Author: Marcelo MedeirosPublisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
Diagnostic Checking in a Flexible Nonlinear Time Series Model
Author: Marcelo Medeirosפיוט לפסח (קטע)
Author: Trends in Applied Intelligent Systems
Author: Nicolás García-PedrajasPublisher: Springer
ISBN: 3642130259
Category : Computers
Languages : en
Pages : 698
Book Description
Annotation The three volume set LNAI 6096, LNAI 6097, and LNAI 6098 constitutes the thoroughly refereed conference proceedings of the 23rd International Conference on Industrial Engineering and Other Applications of Applied Intelligend Systems, IEA/AIE 2010, held in Cordoba, Spain, in June 2010. The total of 119 papers selected for the proceedings were carefully reviewed and selected from 297 submissions.
Nonlinear Time Series Analysis
Author: Ruey S. TsayPublisher: John Wiley & Sons
ISBN: 1119264073
Category : Mathematics
Languages : en
Pages : 466
Book Description
A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.
Elements of Nonlinear Time Series Analysis and Forecasting
Author: Jan G. De GooijerPublisher: Springer
ISBN: 3319432524
Category : Mathematics
Languages : en
Pages : 626
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.
Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models
Author: Leena KalliovirtaPublisher:
ISBN: 9789521053436
Category :
Languages : en
Pages : 0
Book Description
Complex Systems in Finance and Econometrics
Author: Robert A. MeyersPublisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919
Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Some Diagnostic Checks of Non-linear Time Series Models
Author: D. K. GhaddarDiagnostic Methods in Time Series
Author: Fumiya AkashiPublisher: Springer Nature
ISBN: 9811622647
Category : Mathematics
Languages : en
Pages : 117
Book Description
This book contains new aspects of model diagnostics in time series analysis, including variable selection problems and higher-order asymptotics of tests. This is the first book to cover systematic approaches and widely applicable results for nonstandard models including infinite variance processes. The book begins by introducing a unified view of a portmanteau-type test based on a likelihood ratio test, useful to test general parametric hypotheses inherent in statistical models. The conditions for the limit distribution of portmanteau-type tests to be asymptotically pivotal are given under general settings, and very clear implications for the relationships between the parameter of interest and the nuisance parameter are elucidated in terms of Fisher-information matrices. A robust testing procedure against heavy-tailed time series models is also constructed in the context of variable selection problems. The setting is very reasonable in the context of financial data analysis and econometrics, and the result is applicable to causality tests of heavy-tailed time series models. In the last two sections, Bartlett-type adjustments for a class of test statistics are discussed when the parameter of interest is on the boundary of the parameter space. A nonlinear adjustment procedure is proposed for a broad range of test statistics including the likelihood ratio, Wald and score statistics.
Journal of the American Statistical Association
Author: Publisher:
ISBN:
Category : Statistics
Languages : en
Pages : 1526
Book Description
A scientific and educational journal not only for professional statisticians but also for economists, business executives, research directors, government officials, university professors, and others who are seriously interested in the application of statistical methods to practical problems, in the development of more useful methods, and in the improvement of basic statistical data.