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Author: Richard A. Davis Publisher: CRC Press ISBN: 1466577746 Category : Mathematics Languages : en Pages : 484
Book Description
Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed ca
Author: Richard A. Davis Publisher: CRC Press ISBN: 1466577746 Category : Mathematics Languages : en Pages : 484
Book Description
Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed ca
Author: Christian H. Weiss Publisher: John Wiley & Sons ISBN: 1119096960 Category : Mathematics Languages : en Pages : 300
Book Description
A much-needed introduction to the field of discrete-valued time series, with a focus on count-data time series Time series analysis is an essential tool in a wide array of fields, including business, economics, computer science, epidemiology, finance, manufacturing and meteorology, to name just a few. Despite growing interest in discrete-valued time series—especially those arising from counting specific objects or events at specified times—most books on time series give short shrift to that increasingly important subject area. This book seeks to rectify that state of affairs by providing a much needed introduction to discrete-valued time series, with particular focus on count-data time series. The main focus of this book is on modeling. Throughout numerous examples are provided illustrating models currently used in discrete-valued time series applications. Statistical process control, including various control charts (such as cumulative sum control charts), and performance evaluation are treated at length. Classic approaches like ARMA models and the Box-Jenkins program are also featured with the basics of these approaches summarized in an Appendix. In addition, data examples, with all relevant R code, are available on a companion website. Provides a balanced presentation of theory and practice, exploring both categorical and integer-valued series Covers common models for time series of counts as well as for categorical time series, and works out their most important stochastic properties Addresses statistical approaches for analyzing discrete-valued time series and illustrates their implementation with numerous data examples Covers classical approaches such as ARMA models, Box-Jenkins program and how to generate functions Includes dataset examples with all necessary R code provided on a companion website An Introduction to Discrete-Valued Time Series is a valuable working resource for researchers and practitioners in a broad range of fields, including statistics, data science, machine learning, and engineering. It will also be of interest to postgraduate students in statistics, mathematics and economics.
Author: Gilles Zumbach Publisher: Springer Science & Business Media ISBN: 3642317421 Category : Mathematics Languages : en Pages : 326
Book Description
Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.
Author: Kevin Watkins Publisher: McGraw-Hill Companies ISBN: 9780077077334 Category : Science Languages : en Pages : 384
Book Description
A software engineer's guide to model design in C. Kevin Watkins clarifies the concepts of simulation modelling and discrete event simulation. He explores important simulation techniques such as random numbers generation, sampling, variance reduction, and analysis. Provides all the code for a library of C simulation routines.
Author: Amanda Chetwynd Publisher: Elsevier ISBN: 0080928609 Category : Mathematics Languages : en Pages : 221
Book Description
As an introduction to discrete mathematics, this text provides a straightforward overview of the range of mathematical techniques available to students. Assuming very little prior knowledge, and with the minimum of technical complication, it gives an account of the foundations of modern mathematics: logic; sets; relations and functions. It then develops these ideas in the context of three particular topics: combinatorics (the mathematics of counting); probability (the mathematics of chance) and graph theory (the mathematics of connections in networks). Worked examples and graded exercises are used throughout to develop ideas and concepts. The format of this book is such that it can be easily used as the basis for a complete modular course in discrete mathematics.
Author: Tian-Xiao He Publisher: CRC Press ISBN: 1000534332 Category : Mathematics Languages : en Pages : 458
Book Description
This book presents methods for the summation of infinite and finite series and the related identities and inversion relations. The summation includes the column sums and row sums of lower triangular matrices. The convergence of the summation of infinite series is considered. The author’s focus is on symbolic methods and the Riordan array approach. In addition, this book contains hundreds summation formulas and identities, which can be used as a handbook for people working in computer science, applied mathematics, and computational mathematics, particularly, combinatorics, computational discrete mathematics, and computational number theory. The exercises at the end of each chapter help deepen understanding. Much of the materials in this book has never appeared before in textbook form. This book can be used as a suitable textbook for advanced courses for high lever undergraduate and lower lever graduate students. It is also an introductory self-study book for re- searchers interested in this field, while some materials of the book can be used as a portal for further research.
Author: Stephen Barnett Publisher: Prentice Hall ISBN: Category : Arithmetic Languages : en Pages : 464
Book Description
For the increasing number of students who need an understanding of the subject, Discrete Mathematics: Numbers and Beyond provides the perfect introduction. Aimed particularly at non-specialists, its attractive style and practical approach offer easy access to this important subject. With an emphasis on methods and applications rather than rigorous proofs, the book's coverage is based an the essential topics of numbers, counting and numerical processes. Discrete Mathematics: Numbers and Beyond supplies the reader with a thorough grounding in number systems, modular arithmetic, combinatorics, networks and graphs, coding theory and recurrence relations. Throughout the book, learning is aided and reinforced by the following features: a wealth of exercises and problems of varying difficulty a wide range of illustrative applications of general interest numerous worked examples and diagrams team-based student projects in every chapter concise, informal explanations tips for further reading Discrete Mathematics: Numbers and Beyond is an ideal textbook for an introductory discrete mathematics course taken by students of economics, computer science, mathematics, business, finance, engineering and the sciences. 0201342928B04062001
Author: Gerhard Tutz Publisher: Springer ISBN: 3319281585 Category : Mathematics Languages : en Pages : 252
Book Description
This book focuses on statistical methods for the analysis of discrete failure times. Failure time analysis is one of the most important fields in statistical research, with applications affecting a wide range of disciplines, in particular, demography, econometrics, epidemiology and clinical research. Although there are a large variety of statistical methods for failure time analysis, many techniques are designed for failure times that are measured on a continuous scale. In empirical studies, however, failure times are often discrete, either because they have been measured in intervals (e.g., quarterly or yearly) or because they have been rounded or grouped. The book covers well-established methods like life-table analysis and discrete hazard regression models, but also introduces state-of-the art techniques for model evaluation, nonparametric estimation and variable selection. Throughout, the methods are illustrated by real life applications, and relationships to survival analysis in continuous time are explained. Each section includes a set of exercises on the respective topics. Various functions and tools for the analysis of discrete survival data are collected in the R package discSurv that accompanies the book.
Author: Richard A. Davis
Author: Richard A. Davis
Author: Christian H. Weiss
Author: Gilles Zumbach
Author: Kevin Watkins
Author: Amanda Chetwynd
Author: Tian-Xiao He
Author: Stephen Barnett
Author: Gerhard Tutz
Author: George Oppen
Author: Edward Vermilye Huntington