Wavelet Methods for Time Series Analysis PDF Download

Author: Donald B. Percival
Publisher: Cambridge University Press
ISBN: 1107717396
Category : Mathematics
Languages : en
Pages : 628

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Book Description
This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.

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: G. P. Nason
Publisher: Springer Science & Business Media
ISBN: 9780387759609
Category : Business & Economics
Languages : en
Pages : 276

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Book Description
This book contains information on how to tackle many important problems using a multiscale statistical approach. It focuses on how to use multiscale methods and discusses methodological and applied considerations.

Author: Vladas Pipiras
Publisher: Cambridge University Press
ISBN: 1107039460
Category : Business & Economics
Languages : en
Pages : 693

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Book Description
A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.

Author: B. W. Silverman
Publisher:
ISBN: 019850716X
Category : Mathematics
Languages : en
Pages : 274

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Book Description
Wavelets are transforming current thinking in a wide range of fields by allowing for intermittent information and non- homogeneous behaviour. This book examines their increasing use and potential in many areas, including physical systems, turbulence, statistics, mechanical engineering, neural networks, physiology, vision engineering, signal processing, economics and astronomy. It is a must for specialists and non specialists alike.

Author: Wai Keung Li
Publisher: Springer
ISBN: 1493965689
Category : Business & Economics
Languages : en
Pages : 298

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Book Description
This volume reviews and summarizes some of A. I. McLeod's significant contributions to time series analysis. It also contains original contributions to the field and to related areas by participants of the festschrift held in June 2014 and friends of Dr. McLeod. Covering a diverse range of state-of-the-art topics, this volume well balances applied and theoretical research across fourteen contributions by experts in the field. It will be of interest to researchers and practitioners in time series, econometricians, and graduate students in time series or econometrics, as well as environmental statisticians, data scientists, statisticians interested in graphical models, and researchers in quantitative risk management.

Author: Tata Subba Rao
Publisher: Elsevier
ISBN: 0444538585
Category : Mathematics
Languages : en
Pages : 778

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Book Description
'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.

Author:
Publisher: Elsevier
ISBN: 0444538631
Category : Mathematics
Languages : en
Pages : 777

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Book Description
The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas

Author: Gilles Teyssière
Publisher: Springer Science & Business Media
ISBN: 3540346252
Category : Business & Economics
Languages : en
Pages : 394

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Book Description
Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.

Author: Paul Doukhan
Publisher: Springer Science & Business Media
ISBN: 9780817641689
Category : Mathematics
Languages : en
Pages : 744

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Book Description
The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about their structure. One such question is whether one observes some type of invariance with respect to scale, a question that is closely related to the existence of long-range dependence in the data. This important topic of long-range dependence is the focus of this unique work, written by a number of specialists on the subject. The topics selected should give a good overview from the probabilistic and statistical perspective. Included will be articles on fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, and prediction for long-range dependence sequences. For those graduate students and researchers who want to use the methodology and need to know the "tricks of the trade," there will be a special section called "Mathematical Techniques." Topics in the first part of the book are covered from probabilistic and statistical perspectives and include fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, prediction for long-range dependence sequences. The reader is referred to more detailed proofs if already found in the literature. The last part of the book is devoted to applications in the areas of simulation, estimation and wavelet techniques, traffic in computer networks, econometry and finance, multifractal models, and hydrology. Diagrams and illustrations enhance the presentation. Each article begins with introductory background material and is accessible to mathematicians, a variety of practitioners, and graduate students. The work serves as a state-of-the art reference or graduate seminar text.