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Author: Maksym Luz
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3111325628
Category : Business & Economics
Languages : en
Pages : 310
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Book Description
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.
Author: Maksym Luz
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3111325628
Category : Business & Economics
Languages : en
Pages : 310
Get Book Here
Book Description
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.
Author: Abolghassem G Miamee
Publisher: World Scientific
ISBN: 9814554502
Category :
Languages : en
Pages : 298
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Book Description
The purpose of the workshop was to bring together researchers working in a broad spectrum of nonstationary stochastic processes to present their findings and techniques for analyzing the growing field of nonstationary stochastic processes. Researchers from both engineering and mathematics communities shared their sometimes different, but complementing, point of views on the recent developments in the theory and applications of nonstationary stochastic processes. As such, this volume will be of interest to mathematicians, probabilists, and engineers, and it is hoped that this will stimulate a significant amount of research in this field.
Author: Rob J Hyndman
Publisher: OTexts
ISBN: 0987507117
Category : Business & Economics
Languages : en
Pages : 380
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Book Description
Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Author: Constantin Colonescu
Publisher: Lulu.com
ISBN: 1387473611
Category : Business & Economics
Languages : en
Pages : 278
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Book Description
This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Author: Heidy M. Mader
Publisher: Geological Society of London
ISBN: 9781862392083
Category : Nature
Languages : en
Pages : 304
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Book Description
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.
Author: Elias T. Krainski
Publisher: CRC Press
ISBN: 0429629850
Category : Mathematics
Languages : en
Pages : 284
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Book Description
Modeling spatial and spatio-temporal continuous processes is an important and challenging problem in spatial statistics. Advanced Spatial Modeling with Stochastic Partial Differential Equations Using R and INLA describes in detail the stochastic partial differential equations (SPDE) approach for modeling continuous spatial processes with a Matérn covariance, which has been implemented using the integrated nested Laplace approximation (INLA) in the R-INLA package. Key concepts about modeling spatial processes and the SPDE approach are explained with examples using simulated data and real applications. This book has been authored by leading experts in spatial statistics, including the main developers of the INLA and SPDE methodologies and the R-INLA package. It also includes a wide range of applications: * Spatial and spatio-temporal models for continuous outcomes * Analysis of spatial and spatio-temporal point patterns * Coregionalization spatial and spatio-temporal models * Measurement error spatial models * Modeling preferential sampling * Spatial and spatio-temporal models with physical barriers * Survival analysis with spatial effects * Dynamic space-time regression * Spatial and spatio-temporal models for extremes * Hurdle models with spatial effects * Penalized Complexity priors for spatial models All the examples in the book are fully reproducible. Further information about this book, as well as the R code and datasets used, is available from the book website at http://www.r-inla.org/spde-book. The tools described in this book will be useful to researchers in many fields such as biostatistics, spatial statistics, environmental sciences, epidemiology, ecology and others. Graduate and Ph.D. students will also find this book and associated files a valuable resource to learn INLA and the SPDE approach for spatial modeling.
Author:
Publisher:
ISBN:
Category : Weights and measures
Languages : en
Pages : 574
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Book Description
Author: Michael P. Clements
Publisher: MIT Press
ISBN: 9780262531894
Category : Business & Economics
Languages : en
Pages : 398
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Book Description
This text on economic forecasting asks why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to forecasting, it looks at the implications for causal modelling, presents forecast errors and delineates sources of failure.
Author: D.R. Cox
Publisher: Routledge
ISBN: 135140895X
Category : Mathematics
Languages : en
Pages : 408
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Book Description
This book should be of interest to undergraduate and postgraduate students of probability theory.
Author: Alan C. Krinik
Publisher: CRC Press
ISBN: 9780203913574
Category : Mathematics
Languages : en
Pages : 526
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Book Description
This extraordinary compilation is an expansion of the recent American Mathematical Society Special Session celebrating M. M. Rao's distinguished career and includes most of the presented papers as well as ancillary contributions from session invitees. This book shows the effectiveness of abstract analysis for solving fundamental problems of stochas
