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State Space Methods For Robust Estimation In Ar Models With External Regressors
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Book Synopsis Robust Monitoring, Diagnostic Methods and Tools for Engineered Systems by : Eleni N. Chatzi
Download or read book Robust Monitoring, Diagnostic Methods and Tools for Engineered Systems written by Eleni N. Chatzi and published by Frontiers Media SA. This book was released on 2020-10-23 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This eBook is a collection of articles from a Frontiers Research Topic. Frontiers Research Topics are very popular trademarks of the Frontiers Journals Series: they are collections of at least ten articles, all centered on a particular subject. With their unique mix of varied contributions from Original Research to Review Articles, Frontiers Research Topics unify the most influential researchers, the latest key findings and historical advances in a hot research area! Find out more on how to host your own Frontiers Research Topic or contribute to one as an author by contacting the Frontiers Editorial Office: frontiersin.org/about/contact.
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.
Book Synopsis Applied Linear Statistical Models by : Michael H. Kutner
Download or read book Applied Linear Statistical Models written by Michael H. Kutner and published by McGraw-Hill/Irwin. This book was released on 2005 with total page 1396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear regression with one predictor variable; Inferences in regression and correlation analysis; Diagnosticis and remedial measures; Simultaneous inferences and other topics in regression analysis; Matrix approach to simple linear regression analysis; Multiple linear regression; Nonlinear regression; Design and analysis of single-factor studies; Multi-factor studies; Specialized study designs.
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.
Book Synopsis Robust Statistics by : Ricardo A. Maronna
Download or read book Robust Statistics written by Ricardo A. Maronna and published by John Wiley & Sons. This book was released on 2019-01-04 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new edition of this popular text on robust statistics, thoroughly updated to include new and improved methods and focus on implementation of methodology using the increasingly popular open-source software R. Classical statistics fail to cope well with outliers associated with deviations from standard distributions. Robust statistical methods take into account these deviations when estimating the parameters of parametric models, thus increasing the reliability of fitted models and associated inference. This new, second edition of Robust Statistics: Theory and Methods (with R) presents a broad coverage of the theory of robust statistics that is integrated with computing methods and applications. Updated to include important new research results of the last decade and focus on the use of the popular software package R, it features in-depth coverage of the key methodology, including regression, multivariate analysis, and time series modeling. The book is illustrated throughout by a range of examples and applications that are supported by a companion website featuring data sets and R code that allow the reader to reproduce the examples given in the book. Unlike other books on the market, Robust Statistics: Theory and Methods (with R) offers the most comprehensive, definitive, and up-to-date treatment of the subject. It features chapters on estimating location and scale; measuring robustness; linear regression with fixed and with random predictors; multivariate analysis; generalized linear models; time series; numerical algorithms; and asymptotic theory of M-estimates. Explains both the use and theoretical justification of robust methods Guides readers in selecting and using the most appropriate robust methods for their problems Features computational algorithms for the core methods Robust statistics research results of the last decade included in this 2nd edition include: fast deterministic robust regression, finite-sample robustness, robust regularized regression, robust location and scatter estimation with missing data, robust estimation with independent outliers in variables, and robust mixed linear models. Robust Statistics aims to stimulate the use of robust methods as a powerful tool to increase the reliability and accuracy of statistical modelling and data analysis. It is an ideal resource for researchers, practitioners, and graduate students in statistics, engineering, computer science, and physical and social sciences.
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 1989 with total page 956 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis State-space Models with Regime Switching by : Chang-Jin Kim
Download or read book State-space Models with Regime Switching written by Chang-Jin Kim and published by Mit Press. This book was released on 1999 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Book Synopsis Case Studies in Neural Data Analysis by : Mark A. Kramer
Download or read book Case Studies in Neural Data Analysis written by Mark A. Kramer and published by MIT Press. This book was released on 2016-11-04 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to neural data analysis techniques that presents sample datasets and hands-on methods for analyzing the data. As neural data becomes increasingly complex, neuroscientists now require skills in computer programming, statistics, and data analysis. This book teaches practical neural data analysis techniques by presenting example datasets and developing techniques and tools for analyzing them. Each chapter begins with a specific example of neural data, which motivates mathematical and statistical analysis methods that are then applied to the data. This practical, hands-on approach is unique among data analysis textbooks and guides, and equips the reader with the tools necessary for real-world neural data analysis. The book begins with an introduction to MATLAB, the most common programming platform in neuroscience, which is used in the book. (Readers familiar with MATLAB can skip this chapter and might decide to focus on data type or method type.) The book goes on to cover neural field data and spike train data, spectral analysis, generalized linear models, coherence, and cross-frequency coupling. Each chapter offers a stand-alone case study that can be used separately as part of a targeted investigation. The book includes some mathematical discussion but does not focus on mathematical or statistical theory, emphasizing the practical instead. References are included for readers who want to explore the theoretical more deeply. The data and accompanying MATLAB code are freely available on the authors' website. The book can be used for upper-level undergraduate or graduate courses or as a professional reference. A version of this textbook with all of the examples in Python is available on the MIT Press website.
Book Synopsis Advanced Kalman Filtering, Least-Squares and Modeling by : Bruce P. Gibbs
Download or read book Advanced Kalman Filtering, Least-Squares and Modeling written by Bruce P. Gibbs and published by John Wiley & Sons. This book was released on 2011-03-29 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended primarily as a handbook for engineers who must design practical systems. Its primary goal is to discuss model development in sufficient detail so that the reader may design an estimator that meets all application requirements and is robust to modeling assumptions. Since it is sometimes difficult to a priori determine the best model structure, use of exploratory data analysis to define model structure is discussed. Methods for deciding on the “best” model are also presented. A second goal is to present little known extensions of least squares estimation or Kalman filtering that provide guidance on model structure and parameters, or make the estimator more robust to changes in real-world behavior. A third goal is discussion of implementation issues that make the estimator more accurate or efficient, or that make it flexible so that model alternatives can be easily compared. The fourth goal is to provide the designer/analyst with guidance in evaluating estimator performance and in determining/correcting problems. The final goal is to provide a subroutine library that simplifies implementation, and flexible general purpose high-level drivers that allow both easy analysis of alternative models and access to extensions of the basic filtering. Supplemental materials and up-to-date errata are downloadable at http://booksupport.wiley.com.
Book Synopsis Parameter Redundancy and Identifiability by : Diana Cole
Download or read book Parameter Redundancy and Identifiability written by Diana Cole and published by CRC Press. This book was released on 2020-05-10 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical and mathematical models are defined by parameters that describe different characteristics of those models. Ideally it would be possible to find parameter estimates for every parameter in that model, but, in some cases, this is not possible. For example, two parameters that only ever appear in the model as a product could not be estimated individually; only the product can be estimated. Such a model is said to be parameter redundant, or the parameters are described as non-identifiable. This book explains why parameter redundancy and non-identifiability is a problem and the different methods that can be used for detection, including in a Bayesian context. Key features of this book: Detailed discussion of the problems caused by parameter redundancy and non-identifiability Explanation of the different general methods for detecting parameter redundancy and non-identifiability, including symbolic algebra and numerical methods Chapter on Bayesian identifiability Throughout illustrative examples are used to clearly demonstrate each problem and method. Maple and R code are available for these examples More in-depth focus on the areas of discrete and continuous state-space models and ecological statistics, including methods that have been specifically developed for each of these areas This book is designed to make parameter redundancy and non-identifiability accessible and understandable to a wide audience from masters and PhD students to researchers, from mathematicians and statisticians to practitioners using mathematical or statistical models.
Book Synopsis Robust Adaptive Control by : Petros Ioannou
Download or read book Robust Adaptive Control written by Petros Ioannou and published by Courier Corporation. This book was released on 2013-09-26 with total page 850 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presented in a tutorial style, this comprehensive treatment unifies, simplifies, and explains most of the techniques for designing and analyzing adaptive control systems. Numerous examples clarify procedures and methods. 1995 edition.
Book Synopsis Introduction to Multiple Time Series Analysis by : Helmut Lütkepohl
Download or read book Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Periodic Time Series Models by : Philip Hans Franses
Download or read book Periodic Time Series Models written by Philip Hans Franses and published by Oxford University Press. This book was released on 2004 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this insightful, modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.
Book Synopsis Linear Models in Statistics by : Alvin C. Rencher
Download or read book Linear Models in Statistics written by Alvin C. Rencher and published by John Wiley & Sons. This book was released on 2008-01-07 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential introduction to the theory and application of linear models—now in a valuable new edition Since most advanced statistical tools are generalizations of the linear model, it is neces-sary to first master the linear model in order to move forward to more advanced concepts. The linear model remains the main tool of the applied statistician and is central to the training of any statistician regardless of whether the focus is applied or theoretical. This completely revised and updated new edition successfully develops the basic theory of linear models for regression, analysis of variance, analysis of covariance, and linear mixed models. Recent advances in the methodology related to linear mixed models, generalized linear models, and the Bayesian linear model are also addressed. Linear Models in Statistics, Second Edition includes full coverage of advanced topics, such as mixed and generalized linear models, Bayesian linear models, two-way models with empty cells, geometry of least squares, vector-matrix calculus, simultaneous inference, and logistic and nonlinear regression. Algebraic, geometrical, frequentist, and Bayesian approaches to both the inference of linear models and the analysis of variance are also illustrated. Through the expansion of relevant material and the inclusion of the latest technological developments in the field, this book provides readers with the theoretical foundation to correctly interpret computer software output as well as effectively use, customize, and understand linear models. This modern Second Edition features: New chapters on Bayesian linear models as well as random and mixed linear models Expanded discussion of two-way models with empty cells Additional sections on the geometry of least squares Updated coverage of simultaneous inference The book is complemented with easy-to-read proofs, real data sets, and an extensive bibliography. A thorough review of the requisite matrix algebra has been addedfor transitional purposes, and numerous theoretical and applied problems have been incorporated with selected answers provided at the end of the book. A related Web site includes additional data sets and SAS® code for all numerical examples. Linear Model in Statistics, Second Edition is a must-have book for courses in statistics, biostatistics, and mathematics at the upper-undergraduate and graduate levels. It is also an invaluable reference for researchers who need to gain a better understanding of regression and analysis of variance.
Book Synopsis Count Time Series by : Konstantinos Fokianos
Download or read book Count Time Series written by Konstantinos Fokianos and published by CRC Press. This book was released on 2020-06-30 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Discrete Choice Methods with Simulation by : Kenneth Train
Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
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.
