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Author: Martin Casdagli
Publisher: Westview Press
ISBN:
Category : Mathematics
Languages : en
Pages : 564
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Book Description
Based on a Santa Fe Institute and NATO sponsored workshop, this book brings together the ideas of leading researchers in the rapidly expanding, interdisciplinary field of nonlinear modeling in an attempt to stimulate the cross-fertilization of ideas and the search for unifying themes. The central theme of the workshop was the construction of nonlinear models from time-series data. Approaches to this problem have drawn from the disciplines of multivariate function approximation and neural nets, dynamical systems and chaos, statistics, information theory, and control theory. Applications have been made to economics, mechanical engineering, meteorology, speech processing, biology, and fluid dynamics.
Author: Martin Casdagli
Publisher: Westview Press
ISBN:
Category : Mathematics
Languages : en
Pages : 564
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Book Description
Based on a Santa Fe Institute and NATO sponsored workshop, this book brings together the ideas of leading researchers in the rapidly expanding, interdisciplinary field of nonlinear modeling in an attempt to stimulate the cross-fertilization of ideas and the search for unifying themes. The central theme of the workshop was the construction of nonlinear models from time-series data. Approaches to this problem have drawn from the disciplines of multivariate function approximation and neural nets, dynamical systems and chaos, statistics, information theory, and control theory. Applications have been made to economics, mechanical engineering, meteorology, speech processing, biology, and fluid dynamics.
Author: G. Gregoriou
Publisher: Palgrave Macmillan
ISBN: 9780230283657
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.
Author: Abdol S. Soofi
Publisher: Springer Science & Business Media
ISBN: 9780792376804
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
Over the last decade, dynamical systems theory and related nonlinear methods have had a major impact on the analysis of time series data from complex systems. Recent developments in mathematical methods of state-space reconstruction, time-delay embedding, and surrogate data analysis, coupled with readily accessible and powerful computational facilities used in gathering and processing massive quantities of high-frequency data, have provided theorists and practitioners unparalleled opportunities for exploratory data analysis, modelling, forecasting, and control. Until now, research exploring the application of nonlinear dynamics and associated algorithms to the study of economies and markets as complex systems is sparse and fragmentary at best. Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters. Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.
Author: Jan G. De Gooijer
Publisher: Springer
ISBN: 3319432524
Category : Mathematics
Languages : en
Pages : 626
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Book Description
This book provides an overview of the current state-of-the-art of nonlinear time series analysis, richly illustrated with examples, pseudocode algorithms and real-world applications. Avoiding a “theorem-proof” format, it shows concrete applications on a variety of empirical time series. The book can be used in graduate courses in nonlinear time series and at the same time also includes interesting material for more advanced readers. Though it is largely self-contained, readers require an understanding of basic linear time series concepts, Markov chains and Monte Carlo simulation methods. The book covers time-domain and frequency-domain methods for the analysis of both univariate and multivariate (vector) time series. It makes a clear distinction between parametric models on the one hand, and semi- and nonparametric models/methods on the other. This offers the reader the option of concentrating exclusively on one of these nonlinear time series analysis methods. To make the book as user friendly as possible, major supporting concepts and specialized tables are appended at the end of every chapter. In addition, each chapter concludes with a set of key terms and concepts, as well as a summary of the main findings. Lastly, the book offers numerous theoretical and empirical exercises, with answers provided by the author in an extensive solutions manual.
Author: Philip Hans Franses
Publisher: Cambridge University Press
ISBN: 0521770416
Category : Business & Economics
Languages : en
Pages : 299
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Book Description
This 2000 volume reviews non-linear time series models, and their applications to financial markets.
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: Johan A. K. Suykens
Publisher: Springer Science & Business Media
ISBN: 9780792381952
Category : Language Arts & Disciplines
Languages : en
Pages : 284
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Book Description
This collection of eight contributions presents advanced black-box techniques for nonlinear modeling. The methods discussed include neural nets and related model structures for nonlinear system identification, enhanced multi-stream Kalman filter training for recurrent networks, the support vector method of function estimation, parametric density estimation for the classification of acoustic feature vectors in speech recognition, wavelet based modeling of nonlinear systems, nonlinear identification based on fuzzy models, statistical learning in control and matrix theory, and nonlinear time- series analysis. The volume concludes with the results of a time- series prediction competition held at a July 1998 workshop in Belgium. Annotation copyrighted by Book News, Inc., Portland, OR.
Author: Timo Teräsvirta
Publisher: OUP Oxford
ISBN: 9780199587148
Category : Business & Economics
Languages : en
Pages : 592
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Book Description
This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For thispurpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried outusing numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter isdevoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.
Author: Michael P. Clements
Publisher: OUP USA
ISBN: 0195398645
Category : Business & Economics
Languages : en
Pages : 732
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Book Description
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Author: Alistair I. Mees
Publisher: Springer Science & Business Media
ISBN: 9780817641634
Category : Business & Economics
Languages : en
Pages : 490
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Book Description
This book describes the state of the art in nonlinear dynamical reconstruction theory. The chapters are based upon a workshop held at the Isaac Newton Institute, Cambridge University, UK, in late 1998. The book's chapters present theory and methods topics by leading researchers in applied and theoretical nonlinear dynamics, statistics, probability, and systems theory. Features and topics: * disentangling uncertainty and error: the predictability of nonlinear systems * achieving good nonlinear models * delay reconstructions: dynamics vs. statistics * introduction to Monte Carlo Methods for Bayesian Data Analysis * latest results in extracting dynamical behavior via Markov Models * data compression, dynamics and stationarity Professionals, researchers, and advanced graduates in nonlinear dynamics, probability, optimization, and systems theory will find the book a useful resource and guide to current developments in the subject.
