Author: Benjamin Kedem
Publisher: John Wiley & Sons
ISBN: 0471461687
Category : Mathematics
Languages : en
Pages : 361
Book Description
A thorough review of the most current regression methods in time series analysis Regression methods have been an integral part of time series analysis for over a century. Recently, new developments have made major strides in such areas as non-continuous data where a linear model is not appropriate. This book introduces the reader to newer developments and more diverse regression models and methods for time series analysis. Accessible to anyone who is familiar with the basic modern concepts of statistical inference, Regression Models for Time Series Analysis provides a much-needed examination of recent statistical developments. Primary among them is the important class of models known as generalized linear models (GLM) which provides, under some conditions, a unified regression theory suitable for continuous, categorical, and count data. The authors extend GLM methodology systematically to time series where the primary and covariate data are both random and stochastically dependent. They introduce readers to various regression models developed during the last thirty years or so and summarize classical and more recent results concerning state space models. To conclude, they present a Bayesian approach to prediction and interpolation in spatial data adapted to time series that may be short and/or observed irregularly. Real data applications and further results are presented throughout by means of chapter problems and complements. Notably, the book covers: * Important recent developments in Kalman filtering, dynamic GLMs, and state-space modeling * Associated computational issues such as Markov chain, Monte Carlo, and the EM-algorithm * Prediction and interpolation * Stationary processes
Regression Models for Time Series Analysis
Author: Benjamin Kedem
Publisher: John Wiley & Sons
ISBN: 0471461687
Category : Mathematics
Languages : en
Pages : 361
Book Description
A thorough review of the most current regression methods in time series analysis Regression methods have been an integral part of time series analysis for over a century. Recently, new developments have made major strides in such areas as non-continuous data where a linear model is not appropriate. This book introduces the reader to newer developments and more diverse regression models and methods for time series analysis. Accessible to anyone who is familiar with the basic modern concepts of statistical inference, Regression Models for Time Series Analysis provides a much-needed examination of recent statistical developments. Primary among them is the important class of models known as generalized linear models (GLM) which provides, under some conditions, a unified regression theory suitable for continuous, categorical, and count data. The authors extend GLM methodology systematically to time series where the primary and covariate data are both random and stochastically dependent. They introduce readers to various regression models developed during the last thirty years or so and summarize classical and more recent results concerning state space models. To conclude, they present a Bayesian approach to prediction and interpolation in spatial data adapted to time series that may be short and/or observed irregularly. Real data applications and further results are presented throughout by means of chapter problems and complements. Notably, the book covers: * Important recent developments in Kalman filtering, dynamic GLMs, and state-space modeling * Associated computational issues such as Markov chain, Monte Carlo, and the EM-algorithm * Prediction and interpolation * Stationary processes
Publisher: John Wiley & Sons
ISBN: 0471461687
Category : Mathematics
Languages : en
Pages : 361
Book Description
A thorough review of the most current regression methods in time series analysis Regression methods have been an integral part of time series analysis for over a century. Recently, new developments have made major strides in such areas as non-continuous data where a linear model is not appropriate. This book introduces the reader to newer developments and more diverse regression models and methods for time series analysis. Accessible to anyone who is familiar with the basic modern concepts of statistical inference, Regression Models for Time Series Analysis provides a much-needed examination of recent statistical developments. Primary among them is the important class of models known as generalized linear models (GLM) which provides, under some conditions, a unified regression theory suitable for continuous, categorical, and count data. The authors extend GLM methodology systematically to time series where the primary and covariate data are both random and stochastically dependent. They introduce readers to various regression models developed during the last thirty years or so and summarize classical and more recent results concerning state space models. To conclude, they present a Bayesian approach to prediction and interpolation in spatial data adapted to time series that may be short and/or observed irregularly. Real data applications and further results are presented throughout by means of chapter problems and complements. Notably, the book covers: * Important recent developments in Kalman filtering, dynamic GLMs, and state-space modeling * Associated computational issues such as Markov chain, Monte Carlo, and the EM-algorithm * Prediction and interpolation * Stationary processes
Forecasting: principles and practice
Author: Rob J Hyndman
Publisher: OTexts
ISBN: 0987507117
Category : Business & Economics
Languages : en
Pages : 380
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.
Publisher: OTexts
ISBN: 0987507117
Category : Business & Economics
Languages : en
Pages : 380
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.
Regression and Time Series Model Selection
Author: Allan D. R. McQuarrie
Publisher: World Scientific
ISBN: 9812385452
Category : Mathematics
Languages : en
Pages : 479
Book Description
This important book describes procedures for selecting a model from a large set of competing statistical models. It includes model selection techniques for univariate and multivariate regression models, univariate and multivariate autoregressive models, nonparametric (including wavelets) and semiparametric regression models, and quasi-likelihood and robust regression models. Information-based model selection criteria are discussed, and small sample and asymptotic properties are presented. The book also provides examples and large scale simulation studies comparing the performances of information-based model selection criteria, bootstrapping, and cross-validation selection methods over a wide range of models.
Publisher: World Scientific
ISBN: 9812385452
Category : Mathematics
Languages : en
Pages : 479
Book Description
This important book describes procedures for selecting a model from a large set of competing statistical models. It includes model selection techniques for univariate and multivariate regression models, univariate and multivariate autoregressive models, nonparametric (including wavelets) and semiparametric regression models, and quasi-likelihood and robust regression models. Information-based model selection criteria are discussed, and small sample and asymptotic properties are presented. The book also provides examples and large scale simulation studies comparing the performances of information-based model selection criteria, bootstrapping, and cross-validation selection methods over a wide range of models.
Applied Econometrics with R
Author: Christian Kleiber
Publisher: Springer Science & Business Media
ISBN: 0387773185
Category : Business & Economics
Languages : en
Pages : 229
Book Description
R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.
Publisher: Springer Science & Business Media
ISBN: 0387773185
Category : Business & Economics
Languages : en
Pages : 229
Book Description
R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.
Linear Models and Time-Series Analysis
Author: Marc S. Paolella
Publisher: John Wiley & Sons
ISBN: 1119431905
Category : Mathematics
Languages : en
Pages : 896
Book Description
A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Publisher: John Wiley & Sons
ISBN: 1119431905
Category : Mathematics
Languages : en
Pages : 896
Book Description
A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Time Series Analysis
Author: Jonathan D. Cryer
Publisher: Springer Science & Business Media
ISBN: 0387759581
Category : Business & Economics
Languages : en
Pages : 501
Book Description
This book presents an accessible approach to understanding time series models and their applications. The ideas and methods are illustrated with both real and simulated data sets. A unique feature of this edition is its integration with the R computing environment.
Publisher: Springer Science & Business Media
ISBN: 0387759581
Category : Business & Economics
Languages : en
Pages : 501
Book Description
This book presents an accessible approach to understanding time series models and their applications. The ideas and methods are illustrated with both real and simulated data sets. A unique feature of this edition is its integration with the R computing environment.
Multivariate Time Series Analysis and Applications
Author: William W. S. Wei
Publisher: John Wiley & Sons
ISBN: 1119502853
Category : Mathematics
Languages : en
Pages : 536
Book Description
An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Publisher: John Wiley & Sons
ISBN: 1119502853
Category : Mathematics
Languages : en
Pages : 536
Book Description
An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Time Series Analysis Univariate and Multivariate Methods
Author: William W. S. Wei
Publisher: Pearson
ISBN: 9780134995366
Category : Time-series analysis
Languages : en
Pages : 648
Book Description
With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses of univariate and multivariate time series methods, with coverage of the most recently developed techniques in the field.
Publisher: Pearson
ISBN: 9780134995366
Category : Time-series analysis
Languages : en
Pages : 648
Book Description
With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses of univariate and multivariate time series methods, with coverage of the most recently developed techniques in the field.
Interrupted Time Series Analysis
Author: David McDowall
Publisher:
ISBN: 0190943947
Category : Business & Economics
Languages : en
Pages : 201
Book Description
Interrupted Time Series Analysis develops a comprehensive set of models and methods for drawing causal inferences from time series. It provides example analyses of social, behavioral, and biomedical time series to illustrate a general strategy for building AutoRegressive Integrated Moving Average (ARIMA) impact models. Additionally, the book supplements the classic Box-Jenkins-Tiao model-building strategy with recent auxiliary tests for transformation, differencing, and model selection. Not only does the text discuss new developments, including the prospects for widespread adoption of Bayesian hypothesis testing and synthetic control group designs, but it makes optimal use of graphical illustrations in its examples. With forty completed example analyses that demonstrate the implications of model properties, Interrupted Time Series Analysis will be a key inter-disciplinary text in classrooms, workshops, and short-courses for researchers familiar with time series data or cross-sectional regression analysis but limited background in the structure of time series processes and experiments.
Publisher:
ISBN: 0190943947
Category : Business & Economics
Languages : en
Pages : 201
Book Description
Interrupted Time Series Analysis develops a comprehensive set of models and methods for drawing causal inferences from time series. It provides example analyses of social, behavioral, and biomedical time series to illustrate a general strategy for building AutoRegressive Integrated Moving Average (ARIMA) impact models. Additionally, the book supplements the classic Box-Jenkins-Tiao model-building strategy with recent auxiliary tests for transformation, differencing, and model selection. Not only does the text discuss new developments, including the prospects for widespread adoption of Bayesian hypothesis testing and synthetic control group designs, but it makes optimal use of graphical illustrations in its examples. With forty completed example analyses that demonstrate the implications of model properties, Interrupted Time Series Analysis will be a key inter-disciplinary text in classrooms, workshops, and short-courses for researchers familiar with time series data or cross-sectional regression analysis but limited background in the structure of time series processes and experiments.
Binary Time Series
Author: Benjamin Kedem
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 282
Book Description
Basic concepts of stationary processes; Sufficient statistics for binary Markov chains; The distribution of the number of axis-crossing; Upcrossings of a high level by a stationary process; Clipping a gaussian process; Estimation in ar(1) after hard limiting; Estimation in ar(p); Runs and estimates of correlations; Spectral analysis after clipping; Extremes in stationary time series; A central limit (ACL); Prediction in binary data.
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 282
Book Description
Basic concepts of stationary processes; Sufficient statistics for binary Markov chains; The distribution of the number of axis-crossing; Upcrossings of a high level by a stationary process; Clipping a gaussian process; Estimation in ar(1) after hard limiting; Estimation in ar(p); Runs and estimates of correlations; Spectral analysis after clipping; Extremes in stationary time series; A central limit (ACL); Prediction in binary data.