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The Use Of Temporally Aggregated Data On Detecting A Structural Change Of A Time Series Process
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Book Synopsis The Use of Temporally Aggregated Data on Detecting a Structural Change of a Time Series Process by : Bu Hyoung Lee
Download or read book The Use of Temporally Aggregated Data on Detecting a Structural Change of a Time Series Process written by Bu Hyoung Lee and published by . This book was released on 2016 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: A time series process can be influenced by an interruptive event which starts at a certain time point and so a structural break in either mean or variance may occur before and after the event time. However, the traditional statistical tests of two independent samples, such as the t-test for a mean difference and the F-test for a variance difference, cannot be directly used for detecting the structural breaks because it is almost certainly impossible that two random samples exist in a time series. As alternative methods, the likelihood ratio (LR) test for a mean change and the cumulative sum (CUSUM) of squares test for a variance change have been widely employed in literature. Another point of interest is temporal aggregation in a time series. Most published time series data are temporally aggregated from the original observations of a small time unit to the cumulative records of a large time unit. However, it is known that temporal aggregation has substantial effects on process properties because it transforms a high frequency nonaggregate process into a low frequency aggregate process. In this research, we investigate the effects of temporal aggregation on the LR test and the CUSUM test, through the ARIMA model transformation. First, we derive the proper transformation of ARIMA model orders and parameters when a time series is temporally aggregated. For the LR test for a mean change, its test statistic is associated with model parameters and errors. The parameters and errors in the statistic should be changed when an AR(p) process transforms upon the mth order temporal aggregation to an ARMA(P,Q) process. Using the property, we propose a modified LR test when a time series is aggregated. Through Monte Carlo simulations and empirical examples, we show that the aggregation leads the null distribution of the modified LR test statistic being shifted to the left. Hence, the test power increases as the order of aggregation increases. For the CUSUM test for a variance change, we show that two aggregation terms will appear in the test statistic and have negative effects on test results when an ARIMA(p,d,q) process transforms upon the mth order temporal aggregation to an ARIMA(P,d,Q) process. Then, we propose a modified CUSUM test to control the terms which are interpreted as the aggregation effects. Through Monte Carlo simulations and empirical examples, the modified CUSUM test shows better performance and higher test powers to detect a variance change in an aggregated time series than the original CUSUM test.
Book Synopsis Multivariate Time Series Analysis and Applications by : William W. S. Wei
Download or read book Multivariate Time Series Analysis and Applications written by William W. S. Wei and published by John Wiley & Sons. This book was released on 2019-03-18 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Book Synopsis Advanced Analytics and Learning on Temporal Data by : Vincent Lemaire
Download or read book Advanced Analytics and Learning on Temporal Data written by Vincent Lemaire and published by Springer Nature. This book was released on 2021-12-02 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 6th ECML PKDD Workshop on Advanced Analytics and Learning on Temporal Data, AALTD 2021, held during September 13-17, 2021. The workshop was planned to take place in Bilbao, Spain, but was held virtually due to the COVID-19 pandemic. The 12 full papers presented in this book were carefully reviewed and selected from 21 submissions. They focus on the following topics: Temporal Data Clustering; Classification of Univariate and Multivariate Time Series; Multivariate Time Series Co-clustering; Efficient Event Detection; Modeling Temporal Dependencies; Advanced Forecasting and Prediction Models; Cluster-based Forecasting; Explanation Methods for Time Series Classification; Multimodal Meta-Learning for Time Series Regression; and Multivariate Time Series Anomaly Detection.
Book Synopsis Southwood's Ecological Methods by : Peter A. Henderson
Download or read book Southwood's Ecological Methods written by Peter A. Henderson and published by Oxford University Press. This book was released on 2021 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ecological Methods by the late T.R. E. Southwood and revised over the years by P. A. Henderson has developed into a classic reference work for the field biologist. It provides a handbook of ecological methods and analytical techniques pertinent to the study of animals, with an emphasis on non-microscopic animals in both terrestrial and aquatic environments. It remains unique in the breadth of the methods presented and in the depth of the literature cited, stretching right back to the earliest days of ecological research. The universal availability of R as an open source package has radically changed the way ecologists analyse their data. In response, Southwood's classic text has been thoroughly revised to be more relevant and useful to a new generation of ecologists, making the vast resource of R packages more readily available to the wider ecological community. By focusing on the use of R for data analysis, supported by worked examples, the book is now more accessible than previous editions to students requiring support and ideas for their projects. Southwood's Ecological Methods provides a crucial resource for both graduate students and research scientists in applied ecology, wildlife ecology, fisheries, agriculture, conservation biology, and habitat ecology. It will also be useful to the many professional ecologists, wildlife biologists, conservation biologists and practitioners requiring an authoritative overview of ecological methodology.
Book Synopsis The Effect of Temporal Aggregation on Discrete Dynamic Time Series Models by : William W. S. Wei
Download or read book The Effect of Temporal Aggregation on Discrete Dynamic Time Series Models written by William W. S. Wei and published by . This book was released on 1974 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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)
Book Synopsis Working with Network Data by : James Bagrow
Download or read book Working with Network Data written by James Bagrow and published by Cambridge University Press. This book was released on 2024-05-31 with total page 555 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing examples from real-world networks, this essential book traces the methods behind network analysis and explains how network data is first gathered, then processed and interpreted. The text will equip you with a toolbox of diverse methods and data modelling approaches, allowing you to quickly start making your own calculations on a huge variety of networked systems. This book sets you up to succeed, addressing the questions of what you need to know and what to do with it, when beginning to work with network data. The hands-on approach adopted throughout means that beginners quickly become capable practitioners, guided by a wealth of interesting examples that demonstrate key concepts. Exercises using real-world data extend and deepen your understanding, and develop effective working patterns in network calculations and analysis. Suitable for both graduate students and researchers across a range of disciplines, this novel text provides a fast-track to network data expertise.
Book Synopsis Temporal Aggregation and Systematic Sampling in Structural Time Series Models by : Pilar González
Download or read book Temporal Aggregation and Systematic Sampling in Structural Time Series Models written by Pilar González and published by . This book was released on 1990 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cycles, Growth and Structural Change by : Lionello F Punzo
Download or read book Cycles, Growth and Structural Change written by Lionello F Punzo and published by Routledge. This book was released on 2003-09-02 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume gathers together key new contributions on the subject of the relationship, both empirical and theoretical, between economic oscillations, growth and structural change. Employing a sophisticated level of mathematical modelling, the collection contains articles from, amongst others, William Baumol, Katsuhito Iwai and William Brock.
Book Synopsis Advanced Analysis and Learning on Temporal Data by : Ahlame Douzal-Chouakria
Download or read book Advanced Analysis and Learning on Temporal Data written by Ahlame Douzal-Chouakria and published by Springer. This book was released on 2016-08-03 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the First ECML PKDD Workshop, AALTD 2015, held in Porto, Portugal, in September 2016. The 11 full papers presented were carefully reviewed and selected from 22 submissions. The first part focuses on learning new representations and embeddings for time series classification, clustering or for dimensionality reduction. The second part presents approaches on classification and clustering with challenging applications on medicine or earth observation data. These works show different ways to consider temporal dependency in clustering or classification processes. The last part of the book is dedicated to metric learning and time series comparison, it addresses the problem of speeding-up the dynamic time warping or dealing with multi-modal and multi-scale metric learning for time series classification and clustering.
Author :Torben Gustav Andersen Publisher :Springer Science & Business Media ISBN 13 :3540712976 Total Pages :1045 pages Book Rating :4.5/5 (47 download)
Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Book Synopsis Advanced Analytics and Learning on Temporal Data by : Vincent Lemaire
Download or read book Advanced Analytics and Learning on Temporal Data written by Vincent Lemaire and published by Springer Nature. This book was released on 2020-12-15 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 4th ECML PKDD Workshop on Advanced Analytics and Learning on Temporal Data, AALTD 2019, held in Ghent, Belgium, in September 2020. The 15 full papers presented in this book were carefully reviewed and selected from 29 submissions. The selected papers are devoted to topics such as Temporal Data Clustering; Classification of Univariate and Multivariate Time Series; Early Classification of Temporal Data; Deep Learning and Learning Representations for Temporal Data; Modeling Temporal Dependencies; Advanced Forecasting and Prediction Models; Space-Temporal Statistical Analysis; Functional Data Analysis Methods; Temporal Data Streams; Interpretable Time-Series Analysis Methods; Dimensionality Reduction, Sparsity, Algorithmic Complexity and Big Data Challenge; and Bio-Informatics, Medical, Energy Consumption, Temporal Data.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 1006 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Using Paleolimnology for Management and Restoration of Lakes by : Isabelle Larocque-Tobler
Download or read book Using Paleolimnology for Management and Restoration of Lakes written by Isabelle Larocque-Tobler and published by Frontiers Media SA. This book was released on 2017-02-03 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: This e-book presents state-of-the-art research projects and opinions on using paleolimnology for lake restoration and managment. It illustrates the general idea that proposing adequate restoration and managment solutions must be based on the past. Knowing the natural and anthropic variations a water body went through defines the best ways for maintaining or restoring an ecosystem. By quantifying baseline conditions, paleolimnology provides a definite plan for restoration and management. This cannot be achieved without studying the past.
Book Synopsis Systematic Sampling and Temporal Aggregation in Time Series Models by : Andrew A. Weiss
Download or read book Systematic Sampling and Temporal Aggregation in Time Series Models written by Andrew A. Weiss and published by . This book was released on 1983 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Series Analysis Univariate and Multivariate Methods by : William W. S. Wei
Download or read book Time Series Analysis Univariate and Multivariate Methods written by William W. S. Wei and published by Pearson. This book was released on 2018-03-14 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses of univariate and multivariate time series methods, with coverage of the most recently developed techniques in the field.
Book Synopsis Discontinuities in Ecosystems and Other Complex Systems by : Craig R. Allen
Download or read book Discontinuities in Ecosystems and Other Complex Systems written by Craig R. Allen and published by Columbia University Press. This book was released on 2008 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following the publication of C. S. Holling's seminal work on the relationship between animal body mass patterns and scale-specific landscape structure, ecologists began to explore the theoretical and applied consequences of discontinuities in ecosystems and other complex systems. Are ecosystems and their components continuously distributed and do they adhere to scaling laws, or are they discontinuous and more complex than early models would have us believe? The resulting propositions over the structure of complex systems sparked an ongoing debate regarding the mechanisms generating discontinuities and the statistical methods used for their detection. This volume takes the view that ecosystems and other complex systems are inherently discontinuous and that such fields as ecology, economics, and urban studies greatly benefit from this paradigm shift. Contributors present evidence of the ubiquity of discontinuous distributions in ecological and social systems and how their analysis provides insight into complex phenomena. The book is divided into three sections. The first focuses on background material and contrasting views concerning the discontinuous organization of complex systems. The second discusses discontinuous patterns detected in a number of different systems and methods for detecting them, and the third touches on the potential significance of discontinuities in complex systems. Science is still dominated by a focus on power laws, but the contributors to this volume are convinced power laws often mask the interesting dynamics of systems and that those dynamics are best revealed by investigating deviations from assumed power law distributions. In 2008, a grand conference on resilience was held in Stockholm, hosting 600 participants from around the world. There are now three big centers established with resilience, the most recent one being the Stockholm Resilience Center, with others in Australia (an international coral reef center), Arizona State University's new sustainability center focusing on anthropology, and Canada's emerging social sciences and resilience center. Activity continues to flourish in Alaska, South Africa, and the Untied Kingdom, and a new center is forming in Uruguay.
