Forecast Of Non Stationary Time Series By Applying Locally Stationary Autoregressive Models

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Statistics in Volcanology

Author : Heidy M. Mader
Publisher : Geological Society of London
ISBN 13 : 9781862392083
Total Pages : 304 pages
Book Rating : 4.3/5 (92 download)

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Book Synopsis Statistics in Volcanology by : Heidy M. Mader

Download or read book Statistics in Volcanology written by Heidy M. Mader and published by Geological Society of London. This book was released on 2006 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistics in Volcanology is a comprehensive guide to modern statistical methods applied in volcanology written by today's leading authorities. The volume aims to show how the statistical analysis of complex volcanological data sets, including time series, and numerical models of volcanic processes can improve our ability to forecast volcanic eruptions. Specific topics include the use of expert elicitation and Bayesian methods in eruption forecasting, statistical models of temporal and spatial patterns of volcanic activity, analysis of time series in volcano seismology, probabilistic hazard assessment, and assessment of numerical models using robust statistical methods. Also provided are comprehensive overviews of volcanic phenomena, and a full glossary of both volcanological and statistical terms. Statistics in Volcanology is essential reading for advanced undergraduates, graduate students, and research scientists interested in this multidisciplinary field.

Introduction to Time Series and Forecasting

Author : Peter J. Brockwell
Publisher : Springer Science & Business Media
ISBN 13 : 1475725264
Total Pages : 429 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Introduction to Time Series and Forecasting by : Peter J. Brockwell

Download or read book Introduction to Time Series and Forecasting written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introducitons are also given to cointegration and to non-linear, continuous-time and long-memory models. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.

Forecasting in the Presence of Structural Breaks and Model Uncertainty

Author : David E. Rapach
Publisher : Emerald Group Publishing
ISBN 13 : 044452942X
Total Pages : 691 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach

Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.

Time Series Analysis: Methods and Applications

Author : Tata Subba Rao
Publisher : Elsevier
ISBN 13 : 0444538585
Total Pages : 778 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Time Series Analysis: Methods and Applications by : Tata Subba Rao

Download or read book Time Series Analysis: Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.

The Spectral Analysis of Time Series

Author : L. H. Koopmans
Publisher : Academic Press
ISBN 13 : 1483218546
Total Pages : 383 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis The Spectral Analysis of Time Series by : L. H. Koopmans

Download or read book The Spectral Analysis of Time Series written by L. H. Koopmans and published by Academic Press. This book was released on 2014-05-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Spectral Analysis of Time Series describes the techniques and theory of the frequency domain analysis of time series. The book discusses the physical processes and the basic features of models of time series. The central feature of all models is the existence of a spectrum by which the time series is decomposed into a linear combination of sines and cosines. The investigator can used Fourier decompositions or other kinds of spectrals in time series analysis. The text explains the Wiener theory of spectral analysis, the spectral representation for weakly stationary stochastic processes, and the real spectral representation. The book also discusses sampling, aliasing, discrete-time models, linear filters that have general properties with applications to continuous-time processes, and the applications of multivariate spectral models. The text describes finite parameter models, the distribution theory of spectral estimates with applications to statistical inference, as well as sampling properties of spectral estimates, experimental design, and spectral computations. The book is intended either as a textbook or for individual reading for one-semester or two-quarter course for students of time series analysis users. It is also suitable for mathematicians or professors of calculus, statistics, and advanced mathematics.

Introduction to Time Series Analysis and Forecasting

Author : Douglas C. Montgomery
Publisher : John Wiley & Sons
ISBN 13 : 1118745159
Total Pages : 670 pages
Book Rating : 4.1/5 (187 download)

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Book Synopsis Introduction to Time Series Analysis and Forecasting by : Douglas C. Montgomery

Download or read book Introduction to Time Series Analysis and Forecasting written by Douglas C. Montgomery and published by John Wiley & Sons. This book was released on 2015-04-21 with total page 670 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the First Edition "...[t]he book is great for readers who need to apply the methods and models presented but have little background in mathematics and statistics." -MAA Reviews Thoroughly updated throughout, Introduction to Time Series Analysis and Forecasting, Second Edition presents the underlying theories of time series analysis that are needed to analyze time-oriented data and construct real-world short- to medium-term statistical forecasts. Authored by highly-experienced academics and professionals in engineering statistics, the Second Edition features discussions on both popular and modern time series methodologies as well as an introduction to Bayesian methods in forecasting. Introduction to Time Series Analysis and Forecasting, Second Edition also includes: Over 300 exercises from diverse disciplines including health care, environmental studies, engineering, and finance More than 50 programming algorithms using JMP®, SAS®, and R that illustrate the theory and practicality of forecasting techniques in the context of time-oriented data New material on frequency domain and spatial temporal data analysis Expanded coverage of the variogram and spectrum with applications as well as transfer and intervention model functions A supplementary website featuring PowerPoint® slides, data sets, and select solutions to the problems Introduction to Time Series Analysis and Forecasting, Second Edition is an ideal textbook upper-undergraduate and graduate-levels courses in forecasting and time series. The book is also an excellent reference for practitioners and researchers who need to model and analyze time series data to generate forecasts.

Non-Stationary Stochastic Processes Estimation

Author : Maksym Luz
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3111325628
Total Pages : 310 pages
Book Rating : 4.1/5 (113 download)

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Book Synopsis Non-Stationary Stochastic Processes Estimation by : Maksym Luz

Download or read book Non-Stationary Stochastic Processes Estimation written by Maksym Luz and published by Walter de Gruyter GmbH & Co KG. This book was released on 2024-05-20 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of forecasting future values of economic and physical processes, the problem of restoring lost information, cleaning signals or other data observations from noise, is magnified in an information-laden word. Methods of stochastic processes estimation depend on two main factors. The first factor is construction of a model of the process being investigated. The second factor is the available information about the structure of the process under consideration. In this book, we propose results of the investigation of the problem of mean square optimal estimation (extrapolation, interpolation, and filtering) of linear functionals depending on unobserved values of stochastic sequences and processes with periodically stationary and long memory multiplicative seasonal increments. Formulas for calculating the mean square errors and the spectral characteristics of the optimal estimates of the functionals are derived in the case of spectral certainty, where spectral structure of the considered sequences and processes are exactly known. In the case where spectral densities of the sequences and processes are not known exactly while some sets of admissible spectral densities are given, we apply the minimax-robust method of estimation.

Time Series Analysis: Methods and Applications

Author :
Publisher : Elsevier
ISBN 13 : 0444538631
Total Pages : 777 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Time Series Analysis: Methods and Applications by :

Download or read book Time Series Analysis: Methods and Applications written by and published by Elsevier. This book was released on 2012-05-18 with total page 777 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas

Advances in Self-Organizing Maps

Author : J.C. Principe
Publisher : Springer Science & Business Media
ISBN 13 : 3642023967
Total Pages : 383 pages
Book Rating : 4.6/5 (42 download)

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Book Synopsis Advances in Self-Organizing Maps by : J.C. Principe

Download or read book Advances in Self-Organizing Maps written by J.C. Principe and published by Springer Science & Business Media. This book was released on 2009-05-27 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 7th International Workshop on Advances in Self-Organizing Maps, WSOM 2009, held in St. Augustine, Florida, in June 2009. The 41 revised full papers presented were carefully reviewed and selected from numerous submissions. The papers deal with topics in the use of SOM in many areas of social sciences, economics, computational biology, engineering, time series analysis, data visualization and theoretical computer science.

Singular Spectrum Analysis for Time Series

Author : Nina Golyandina
Publisher : Springer Nature
ISBN 13 : 3662624362
Total Pages : 156 pages
Book Rating : 4.6/5 (626 download)

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Book Synopsis Singular Spectrum Analysis for Time Series by : Nina Golyandina

Download or read book Singular Spectrum Analysis for Time Series written by Nina Golyandina and published by Springer Nature. This book was released on 2020-11-23 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives an overview of singular spectrum analysis (SSA). SSA is a technique of time series analysis and forecasting combining elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA is multi-purpose and naturally combines both model-free and parametric techniques, which makes it a very special and attractive methodology for solving a wide range of problems arising in diverse areas. Rapidly increasing number of novel applications of SSA is a consequence of the new fundamental research on SSA and the recent progress in computing and software engineering which made it possible to use SSA for very complicated tasks that were unthinkable twenty years ago. In this book, the methodology of SSA is concisely but at the same time comprehensively explained by two prominent statisticians with huge experience in SSA. The book offers a valuable resource for a very wide readership, including professional statisticians, specialists in signal and image processing, as well as specialists in numerous applied disciplines interested in using statistical methods for time series analysis, forecasting, signal and image processing. The second edition of the book contains many updates and some new material including a thorough discussion on the place of SSA among other methods and new sections on multivariate and multidimensional extensions of SSA.

Time Series Analysis: Forecasting & Control, 3/E

Author :
Publisher : Pearson Education India
ISBN 13 : 9788131716335
Total Pages : 620 pages
Book Rating : 4.7/5 (163 download)

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Book Synopsis Time Series Analysis: Forecasting & Control, 3/E by :

Download or read book Time Series Analysis: Forecasting & Control, 3/E written by and published by Pearson Education India. This book was released on 1994-09 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a complete revision of a classic, seminal, and authoritative text that has been the model for most books on the topic written since 1970. It explores the building of stochastic (statistical) models for time series and their use in important areas of application -forecasting, model specification, estimation, and checking, transfer function modeling of dynamic relationships, modeling the effects of intervention events, and process control.

Bayesian Forecasting and Dynamic Models

Author : Mike West
Publisher : Springer Science & Business Media
ISBN 13 : 1475793650
Total Pages : 720 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Bayesian Forecasting and Dynamic Models by : Mike West

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.

The Practice of Time Series Analysis

Author : Hirotugu Akaike
Publisher : Springer Science & Business Media
ISBN 13 : 1461221625
Total Pages : 388 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis The Practice of Time Series Analysis by : Hirotugu Akaike

Download or read book The Practice of Time Series Analysis written by Hirotugu Akaike and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of applied papers on time series, appearing here for the first time in English. The applications are primarily found in engineering and the physical sciences.

Artificial Neural Networks – ICANN 2009

Author : Cesare Alippi
Publisher : Springer
ISBN 13 : 3642042740
Total Pages : 1062 pages
Book Rating : 4.6/5 (42 download)

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Book Synopsis Artificial Neural Networks – ICANN 2009 by : Cesare Alippi

Download or read book Artificial Neural Networks – ICANN 2009 written by Cesare Alippi and published by Springer. This book was released on 2009-09-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is part of the two-volume proceedings of the 19th International Conf- ence on Artificial Neural Networks (ICANN 2009), which was held in Cyprus during September 14–17, 2009. The ICANN conference is an annual meeting sp- sored by the European Neural Network Society (ENNS), in cooperation with the - ternational Neural Network Society (INNS) and the Japanese Neural Network Society (JNNS). ICANN 2009 was technically sponsored by the IEEE Computational Intel- gence Society. This series of conferences has been held annually since 1991 in various European countries and covers the field of neurocomputing, learning systems and related areas. Artificial neural networks provide an information-processing structure inspired by biological nervous systems. They consist of a large number of highly interconnected processing elements, with the capability of learning by example. The field of artificial neural networks has evolved significantly in the last two decades, with active partici- tion from diverse fields, such as engineering, computer science, mathematics, artificial intelligence, system theory, biology, operations research, and neuroscience. Artificial neural networks have been widely applied for pattern recognition, control, optimization, image processing, classification, signal processing, etc.

Oceanography

Author : Marco Marcelli
Publisher : BoD – Books on Demand
ISBN 13 : 9535103016
Total Pages : 364 pages
Book Rating : 4.5/5 (351 download)

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Book Synopsis Oceanography by : Marco Marcelli

Download or read book Oceanography written by Marco Marcelli and published by BoD – Books on Demand. This book was released on 2012-03-23 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: How inappropriate to call this planet Earth when it is quite clearly Ocean (Arthur C. Clarke). Life has been originated in the oceans, human health and activities depend from the oceans and the world life is modulated by marine and oceanic processes. From the micro-scale, like coastal processes, to macro-scale, the oceans, the seas and the marine life, play the main role to maintain the earth equilibrium, both from a physical and a chemical point of view. Since ancient times, the world's oceans discovery has brought to humanity development and wealth of knowledge, the metaphors of Ulysses and Jason, represent the cultural growth gained through the explorations and discoveries. The modern oceanographic research represents one of the last frontier of the knowledge of our planet, it depends on the oceans exploration and so it is strictly connected to the development of new technologies. Furthermore, other scientific and social disciplines can provide many fundamental inputs to complete the description of the entire ocean ecosystem. Such multidisciplinary approach will lead us to understand the better way to preserve our "Blue Planet": the Earth.

Time Series Analysis

Author : Wilfredo Palma
Publisher : John Wiley & Sons
ISBN 13 : 1118634349
Total Pages : 644 pages
Book Rating : 4.1/5 (186 download)

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Book Synopsis Time Series Analysis by : Wilfredo Palma

Download or read book Time Series Analysis written by Wilfredo Palma and published by John Wiley & Sons. This book was released on 2016-04-28 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern and accessible guide to the analysis of introductory time series data Featuring an organized and self-contained guide, Time Series Analysis provides a broad introduction to the most fundamental methodologies and techniques of time series analysis. The book focuses on the treatment of univariate time series by illustrating a number of well-known models such as ARMA and ARIMA. Providing contemporary coverage, the book features several useful and newlydeveloped techniques such as weak and strong dependence, Bayesian methods, non-Gaussian data, local stationarity, missing values and outliers, and threshold models. Time Series Analysis includes practical applications of time series methods throughout, as well as: Real-world examples and exercise sets that allow readers to practice the presented methods and techniques Numerous detailed analyses of computational aspects related to the implementation of methodologies including algorithm efficiency, arithmetic complexity, and process time End-of-chapter proposed problems and bibliographical notes to deepen readers’ knowledge of the presented material Appendices that contain details on fundamental concepts and select solutions of the problems implemented throughout A companion website with additional data fi les and computer codes Time Series Analysis is an excellent textbook for undergraduate and beginning graduate-level courses in time series as well as a supplement for students in advanced statistics, mathematics, economics, finance, engineering, and physics. The book is also a useful reference for researchers and practitioners in time series analysis, econometrics, and finance. Wilfredo Palma, PhD, is Professor of Statistics in the Department of Statistics at Pontificia Universidad Católica de Chile. He has published several refereed articles and has received over a dozen academic honors and awards. His research interests include time series analysis, prediction theory, state space systems, linear models, and econometrics. He is the author of Long-Memory Time Series: Theory and Methods, also published by Wiley.

Handbook of Economic Forecasting

Author : G. Elliott
Publisher : Elsevier
ISBN 13 : 0080460674
Total Pages : 1071 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Handbook of Economic Forecasting by : G. Elliott

Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-05-30 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing.*Addresses economic forecasting methodology, forecasting models, forecasting with different data structures, and the applications of forecasting methods *Insights within this volume can be applied to economics, finance and marketing disciplines