests for the Presence of Random Walk Coefficients in Two Simple Linear Models written by Jukka Nyblom and published by . This book was released on 1984 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Two-Dimensional Random Walk

Author : Serguei Popov
Publisher : Cambridge University Press
ISBN 13 : 1108472451
Total Pages : 224 pages
Book Rating : 4.1/5 (84 download)

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Book Synopsis Two-Dimensional Random Walk by : Serguei Popov

Download or read book Two-Dimensional Random Walk written by Serguei Popov and published by Cambridge University Press. This book was released on 2021-03-18 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: A visual, intuitive introduction in the form of a tour with side-quests, using direct probabilistic insight rather than technical tools.

Comparisons of Tests for the Presence of Random Walk

Author : Jukka Nyblom
Publisher :
ISBN 13 : 9789516963337
Total Pages : 40 pages
Book Rating : 4.9/5 (633 download)

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Book Synopsis Comparisons of Tests for the Presence of Random Walk by : Jukka Nyblom

Download or read book Comparisons of Tests for the Presence of Random Walk written by Jukka Nyblom and published by . This book was released on 1981 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Proceedings of the Sixth International Conference on Management Science and Engineering Management

Author : Jiuping Xu
Publisher : Springer Science & Business Media
ISBN 13 : 1447145992
Total Pages : 1030 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Proceedings of the Sixth International Conference on Management Science and Engineering Management by : Jiuping Xu

Download or read book Proceedings of the Sixth International Conference on Management Science and Engineering Management written by Jiuping Xu and published by Springer Science & Business Media. This book was released on 2012-09-27 with total page 1030 pages. Available in PDF, EPUB and Kindle. Book excerpt: Welcome to the proceedings of the Sixth International Conference on Management Science and Engineering Management (ICMSEM2012) held from November 11 to 14, 2012 at Quaid-i-Azam University, Islamabad, Pakistan and supported by Sichuan University (Chengdu, China), Quaid-i-Azam University (Islamabad, Pakistan) and The National Natural Science Foundation of China. The International Conference on Management Science and Engineering Management is the annual conference organized by the International Society of Management Science and Engineering Management. The goals of the Conference are to foster international research collaborations in Management Science and Engineering Management as well as to provide a forum to present current research results. The papers are classified into 8 sections: Computer and Networks, Information Technology, Decision Support System, Industrial Engineering, Supply Chain Management, Project Management, Manufacturing and Ecological Engineering. The key issues of the sixth ICMSEM cover various areas in MSEM, such as Decision Support System, Computational Mathematics, Information Systems, Logistics and Supply Chain Management, Relationship Management, Scheduling and Control, Data Warehousing and Data Mining, Electronic Commerce, Neural Networks, Stochastic models and Simulation, Heuristics Algorithms, Risk Control, and Carbon Credits.

Random Walk and the Heat Equation

Author : Gregory F. Lawler
Publisher : American Mathematical Soc.
ISBN 13 : 0821848291
Total Pages : 170 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Random Walk and the Heat Equation by : Gregory F. Lawler

Download or read book Random Walk and the Heat Equation written by Gregory F. Lawler and published by American Mathematical Soc.. This book was released on 2010-11-22 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: The heat equation can be derived by averaging over a very large number of particles. Traditionally, the resulting PDE is studied as a deterministic equation, an approach that has brought many significant results and a deep understanding of the equation and its solutions. By studying the heat equation and considering the individual random particles, however, one gains further intuition into the problem. While this is now standard for many researchers, this approach is generally not presented at the undergraduate level. In this book, Lawler introduces the heat equations and the closely related notion of harmonic functions from a probabilistic perspective. The theme of the first two chapters of the book is the relationship between random walks and the heat equation. This first chapter discusses the discrete case, random walk and the heat equation on the integer lattice; and the second chapter discusses the continuous case, Brownian motion and the usual heat equation. Relationships are shown between the two. For example, solving the heat equation in the discrete setting becomes a problem of diagonalization of symmetric matrices, which becomes a problem in Fourier series in the continuous case. Random walk and Brownian motion are introduced and developed from first principles. The latter two chapters discuss different topics: martingales and fractal dimension, with the chapters tied together by one example, a random Cantor set. The idea of this book is to merge probabilistic and deterministic approaches to heat flow. It is also intended as a bridge from undergraduate analysis to graduate and research perspectives. The book is suitable for advanced undergraduates, particularly those considering graduate work in mathematics or related areas.

A Guide to Experimental Algorithmics

Author : Catherine C. McGeoch
Publisher : Cambridge University Press
ISBN 13 : 1107001730
Total Pages : 273 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis A Guide to Experimental Algorithmics by : Catherine C. McGeoch

Download or read book A Guide to Experimental Algorithmics written by Catherine C. McGeoch and published by Cambridge University Press. This book was released on 2012-01-30 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a guidebook for those who want to use computational experiments to support their work in algorithm design and analysis. Numerous case studies and examples show how to apply these concepts. All the necessary concepts in computer architecture and data analysis are covered so that the book can be used by anyone who has taken a course or two in data structures and algorithms.

Principles and Methods for Data Science

Author :
Publisher : Elsevier
ISBN 13 : 0444642129
Total Pages : 498 pages
Book Rating : 4.4/5 (446 download)

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Book Synopsis Principles and Methods for Data Science by :

Download or read book Principles and Methods for Data Science written by and published by Elsevier. This book was released on 2020-05-28 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles and Methods for Data Science, Volume 43 in the Handbook of Statistics series, highlights new advances in the field, with this updated volume presenting interesting and timely topics, including Competing risks, aims and methods, Data analysis and mining of microbial community dynamics, Support Vector Machines, a robust prediction method with applications in bioinformatics, Bayesian Model Selection for Data with High Dimension, High dimensional statistical inference: theoretical development to data analytics, Big data challenges in genomics, Analysis of microarray gene expression data using information theory and stochastic algorithm, Hybrid Models, Markov Chain Monte Carlo Methods: Theory and Practice, and more. Provides the authority and expertise of leading contributors from an international board of authors Presents the latest release in the Handbook of Statistics series Updated release includes the latest information on Principles and Methods for Data Science

Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations

Author : Nawaf Bou-Rabee
Publisher : American Mathematical Soc.
ISBN 13 : 1470431815
Total Pages : 124 pages
Book Rating : 4.4/5 (74 download)

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Book Synopsis Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations by : Nawaf Bou-Rabee

Download or read book Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations written by Nawaf Bou-Rabee and published by American Mathematical Soc.. This book was released on 2019-01-08 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.

Dynamic Linear Models with R

Author : Giovanni Petris
Publisher : Springer Science & Business Media
ISBN 13 : 0387772383
Total Pages : 258 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Dynamic Linear Models with R by : Giovanni Petris

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.

Essentials of Time Series for Financial Applications

Author : Massimo Guidolin
Publisher : Academic Press
ISBN 13 : 0128134100
Total Pages : 435 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Essentials of Time Series for Financial Applications by : Massimo Guidolin

Download or read book Essentials of Time Series for Financial Applications written by Massimo Guidolin and published by Academic Press. This book was released on 2018-05-29 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. Provides practical, hands-on examples in time-series econometrics Presents a more application-oriented, less technical book on financial econometrics Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction Features examples worked out in EViews (9 or higher)

Fault Detection, Diagnosis and Prognosis

Author : Fausto Pedro García Márquez
Publisher : BoD – Books on Demand
ISBN 13 : 1789842131
Total Pages : 177 pages
Book Rating : 4.7/5 (898 download)

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Book Synopsis Fault Detection, Diagnosis and Prognosis by : Fausto Pedro García Márquez

Download or read book Fault Detection, Diagnosis and Prognosis written by Fausto Pedro García Márquez and published by BoD – Books on Demand. This book was released on 2020-02-05 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the main concepts, state of the art, advances, and case studies of fault detection, diagnosis, and prognosis. This topic is a critical variable in industry to reach and maintain competitiveness. Therefore, proper management of the corrective, predictive, and preventive politics in any industry is required. This book complements other subdisciplines such as economics, finance, marketing, decision and risk analysis, engineering, etc. The book presents real case studies in multiple disciplines. It considers the main topics using prognostic and subdiscipline techniques. It is essential to link these topics with the areas of finance, scheduling, resources, downtime, etc. to increase productivity, profitability, maintainability, reliability, safety, and availability, and reduce costs and downtime. Advances in mathematics, modeling, computational techniques, dynamic analysis, etc. are employed analytically. Computational techniques, dynamic analysis, probabilistic methods, and mathematical optimization techniques are expertly blended to support the analysis of prognostic problems with defined constraints and requirements. The book is intended for graduate students and professionals in industrial engineering, business administration, industrial organization, operations management, applied microeconomics, and the decisions sciences, either studying maintenance or needing to solve large, specific, and complex maintenance management problems as part of their jobs. The work will also be of interest to researches from academia.

Forecasting with Exponential Smoothing

Author : Rob Hyndman
Publisher : Springer Science & Business Media
ISBN 13 : 3540719180
Total Pages : 362 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Forecasting with Exponential Smoothing by : Rob Hyndman

Download or read book Forecasting with Exponential Smoothing written by Rob Hyndman and published by Springer Science & Business Media. This book was released on 2008-06-19 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modeling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until recently. This book brings together all of the important new results on the state space framework for exponential smoothing. It will be of interest to people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions. Part 1 provides an introduction to exponential smoothing and the underlying models. The essential details are given in Part 2, which also provide links to the most important papers in the literature. More advanced topics are covered in Part 3, including the mathematical properties of the models and extensions of the models for specific problems. Applications to particular domains are discussed in Part 4.

Solid State Electrochemistry II

Author : Vladislav V. Kharton
Publisher : John Wiley & Sons
ISBN 13 : 3527635572
Total Pages : 565 pages
Book Rating : 4.5/5 (276 download)

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Book Synopsis Solid State Electrochemistry II by : Vladislav V. Kharton

Download or read book Solid State Electrochemistry II written by Vladislav V. Kharton and published by John Wiley & Sons. This book was released on 2011-04-27 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ideal addition to the companion volume on fundamentals, methodologies, and applications, this second volume combines fundamental information with an overview of the role of ceramic membranes, electrodes and interfaces in this important, interdisciplinary and rapidly developing field. Written primarily for specialists working in solid state electrochemistry, this first comprehensive handbook on the topic focuses on the most important developments over the last decade, as well as the methodological and theoretical aspects and practical applications. This makes the contents equally of interest to material, physical and industrial scientists, and to physicists. Also available as a two-volume set.

Time Series Analysis

Author : Katsuto Tanaka
Publisher : John Wiley & Sons
ISBN 13 : 1119132096
Total Pages : 903 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Time Series Analysis by : Katsuto Tanaka

Download or read book Time Series Analysis written by Katsuto Tanaka and published by John Wiley & Sons. This book was released on 2017-04-03 with total page 903 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reflects the developments and new directions in the field since the publication of the first successful edition and contains a complete set of problems and solutions This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition have been compressed into ten chapters, with a chapter on nonstationary panel added and located under Part I: Analysis of Non-fractional Time Series. Chapters 12 to 14 have been newly written under Part II: Analysis of Fractional Time Series. Chapter 12 discusses the basic theory of long-memory processes by introducing ARFIMA models and the fractional Brownian motion (fBm). Chapter 13 is concerned with the computation of distributions of quadratic functionals of the fBm and its ratio. Next, Chapter 14 introduces the fractional Ornstein–Uhlenbeck process, on which the statistical inference is discussed. Finally, Chapter 15 gives a complete set of solutions to problems posed at the end of most sections. This new edition features: • Sections to discuss nonstationary panel data analysis, the problem of differentiating between deterministic and stochastic trends, and nonstationary processes of local deviations from a unit root • Consideration of the maximum likelihood estimator of the drift parameter, as well as asymptotics as the sampling span increases • Discussions on not only nonstationary but also noninvertible time series from a theoretical viewpoint • New topics such as the computation of limiting local powers of panel unit root tests, the derivation of the fractional unit root distribution, and unit root tests under the fBm error Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Second Edition, is a reference for graduate students in econometrics or time series analysis. Katsuto Tanaka, PhD, is a professor in the Faculty of Economics at Gakushuin University and was previously a professor at Hitotsubashi University. He is a recipient of the Tjalling C. Koopmans Econometric Theory Prize (1996), the Japan Statistical Society Prize (1998), and the Econometric Theory Award (1999). Aside from the first edition of Time Series Analysis (Wiley, 1996), Dr. Tanaka had published five econometrics and statistics books in Japanese.