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Author: Raquel Prado Publisher: CRC Press ISBN: 1498747043 Category : Mathematics Languages : en Pages : 473
Book Description
• Expanded on aspects of core model theory and methodology. • Multiple new examples and exercises. • Detailed development of dynamic factor models. • Updated discussion and connections with recent and current research frontiers.
Author: Raquel Prado Publisher: CRC Press ISBN: 1498747043 Category : Mathematics Languages : en Pages : 473
Book Description
• Expanded on aspects of core model theory and methodology. • Multiple new examples and exercises. • Detailed development of dynamic factor models. • Updated discussion and connections with recent and current research frontiers.
Author: Raquel Prado Publisher: CRC Press ISBN: 1420093363 Category : Mathematics Languages : en Pages : 375
Book Description
Focusing on Bayesian approaches and computations using simulation-based methods for inference, Time Series: Modeling, Computation, and Inference integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian time series modeling and analysis, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and emerging topics at research frontiers. The book presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. The authors also explore the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian tools, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. They illustrate the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, and finance. Data sets, R and MATLAB® code, and other material are available on the authors’ websites. Along with core models and methods, this text offers sophisticated tools for analyzing challenging time series problems. It also demonstrates the growth of time series analysis into new application areas.
Author: Sa-aat Niwitpong Publisher: ISBN: Category : Gaussian processes Languages : en Pages : 324
Book Description
The thesis deals with three topics. The first topic concerns a comparison of the estimators in an unknown mean Gaussian AR(l) process via the mean, the median, the interquartile range and their distributions and also via the scaled prediction mean square error (PMSE) for a one-step-ahead predictor based on the estimator. The second topic concerns the relative efficiency of one-step-ahead prediction intervals in an unknown mean Gaussian AR(1) process. The third topic concerns the computation of a class of conditional expectations. Chapter 2 compares the estimators of an unknown mean Gaussian AR(1) process via their distributions. In Chapter 3, we compare eight different estimators of (o,p) in an unknown mean Gaussian AR(1) process via the scaled PMSE. Chapter 4 considers the relative efficiency of two estimators (o,p) using scaled PMSEs. One of these estimators is obtained after a preliminary unit root test in an unknown mean Gaussian AR(1) process.
Author: Andreas S. Weigend Publisher: Routledge ISBN: 0429961197 Category : Social Science Languages : en Pages : 663
Book Description
The book is a summary of a time series forecasting competition that was held a number of years ago. It aims to provide a snapshot of the range of new techniques that are used to study time series, both as a reference for experts and as a guide for novices.
Author: Douglas C. Montgomery Publisher: McGraw-Hill Companies ISBN: Category : Mathematics Languages : en Pages : 408
Book Description
This practical, user-oriented second edition describes how to use statistical modeling and analysis methods for forecasting and prediction problems. Statistical and mathematical terms are introduced only as they are needed, and every effort has been made to keep the mathematical and statistical prerequisites to a minimum. Every technique that is introduced is illustrated by fully worked numerical examples. Not only is the coverage of traditional forecasting methods greatly expanded in this new edition, but a number of new techniques and methods are covered as well.
Author: Marco Peixeiro Publisher: Simon and Schuster ISBN: 1638351473 Category : Computers Languages : en Pages : 454
Book Description
Build predictive models from time-based patterns in your data. Master statistical models including new deep learning approaches for time series forecasting. In Time Series Forecasting in Python you will learn how to: Recognize a time series forecasting problem and build a performant predictive model Create univariate forecasting models that account for seasonal effects and external variables Build multivariate forecasting models to predict many time series at once Leverage large datasets by using deep learning for forecasting time series Automate the forecasting process Time Series Forecasting in Python teaches you to build powerful predictive models from time-based data. Every model you create is relevant, useful, and easy to implement with Python. You’ll explore interesting real-world datasets like Google’s daily stock price and economic data for the USA, quickly progressing from the basics to developing large-scale models that use deep learning tools like TensorFlow. About the technology You can predict the future—with a little help from Python, deep learning, and time series data! Time series forecasting is a technique for modeling time-centric data to identify upcoming events. New Python libraries and powerful deep learning tools make accurate time series forecasts easier than ever before. About the book Time Series Forecasting in Python teaches you how to get immediate, meaningful predictions from time-based data such as logs, customer analytics, and other event streams. In this accessible book, you’ll learn statistical and deep learning methods for time series forecasting, fully demonstrated with annotated Python code. Develop your skills with projects like predicting the future volume of drug prescriptions, and you’ll soon be ready to build your own accurate, insightful forecasts. What's inside Create models for seasonal effects and external variables Multivariate forecasting models to predict multiple time series Deep learning for large datasets Automate the forecasting process About the reader For data scientists familiar with Python and TensorFlow. About the author Marco Peixeiro is a seasoned data science instructor who has worked as a data scientist for one of Canada’s largest banks. Table of Contents PART 1 TIME WAITS FOR NO ONE 1 Understanding time series forecasting 2 A naive prediction of the future 3 Going on a random walk PART 2 FORECASTING WITH STATISTICAL MODELS 4 Modeling a moving average process 5 Modeling an autoregressive process 6 Modeling complex time series 7 Forecasting non-stationary time series 8 Accounting for seasonality 9 Adding external variables to our model 10 Forecasting multiple time series 11 Capstone: Forecasting the number of antidiabetic drug prescriptions in Australia PART 3 LARGE-SCALE FORECASTING WITH DEEP LEARNING 12 Introducing deep learning for time series forecasting 13 Data windowing and creating baselines for deep learning 14 Baby steps with deep learning 15 Remembering the past with LSTM 16 Filtering a time series with CNN 17 Using predictions to make more predictions 18 Capstone: Forecasting the electric power consumption of a household PART 4 AUTOMATING FORECASTING AT SCALE 19 Automating time series forecasting with Prophet 20 Capstone: Forecasting the monthly average retail price of steak in Canada 21 Going above and beyond
Author: Carlo Berzuini Publisher: John Wiley & Sons ISBN: 1119941733 Category : Mathematics Languages : en Pages : 387
Book Description
A state of the art volume on statistical causality Causality: Statistical Perspectives and Applications presents a wide-ranging collection of seminal contributions by renowned experts in the field, providing a thorough treatment of all aspects of statistical causality. It covers the various formalisms in current use, methods for applying them to specific problems, and the special requirements of a range of examples from medicine, biology and economics to political science. This book: Provides a clear account and comparison of formal languages, concepts and models for statistical causality. Addresses examples from medicine, biology, economics and political science to aid the reader's understanding. Is authored by leading experts in their field. Is written in an accessible style. Postgraduates, professional statisticians and researchers in academia and industry will benefit from this book.
Author: Bertrand S. Clarke Publisher: Cambridge University Press ISBN: 1107028280 Category : Business & Economics Languages : en Pages : 657
Book Description
A bold retooling of statistics to focus directly on predictive performance with traditional and contemporary data types and methodologies.
Author: Jian Chen Publisher: ISBN: Category : Bayesian statistical decision theory Languages : en Pages : 242
Book Description
We consider the different loss functions that are appropriate for the Bayesian analysis of some time series models. The Bayes inference and forecasting under these loss functions are given. For the autoregressive model, with the Normal-Gamma and Jeffreys' priors, the posteriors are found and Bayes estimates for the parameters in the model under the different loss functions are derived, the probability density function of k-step ahead Bayes prediction is derived in a concise matrix format. In particular, Bayes estimates of the one-step ahead forecasting under the different loss functions are given. We provide the practical k-step ahead Bayesian forecasting under these loss functions. The Bayes estimates and one-step ahead and two-step ahead forecasting results under these loss functions are calculated. Under the Normal-Gamma and Jeffreys' priors, Wolfer sunspot numbers data is used to illustrate Bayes inferences and forecasts to the real life data. For the moving average model, under the Gamma-Normal and Jeffreys' priors, based on the approximate likelihood function, the posteriors and one-step ahead forecasting probability density function are derived. Then we obtain the Bayes estimates for the parameters and predictive inferences for moving average processes under the different loss functions. The simulation of MA(2) model and the Bayes analysis and forecasting of the simulated data are performed. The IBM common stock closing prices from May 17th, 1961 to November 2nd, 1962, are used to demonstrate the model identification and the derived Bayes posterior and predictive inference for a real life data with ARIMA(0,1,1) model. The author uses SAS for Bayesian data simulation and complex Bayesian analysis.
Author: Peter J. Brockwell Publisher: Springer Science & Business Media ISBN: 1475725264 Category : Mathematics Languages : en Pages : 429
Book Description
Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introducitons are also given to cointegration and to non-linear, continuous-time and long-memory models. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.
Author: Raquel Prado
Author: Raquel Prado
Author: Raquel Prado
Author: Sa-aat Niwitpong
Author: Andreas S. Weigend
Author: Douglas C. Montgomery
Author: Marco Peixeiro
Author: Carlo Berzuini
Author: Bertrand S. Clarke
Author: Jian Chen
Author: Peter J. Brockwell