Parameter Estimation, Model Selection And Multi-Step Forecasting For A Long Memory Time Series: to 25; Pages:26 to 50; Pages:51 to 75; Pages:76 to 100; Pages:101 to 120 PDF Download

Author: Julia Brodsky
Publisher:
ISBN: 9780591599701
Category :
Languages : en
Pages : 120

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Author: Julia Brodsky
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Clifford M. Hurvich
Publisher:
ISBN:
Category :
Languages : en
Pages : 13

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We develop forecasting methodology for the fractional exponential (FEXP) model. First, we devise algorithms for fastexact computation of the coefficients in the infinite order autoregressive and moving average representations of a FEXPprocess. We also describe an algorithm to accurately approximate the autocovariances and to simulate realizations of theprocess. Next, we present a fast frequency-domain cross validation method for selecting the order of the model. This modelselection method is designed to yield the model which provides the best multistep forecast for the given lead time, withoutassuming that the process actually obeys a FEXP model. Finally, we use the infinite order autoregressive coefficients of afitted FEXP model to construct multistep forecasts of inflation in the United Kingdom. These forecasts are substantiallydifferent than those from a fitted ARFIMA model.

Author: William W. S. Wei
Publisher: Addison-Wesley Longman
ISBN:
Category : Mathematics
Languages : en
Pages : 648

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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. Overview. Fundamental Concepts. Stationary Time Series Models. Nonstationary Time Series Models. Forecasting. Model Identification. Parameter Estimation, Diagnostic Checking, and Model Selection. Seasonal Time Series Models. Testing for a Unit Root. Intervention Analysis and Outlier Detection. Fourier Analysis. Spectral Theory of Stationary Processes. Estimation of the Spectrum. Transfer Function Models. Time Series Regression and GARCH Models. Vector Time Series Models. More on Vector Time Series. State Space Models and the Kalman Filter. Long Memory and Nonlinear Processes. Aggregation and Systematic Sampling in Time Series. For all readers interested in time series analysis.

Author: Joel Kronander
Publisher: Linköping University Electronic Press
ISBN: 9176859126
Category : Computer graphics
Languages : en
Pages : 157

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This thesis presents methods for photorealistic rendering of virtual objects so that they can be seamlessly composited into images of the real world. To generate predictable and consistent results, we study physically based methods, which simulate how light propagates in a mathematical model of the augmented scene. This computationally challenging problem demands both efficient and accurate simulation of the light transport in the scene, as well as detailed modeling of the geometries, illumination conditions, and material properties. In this thesis, we discuss and formulate the challenges inherent in these steps and present several methods to make the process more efficient. In particular, the material contained in this thesis addresses four closely related areas: HDR imaging, IBL, reflectance modeling, and efficient rendering. The thesis presents a new, statistically motivated algorithm for HDR reconstruction from raw camera data combining demosaicing, denoising, and HDR fusion in a single processing operation. The thesis also presents practical and robust methods for rendering with spatially and temporally varying illumination conditions captured using omnidirectional HDR video. Furthermore, two new parametric BRDF models are proposed for surfaces exhibiting wide angle gloss. Finally, the thesis also presents a physically based light transport algorithm based on Markov Chain Monte Carlo methods that allows approximations to be used in place of exact quantities, while still converging to the exact result. As illustrated in the thesis, the proposed algorithm enables efficient rendering of scenes with glossy transfer and heterogenous participating media.

Author: Gerald J. Kowalski
Publisher: Springer Science & Business Media
ISBN: 0306470314
Category : Computers
Languages : en
Pages : 323

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Chapter 1 places into perspective a total Information Storage and Retrieval System. This perspective introduces new challenges to the problems that need to be theoretically addressed and commercially implemented. Ten years ago commercial implementation of the algorithms being developed was not realistic, allowing theoreticians to limit their focus to very specific areas. Bounding a problem is still essential in deriving theoretical results. But the commercialization and insertion of this technology into systems like the Internet that are widely being used changes the way problems are bounded. From a theoretical perspective, efficient scalability of algorithms to systems with gigabytes and terabytes of data, operating with minimal user search statement information, and making maximum use of all functional aspects of an information system need to be considered. The dissemination systems using persistent indexes or mail files to modify ranking algorithms and combining the search of structured information fields and free text into a consolidated weighted output are examples of potential new areas of investigation. The best way for the theoretician or the commercial developer to understand the importance of problems to be solved is to place them in the context of a total vision of a complete system. Understanding the differences between Digital Libraries and Information Retrieval Systems will add an additional dimension to the potential future development of systems. The collaborative aspects of digital libraries can be viewed as a new source of information that dynamically could interact with information retrieval techniques.

Author: Katharine G. Abraham
Publisher: University of Chicago Press
ISBN: 022680125X
Category : Business & Economics
Languages : en
Pages : 502

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Book Description
Introduction.Big data for twenty-first-century economic statistics: the future is now /Katharine G. Abraham, Ron S. Jarmin, Brian C. Moyer, and Matthew D. Shapiro --Toward comprehensive use of big data in economic statistics.Reengineering key national economic indicators /Gabriel Ehrlich, John Haltiwanger, Ron S. Jarmin, David Johnson, and Matthew D. Shapiro ;Big data in the US consumer price index: experiences and plans /Crystal G. Konny, Brendan K. Williams, and David M. Friedman ;Improving retail trade data products using alternative data sources /Rebecca J. Hutchinson ;From transaction data to economic statistics: constructing real-time, high-frequency, geographic measures of consumer spending /Aditya Aladangady, Shifrah Aron-Dine, Wendy Dunn, Laura Feiveson, Paul Lengermann, and Claudia Sahm ;Improving the accuracy of economic measurement with multiple data sources: the case of payroll employment data /Tomaz Cajner, Leland D. Crane, Ryan A. Decker, Adrian Hamins-Puertolas, and Christopher Kurz --Uses of big data for classification.Transforming naturally occurring text data into economic statistics: the case of online job vacancy postings /Arthur Turrell, Bradley Speigner, Jyldyz Djumalieva, David Copple, and James Thurgood ;Automating response evaluation for franchising questions on the 2017 economic census /Joseph Staudt, Yifang Wei, Lisa Singh, Shawn Klimek, J. Bradford Jensen, and Andrew Baer ;Using public data to generate industrial classification codes /John Cuffe, Sudip Bhattacharjee, Ugochukwu Etudo, Justin C. Smith, Nevada Basdeo, Nathaniel Burbank, and Shawn R. Roberts --Uses of big data for sectoral measurement.Nowcasting the local economy: using Yelp data to measure economic activity /Edward L. Glaeser, Hyunjin Kim, and Michael Luca ;Unit values for import and export price indexes: a proof of concept /Don A. Fast and Susan E. Fleck ;Quantifying productivity growth in the delivery of important episodes of care within the Medicare program using insurance claims and administrative data /John A. Romley, Abe Dunn, Dana Goldman, and Neeraj Sood ;Valuing housing services in the era of big data: a user cost approach leveraging Zillow microdata /Marina Gindelsky, Jeremy G. Moulton, and Scott A. Wentland --Methodological challenges and advances.Off to the races: a comparison of machine learning and alternative data for predicting economic indicators /Jeffrey C. Chen, Abe Dunn, Kyle Hood, Alexander Driessen, and Andrea Batch ;A machine learning analysis of seasonal and cyclical sales in weekly scanner data /Rishab Guha and Serena Ng ;Estimating the benefits of new products /W. Erwin Diewert and Robert C. Feenstra.

Author: Mehmet Ziya Gorpe
Publisher: International Monetary Fund
ISBN: 1498312071
Category : Business & Economics
Languages : en
Pages : 63

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This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.

Author: Gilles Dufrénot
Publisher: Springer Nature
ISBN: 3030542521
Category : Business & Economics
Languages : en
Pages : 387

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Book Description
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.

Author: Cedric Schmelzbach
Publisher: Elsevier
ISBN: 0128240261
Category : Science
Languages : en
Pages : 196

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Formation and Structure of Planets, Volume 62 in the Advances in Geophysics series, highlights new chapters on a variety of topics in the field, including The evolution of multi-method imaging of structures and processes in environmental geophysics, An introduction to variational inference in Geophysical inverse problems, Moment tensor inversion, and more. Provides high-level reviews of the latest innovations in geophysics Written by recognized experts in the field Presents an essential publication for researchers in all fields of geophysics