A Generalised Fractional Differencing Bootstrap for Long Memory Processes PDF Download
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Author: George Kappetanios
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
A bootstrap methodology suitable for use with stationary and non-stationary fractionally integrated time series is further developed in this article. The resampling algorithm involves estimating the degree of fractional integration, applying the fractional differencing operator, resampling the resulting approximation to the underlying short memory series and, finally, cumulating to obtain a resample of the original fractionally integrated process. This approach extends existing methods in the literature by allowing for general bootstrap schemes including blockwise bootstraps. Furthermore, we show that it can also be validly used for non-stationary fractionally integrated processes. We establish asymptotic validity results for the general method and provide simulation evidence which highlights a number of favourable aspects of its finite sample performance, relative to other commonly used bootstrap methods.
Author: George Kappetanios
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
A bootstrap methodology suitable for use with stationary and non-stationary fractionally integrated time series is further developed in this article. The resampling algorithm involves estimating the degree of fractional integration, applying the fractional differencing operator, resampling the resulting approximation to the underlying short memory series and, finally, cumulating to obtain a resample of the original fractionally integrated process. This approach extends existing methods in the literature by allowing for general bootstrap schemes including blockwise bootstraps. Furthermore, we show that it can also be validly used for non-stationary fractionally integrated processes. We establish asymptotic validity results for the general method and provide simulation evidence which highlights a number of favourable aspects of its finite sample performance, relative to other commonly used bootstrap methods.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Richard T. Baillie
Publisher:
ISBN:
Category :
Languages : en
Pages : 324
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Book Description
Author: Jan Beran
Publisher: Springer Science & Business Media
ISBN: 3642355129
Category : Mathematics
Languages : en
Pages : 892
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Book Description
Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Author: Fakher Chaari
Publisher: Springer
ISBN: 3030225291
Category : Technology & Engineering
Languages : en
Pages : 225
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Book Description
This book gathers contributions presented at the 10th Workshop on Cyclostationary Systems and Their Applications, held in Gródek nad Dunajcem, Poland in February 2017. It includes twelve interesting papers covering current topics related to both cyclostationary and general non stationary processes. Moreover, this book, which covers both theoretical and practical issues, offers a practice-oriented guide to the analysis of data sets with non-stationary behavior and a bridge between basic and applied research on nonstationary processes. It provides students, researchers and professionals with a timely guide on cyclostationary systems, nonstationary processes and relevant engineering applications.
Author: Fakher Chaari
Publisher: Springer
ISBN: 3319514458
Category : Technology & Engineering
Languages : en
Pages : 261
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Book Description
This book gathers contributions presented at the 9th Workshop on Cyclostationary Systems and Their Applications, held in Gródek nad Dunajcem, Poland in February 2016. It includes both theory-oriented and practice-oriented chapters. The former focus on heavy-tailed time series and processes, PAR models, rational spectra for PARMA processes, covariance invariant analysis, change point problems, and subsampling for time series, as well as the fraction-of-time approach, GARMA models and weak dependence. In turn, the latter report on case studies of various mechanical systems, and on stochastic and statistical methods, especially in the context of damage detection. The book provides students, researchers and professionals with a timely guide to cyclostationary systems, nonstationary processes and relevant engineering applications.
Author: W. J. Fitzgerald
Publisher: Cambridge University Press
ISBN: 9780521800440
Category : Mathematics
Languages : en
Pages : 510
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Book Description
Signal processing, nonlinear data analysis, nonlinear time series, nonstationary processes.
Author: Manfred Mudelsee
Publisher: Springer
ISBN: 3319044508
Category : Science
Languages : en
Pages : 477
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Book Description
Climate is a paradigm of a complex system. Analysing climate data is an exciting challenge, which is increased by non-normal distributional shape, serial dependence, uneven spacing and timescale uncertainties. This book presents bootstrap resampling as a computing-intensive method able to meet the challenge. It shows the bootstrap to perform reliably in the most important statistical estimation techniques: regression, spectral analysis, extreme values and correlation. This book is written for climatologists and applied statisticians. It explains step by step the bootstrap algorithms (including novel adaptions) and methods for confidence interval construction. It tests the accuracy of the algorithms by means of Monte Carlo experiments. It analyses a large array of climate time series, giving a detailed account on the data and the associated climatological questions. “....comprehensive mathematical and statistical summary of time-series analysis techniques geared towards climate applications...accessible to readers with knowledge of college-level calculus and statistics.” (Computers and Geosciences) “A key part of the book that separates it from other time series works is the explicit discussion of time uncertainty...a very useful text for those wishing to understand how to analyse climate time series.” (Journal of Time Series Analysis) “...outstanding. One of the best books on advanced practical time series analysis I have seen.” (David J. Hand, Past-President Royal Statistical Society)
Author: Jürgen Kropp
Publisher: Springer Science & Business Media
ISBN: 3642148638
Category : Science
Languages : en
Pages : 329
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Book Description
The book addresses a weakness of current methodologies used in extreme value assessment, i.e. the assumption of stationarity, which is not given in reality. With respect to this issue a lot of new developed technologies are presented, i.e. influence of trends vs. internal correlations, quantitative uncertainty assessments, etc. The book not only focuses on artificial time series data, but has a close link to empirical measurements, in order to make the suggested methodologies applicable for practitioners in water management and meteorology.
Author: Yong Wang
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110540045
Category : Science
Languages : en
Pages : 924
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Book Description
Environmental science is an interdisciplinary academic field that integrates physical-, biological-, and information sciences to study and solve environmental problems. ESSE - The International Conference on Environmental Science and Sustainable Energy provides a platform for experts, professionals, and researchers to share updated information and stimulate the communication with each other. In 2017 it was held in Suzhou, China June 23-25, 2017.
