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Author : T. W. Anderson
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (227 download)
Download or read book Estimation for Autoregressive Moving Average Models in the Time and Frequency Domains written by T. W. Anderson and published by . This book was released on 1975 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stanford University. Department of Statistics
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (123 download)
Download or read book Estimation by Maximum Likelihood in Autorgressive Moving Average Models in the Time and Frequency Domains written by Stanford University. Department of Statistics and published by . This book was released on 1975 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew C. Harvey
Publisher :
ISBN 13 :
Total Pages : 250 pages
Book Rating : 4.:/5 (321 download)
Download or read book Time Series Models written by Andrew C. Harvey and published by . This book was released on 1981 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stationary stochastic process and their properties in the time domain; The frequency domain; State space models and the kalman filter; Estimation of autoregressive moving average models; Model building and prediction; Selected topics in time series regression.
Author : Fereydoon Ahrabi
Publisher :
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.F/5 ( download)
Download or read book Maximum Likelihood Estimation of the Autoregressive Coefficients and Moving Average Covariances of Vector Autoregressive Moving Average Models written by Fereydoon Ahrabi and published by . This book was released on 1979 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to derive asymptotically efficient estimates for the autoregressive matrix coefficients and moving average covariance matrices of the vector autoregressive moving average (VARMA) models in both time and frequency domains. To do this we shall apply the Newton-Raphson and scoring methods to the maximum likelihood equations derived from modified likelihood functions under the Gaussian Assumption.
Author : D. S. G. Pollock
Publisher : Academic Press
ISBN 13 : 0125609906
Total Pages : 755 pages
Book Rating : 4.1/5 (256 download)
Download or read book A Handbook of Time-series Analysis, Signal Processing and Dynamics written by D. S. G. Pollock and published by Academic Press. This book was released on 1999 with total page 755 pages. Available in PDF, EPUB and Kindle. Book excerpt: CD-ROM contains: Pascal and C code and programs -- bibliography of the book -- text of book -- tutorials.
Author : STANFORD UNIV CALIF DEPT OF STATISTICS.
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (123 download)
Download or read book Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models written by STANFORD UNIV CALIF DEPT OF STATISTICS. and published by . This book was released on 1978 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The vector autoregressive moving average model is a multivariate stationary stochastic process where the unobservable multivariate process consists of independently identically distributed random vectors. The coefficient matrices and the covariance matrix are to be estimated from an observed sequence. Under the assumption of normality the method of maximum likelihood is applied to likelihoods suitably modified for techniques in the frequency and time domains. Newton-Raphson and scoring iterative methods are presented.
Author : Marc Nerlove
Publisher : Academic Press
ISBN 13 : 1483218880
Total Pages : 495 pages
Book Rating : 4.4/5 (832 download)
Download or read book Analysis of Economic Time Series written by Marc Nerlove and published by Academic Press. This book was released on 2014-05-10 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.
Author : George G. Judge
Publisher : John Wiley & Sons
ISBN 13 : 047189530X
Total Pages : 1062 pages
Book Rating : 4.4/5 (718 download)
Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
Author : ByoungSeon Choi
Publisher : Springer Science & Business Media
ISBN 13 : 1461397456
Total Pages : 211 pages
Book Rating : 4.4/5 (613 download)
Download or read book ARMA Model Identification written by ByoungSeon Choi 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: During the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.
Author : STANFORD UNIV CALIF DEPT OF STATISTICS.
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (123 download)
Download or read book Maximum Likelihood Estimation of the Covariances of the Vector Moving Average Models in the Time and Frequency Domains written by STANFORD UNIV CALIF DEPT OF STATISTICS. and published by . This book was released on 1978 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The vector moving average process is a stationary stochastic process, where the unobservable process consists of independently identically distributed random variables. The matrix parameters are estimated from the observations. The likelihood function is derived under normality and to solve the maximum likelihood equations the Newton-Raphson and Scoring methods are used. The estimation problem is considered in the time and frequency domains. Asymptotic efficiency of the estimates is established.
Author : Adrian Rodney Pagan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (222 download)
Download or read book A Study of Estimation Procedures for Time Series Models in Economics written by Adrian Rodney Pagan and published by . This book was released on 1972 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edward James Hannan
Publisher : North Holland
ISBN 13 :
Total Pages : 514 pages
Book Rating : 4.:/5 (44 download)
Download or read book Time Series in the Time Domain written by Edward James Hannan and published by North Holland. This book was released on 1985 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. In this volume prominent workers in the field discuss various time series methods in the time domain. The topics included are autoregressive-moving average models, control, estimation, identification, model selection, non-linear time series, non-stationary time series, prediction, robustness, sampling designs, signal attenuation, and speech recognition. This volume complements Handbook of Statistics 3: Time Series in the Frequency Domain.
Author : S.Unnikrishna Pillai
Publisher : Springer Science & Business Media
ISBN 13 : 1461383188
Total Pages : 337 pages
Book Rating : 4.4/5 (613 download)
Download or read book Spectrum Estimation and System Identification written by S.Unnikrishna Pillai and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spectrum estimation refers to analyzing the distribution of power or en ergy with frequency of the given signal, and system identification refers to ways of characterizing the mechanism or system behind the observed sig nal/data. Such an identification allows one to predict the system outputs, and as a result this has considerable impact in several areas such as speech processing, pattern recognition, target identification, seismology, and signal processing. A new outlook to spectrum estimation and system identification is pre sented here by making use of the powerful concepts of positive functions and bounded functions. An indispensable tool in classical network analysis and synthesis problems, positive functions and bounded functions are well and their intimate one-to-one connection with power spectra understood, makes it possible to study many of the signal processing problems from a new viewpoint. Positive functions have been used to study interpolation problems in the past, and although the spectrum extension problem falls within this scope, surprisingly the system identification problem can also be analyzed in this context in an interesting manner. One useful result in this connection is regarding rational and stable approximation of nonrational transfer functions both in the single-channel case and the multichannel case. Such an approximation has important applications in distributed system theory, simulation of systems governed by partial differential equations, and analysis of differential equations with delays. This book is intended as an introductory graduate level textbook and as a reference book for engineers and researchers.
Author : Christopher Chatfield
Publisher : Chapman & Hall
ISBN 13 :
Total Pages : 306 pages
Book Rating : 4.3/5 (91 download)
Download or read book The Analysis of Time Series written by Christopher Chatfield and published by Chapman & Hall. This book was released on 1984 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simple descriptive techniques; Probability models for time series; Estimation in the domain; Forecasting; Stationary processes in the frequency domain; Spectral analysis; Bivariate processes; Linear systems.
Author : Paruchuri R. Krishnaiah
Publisher : Academic Press
ISBN 13 : 148326422X
Total Pages : 302 pages
Book Rating : 4.4/5 (832 download)
Download or read book Developments in Statistics written by Paruchuri R. Krishnaiah and published by Academic Press. This book was released on 2014-06-28 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developments in Statistics, Volume 4 reviews developments in the theory and applications of statistics, covering topics such as time series, identifiability and model selection, and missing data. The application of structured exploratory data analysis to human genetics, specifically, the mode of inheritance, is also considered. Comprised of four chapters, this volume begins with an introduction to spectrum parameter estimation in time series analysis, restricting the discussion to the simplest univariate (that is, scalar) real-valued time series X(t). An accurate formulation of the general problem is presented. The accuracy of different consistent estimates obtained for large but fixed values of T (maximum likelihood estimates, Whittle's estimates, and simplified asymptotically efficient estimates) is also compared. The next chapter deals with identifiability and modeling in econometrics, focusing on the theoretical framework relating realization theory, identification, and parametrization. The realization theory is illustrated on various levels of generality by means of examples related to econometrics, along with some advanced applications of system theory. The book also examines inference on parameters of multivariate normal populations when some data are missing before concluding with an evaluation of structured exploratory data as applied to the study of the mode of inheritance. This monograph will be of interest to students and practitioners of statistics.
Author : Andrew C. Harvey
Publisher : Cambridge University Press
ISBN 13 : 1107717140
Total Pages : 578 pages
Book Rating : 4.1/5 (77 download)
Download or read book Forecasting, Structural Time Series Models and the Kalman Filter written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 1990-02-22 with total page 578 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.
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.
