Method Of Moments Estimators For The Moving Average Coefficients In An Arma P Q Process

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Method of Moments Estimators for the Moving Average Coefficients in an ARMA (p, Q) Process

Author : M. J. Morton
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (227 download)

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Book Synopsis Method of Moments Estimators for the Moving Average Coefficients in an ARMA (p, Q) Process by : M. J. Morton

Download or read book Method of Moments Estimators for the Moving Average Coefficients in an ARMA (p, Q) Process written by M. J. Morton and published by . This book was released on 1982 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard procedure for computing the moving average method of moments parameter estimates for an ARMA process involves the numerical solution of a system of non-linear equations. In this paper it will be shown how the so-called inverse autocorrelations introduced by Cleveland can be utilized to compute the moving average parameter estimates as the solution to a system of linear equations, and that the method is faster and more accurate than solving the non-linear equations alluded to above. In addition, the procedure described below ensures that an invertible solution is obtained. (Author).

Technical Abstract Bulletin

Author :
Publisher :
ISBN 13 :
Total Pages : 204 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Technical Abstract Bulletin by :

Download or read book Technical Abstract Bulletin written by and published by . This book was released on 1982 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Scientific and Technical Aerospace Reports

Author :
Publisher :
ISBN 13 :
Total Pages : 1282 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Scientific and Technical Aerospace Reports by :

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1982 with total page 1282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.

On Some Numerical Properties of ARMA Parameter Estimation Procedures

Author : H. Joseph Newton
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (15 download)

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Book Synopsis On Some Numerical Properties of ARMA Parameter Estimation Procedures by : H. Joseph Newton

Download or read book On Some Numerical Properties of ARMA Parameter Estimation Procedures written by H. Joseph Newton and published by . This book was released on 1981 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the algorithms used by statisticians for obtaining efficient estimators of the parameters of a univariate autoregressive moving average (ARMA) time series. The connection of the estimation problem with the problem of prediction is investigated with particular emphasis on the Kalman filter and modified Cholesky decomposition algorithms. A result from prediction theory is given which provides a significant reduction in the computations needed in Ansley's (1979) estimation procedure. Finally it is pointed out that there are many useful facts in the literature of control theory that need to be investigated by statisticians interested in estimation and prediction problems in linear time series models. (Author).

Generalized Method of Moments Estimation

Author : Laszlo Matyas
Publisher : Cambridge University Press
ISBN 13 : 9780521669672
Total Pages : 332 pages
Book Rating : 4.6/5 (696 download)

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Book Synopsis Generalized Method of Moments Estimation by : Laszlo Matyas

Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.

Developing Econometrics

Author : Hengqing Tong
Publisher : John Wiley & Sons
ISBN 13 : 0470681772
Total Pages : 489 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Developing Econometrics by : Hengqing Tong

Download or read book Developing Econometrics written by Hengqing Tong and published by John Wiley & Sons. This book was released on 2011-12-12 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Theories and Methods with Applications to Economics and Business highlights recent advances in statistical theory and methods that benefit econometric practice. It deals with exploratory data analysis, a prerequisite to statistical modelling and part of data mining. It provides recently developed computational tools useful for data mining, analysing the reasons to do data mining and the best techniques to use in a given situation. Provides a detailed description of computer algorithms. Provides recently developed computational tools useful for data mining Highlights recent advances in statistical theory and methods that benefit econometric practice. Features examples with real life data. Accompanying software featuring DASC (Data Analysis and Statistical Computing). Essential reading for practitioners in any area of econometrics; business analysts involved in economics and management; and Graduate students and researchers in economics and statistics.

A Unified Approach to ARMA (Autoregressive-Moving Average) Model Identification and Preliminary Estimation

Author : G. T. Wilson
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (227 download)

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Book Synopsis A Unified Approach to ARMA (Autoregressive-Moving Average) Model Identification and Preliminary Estimation by : G. T. Wilson

Download or read book A Unified Approach to ARMA (Autoregressive-Moving Average) Model Identification and Preliminary Estimation written by G. T. Wilson and published by . This book was released on 1983 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews several different methods for identifying the orders of autoregressive-moving average models for time series data. The case is made that these have a common basis, and that a unified approach may be found in the analysis of a matrix G, defined to be the covariance matrix of forecast values. The estimation of this matrix is considered, emphasis being placed on the use of high order autoregression to approximate the predictor coefficients. Statistical procedures are proposed for analyzing G, and identifying the model orders. A simulation example and three sets of real data are used to illustrate the procedure, which appears to be very useful as a tool for order identification and preliminary model estimation. (Author).

Time Series Analysis

Author : James D. Hamilton
Publisher : Princeton University Press
ISBN 13 : 0691218633
Total Pages : 820 pages
Book Rating : 4.6/5 (912 download)

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Book Synopsis Time Series Analysis by : James D. Hamilton

Download or read book Time Series Analysis written by James D. Hamilton and published by Princeton University Press. This book was released on 2020-09-01 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative, self-contained overview of time series analysis for students and researchers The past decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This textbook synthesizes these advances and makes them accessible to first-year graduate students. James Hamilton provides comprehensive treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems—including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter—in a way that integrates economic theory with the practical difficulties of analyzing and interpreting real-world data. Time Series Analysis fills an important need for a textbook that integrates economic theory, econometrics, and new results. This invaluable book starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.

Maximum Likelihood Estimators of the Parameters in a Moving Average Process with Time Varing Coefficients

Author : Gea Hwa Kwoun
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (255 download)

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Book Synopsis Maximum Likelihood Estimators of the Parameters in a Moving Average Process with Time Varing Coefficients by : Gea Hwa Kwoun

Download or read book Maximum Likelihood Estimators of the Parameters in a Moving Average Process with Time Varing Coefficients written by Gea Hwa Kwoun and published by . This book was released on 1985 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Engineering Hydrology (Three-Volume Set)

Author : Saeid Eslamian
Publisher : CRC Press
ISBN 13 : 1466552360
Total Pages : 1920 pages
Book Rating : 4.4/5 (665 download)

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Book Synopsis Handbook of Engineering Hydrology (Three-Volume Set) by : Saeid Eslamian

Download or read book Handbook of Engineering Hydrology (Three-Volume Set) written by Saeid Eslamian and published by CRC Press. This book was released on 2018-10-03 with total page 1920 pages. Available in PDF, EPUB and Kindle. Book excerpt: While most books examine only the classical aspects of hydrology, this three-volume set covers multiple aspects of hydrology, and includes contributions from experts from more than 30 countries. It examines new approaches, addresses growing concerns about hydrological and ecological connectivity, and considers the worldwide impact of climate change

Efficient Method of Moments Estimators for Integer Time Series Models

Author : Vance L. Martin
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Efficient Method of Moments Estimators for Integer Time Series Models by : Vance L. Martin

Download or read book Efficient Method of Moments Estimators for Integer Time Series Models written by Vance L. Martin and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The parameters of integer autoregressive models with Poisson, or negative binomial innovations can be estimated by maximum likelihood where the prediction error decomposition, together with convolution methods, is used to write down the likelihood function. When a moving average component is introduced this is not the case. To address this problem an efficient method of moment estimator is proposed where the estimated standard errors for the parameters are obtained using subsampling methods. The small sample properties of the estimator are investigated using Monte Carlo methods, while the approach is demonstrated using two well-known examples from the time series literature.

Time Series Analysis and Its Applications

Author : Robert H. Shumway
Publisher :
ISBN 13 : 9781475732627
Total Pages : 568 pages
Book Rating : 4.7/5 (326 download)

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Book Synopsis Time Series Analysis and Its Applications by : Robert H. Shumway

Download or read book Time Series Analysis and Its Applications written by Robert H. Shumway and published by . This book was released on 2014-01-15 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Short Data Length Effects in an Asymptotically Efficient ARMA (AutoRegressive Moving Average) Spectral Estimator

Author : C. Carriere
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.:/5 (227 download)

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Book Synopsis Short Data Length Effects in an Asymptotically Efficient ARMA (AutoRegressive Moving Average) Spectral Estimator by : C. Carriere

Download or read book Short Data Length Effects in an Asymptotically Efficient ARMA (AutoRegressive Moving Average) Spectral Estimator written by C. Carriere and published by . This book was released on 1987 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: The short data length behaviour of a recently proposed computationally efficient approximate maximum likelihood estimation algorithm is studied through Monte Carlo simulations. It is found that short data lengths combined with a large number of instruments results in very high variances, especially when the process being estimated has zeros near the unit circle. Several modifications of the algorithm are considered to reduce the problem mentioned above. First, a version which is recursive in the number of instruments and which adaptively chooses the number of instruments and postiterations is developed. A second modification uses a stabilized version of the estimated denominator polynomial. A version that forces the numerator estimate to non negative definite is considered, but it fails to give major improvements over the original algorithm. Finally, using overdetermined Yule Walker equations instead of the minimal number is found to markedly improve the quality of the estimates.

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.

Handbook of Engineering Hydrology

Author : Saeid Eslamian
Publisher : CRC Press
ISBN 13 : 1466552476
Total Pages : 646 pages
Book Rating : 4.4/5 (665 download)

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Book Synopsis Handbook of Engineering Hydrology by : Saeid Eslamian

Download or read book Handbook of Engineering Hydrology written by Saeid Eslamian and published by CRC Press. This book was released on 2014-03-21 with total page 646 pages. Available in PDF, EPUB and Kindle. Book excerpt: While most books examine only the classical aspects of hydrology, this three-volume set covers multiple aspects of hydrology. It examines new approaches, addresses growing concerns about hydrological and ecological connectivity, and considers the worldwide impact of climate change.It also provides updated material on hydrological science and engine

Sensor Networks and Signal Processing

Author : Sheng-Lung Peng
Publisher : Springer Nature
ISBN 13 : 9811549176
Total Pages : 591 pages
Book Rating : 4.8/5 (115 download)

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Book Synopsis Sensor Networks and Signal Processing by : Sheng-Lung Peng

Download or read book Sensor Networks and Signal Processing written by Sheng-Lung Peng and published by Springer Nature. This book was released on 2020-07-16 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a collection of high-quality research papers presented at the 2nd International Conference on Sensor Networks and Signal Processing (SNSP 2019), held in Taiwan on November 19–22, 2019. It presents novel contributions in the areas of sensor and actuator networks, wireless networks, networking and protocols, security and privacy, wireless communications, distributed algorithms, Internet of Things, system modeling and performance analysis, fault tolerance/diagnostics, information management, data mining and analysis, embedded systems design, signal theory, signal and image processing, detection and estimation, spectral analysis, software developments, pattern recognition, data processing, remote sensing, big data, machine learning, information and coding theory, and industrial applications.

High Moment Partial Sum Processes of Residuals in ARMA Models and Their Applications

Author : Hao Yu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis High Moment Partial Sum Processes of Residuals in ARMA Models and Their Applications by : Hao Yu

Download or read book High Moment Partial Sum Processes of Residuals in ARMA Models and Their Applications written by Hao Yu and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we study high moment partial sum processes based on residuals of a stationary autoregressive moving average (ARMA) model with known or unknown mean parameter. We show that they can be approximated in probability by the analogous processes which are obtained from the i.i.d. errors of the ARMA model. However, if a unknown mean parameter is used, there will be an additional term that depends on model parameters and a mean estimator. When properly normalized, this additional term will vanish. Thus the processes converge weakly to the same Gaussian processes as if the residuals were i.i.d. Applications to change-point problems and goodness-of-fit are considered, in particular, cumulative sum statistics for testing ARMA model structure changes and the Jarque-Bera omnibus statistic for testing normality of the unobservable error distribution of an ARMA model.