Author: Leena KalliovirtaPublisher:
ISBN: 9789521053436
Category :
Languages : en
Pages : 0
Book Description
Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models
Author: Leena KalliovirtaPublisher:
ISBN: 9789521053436
Category :
Languages : en
Pages : 0
Book Description
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.
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.
On Linearity Testing and Model Estimation in Non-linear Time Series Analysis
Author: Ritva LuukkonenPublisher:
ISBN: 9789519542140
Category :
Languages : en
Pages : 129
Book Description
Foundations of Linear and Generalized Linear Models
Author: Alan AgrestiPublisher: John Wiley & Sons
ISBN: 1118730038
Category : Mathematics
Languages : en
Pages : 471
Book Description
A valuable overview of the most important ideas and results in statistical modeling Written by a highly-experienced author, Foundations of Linear and Generalized Linear Models is a clear and comprehensive guide to the key concepts and results of linearstatistical models. The book presents a broad, in-depth overview of the most commonly usedstatistical models by discussing the theory underlying the models, R software applications,and examples with crafted models to elucidate key ideas and promote practical modelbuilding. The book begins by illustrating the fundamentals of linear models, such as how the model-fitting projects the data onto a model vector subspace and how orthogonal decompositions of the data yield information about the effects of explanatory variables. Subsequently, the book covers the most popular generalized linear models, which include binomial and multinomial logistic regression for categorical data, and Poisson and negative binomial loglinear models for count data. Focusing on the theoretical underpinnings of these models, Foundations ofLinear and Generalized Linear Models also features: An introduction to quasi-likelihood methods that require weaker distributional assumptions, such as generalized estimating equation methods An overview of linear mixed models and generalized linear mixed models with random effects for clustered correlated data, Bayesian modeling, and extensions to handle problematic cases such as high dimensional problems Numerous examples that use R software for all text data analyses More than 400 exercises for readers to practice and extend the theory, methods, and data analysis A supplementary website with datasets for the examples and exercises An invaluable textbook for upper-undergraduate and graduate-level students in statistics and biostatistics courses, Foundations of Linear and Generalized Linear Models is also an excellent reference for practicing statisticians and biostatisticians, as well as anyone who is interested in learning about the most important statistical models for analyzing data.
Diagnostic Checking in a Flexible Nonlinear Time Series Model
Author: Marcelo C. MedeirosPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper considers a sequence of misspecification tests for a flexible nonlinear time series model. The model is a generalization of both the smooth transition autoregressive (STAR) and the autoregressive artificial neural network (AR-ANN) models. The tests are Lagrange multiplier (LM) type tests of parameter constancy against the alternative of smoothly changing ones, of serial independence, and of constant variance of the error term against the hypothesis that the variance changes smoothly between regimes. The small sample behaviour of the proposed tests is evaluated by a Monte-Carlo study and the results show that the tests have size close to the nominal one and a good power.
Research Papers in Statistical Inference for Time Series and Related Models
Author: Yan LiuPublisher: Springer Nature
ISBN: 9819908035
Category : Mathematics
Languages : en
Pages : 591
Book Description
This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Goodness-of-Fit Test for a Nonlinear Time Series
Author: Yoichi NishiyamaPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Goodness-of-fit test in a general model of nonlinear time series is considered. We present an asymptotically distribution-free test based on a random field of innovation martingales. Its consistency under any fixed alternative is also proved.
Partially Linear Models
Author: Wolfgang HärdlePublisher: Springer Science & Business Media
ISBN: 3642577008
Category : Mathematics
Languages : en
Pages : 210
Book Description
In the last ten years, there has been increasing interest and activity in the general area of partially linear regression smoothing in statistics. Many methods and techniques have been proposed and studied. This monograph hopes to bring an up-to-date presentation of the state of the art of partially linear regression techniques. The emphasis is on methodologies rather than on the theory, with a particular focus on applications of partially linear regression techniques to various statistical problems. These problems include least squares regression, asymptotically efficient estimation, bootstrap resampling, censored data analysis, linear measurement error models, nonlinear measurement models, nonlinear and nonparametric time series models.
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