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Author: Rob J Hyndman Publisher: OTexts ISBN: 0987507117 Category : Business & Economics Languages : en Pages : 380
Book Description
Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Author: Rob J Hyndman Publisher: OTexts ISBN: 0987507117 Category : Business & Economics Languages : en Pages : 380
Book Description
Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Author: Allan D. R. McQuarrie Publisher: World Scientific ISBN: 9812385452 Category : Mathematics Languages : en Pages : 479
Book Description
This important book describes procedures for selecting a model from a large set of competing statistical models. It includes model selection techniques for univariate and multivariate regression models, univariate and multivariate autoregressive models, nonparametric (including wavelets) and semiparametric regression models, and quasi-likelihood and robust regression models. Information-based model selection criteria are discussed, and small sample and asymptotic properties are presented. The book also provides examples and large scale simulation studies comparing the performances of information-based model selection criteria, bootstrapping, and cross-validation selection methods over a wide range of models.
Author: Marc S. Paolella Publisher: John Wiley & Sons ISBN: 1119431905 Category : Mathematics Languages : en Pages : 896
Book Description
A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Author: Christian Kleiber Publisher: Springer Science & Business Media ISBN: 0387773185 Category : Business & Economics Languages : en Pages : 229
Book Description
R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.
Author: Benjamin Kedem Publisher: John Wiley & Sons ISBN: 0471461687 Category : Mathematics Languages : en Pages : 361
Book Description
A thorough review of the most current regression methods in time series analysis Regression methods have been an integral part of time series analysis for over a century. Recently, new developments have made major strides in such areas as non-continuous data where a linear model is not appropriate. This book introduces the reader to newer developments and more diverse regression models and methods for time series analysis. Accessible to anyone who is familiar with the basic modern concepts of statistical inference, Regression Models for Time Series Analysis provides a much-needed examination of recent statistical developments. Primary among them is the important class of models known as generalized linear models (GLM) which provides, under some conditions, a unified regression theory suitable for continuous, categorical, and count data. The authors extend GLM methodology systematically to time series where the primary and covariate data are both random and stochastically dependent. They introduce readers to various regression models developed during the last thirty years or so and summarize classical and more recent results concerning state space models. To conclude, they present a Bayesian approach to prediction and interpolation in spatial data adapted to time series that may be short and/or observed irregularly. Real data applications and further results are presented throughout by means of chapter problems and complements. Notably, the book covers: * Important recent developments in Kalman filtering, dynamic GLMs, and state-space modeling * Associated computational issues such as Markov chain, Monte Carlo, and the EM-algorithm * Prediction and interpolation * Stationary processes
Author: Cory Terrell Publisher: Scientific e-Resources ISBN: 1839473290 Category : Languages : en Pages : 300
Book Description
Regression methods have been a necessary piece of time arrangement investigation for over a century. As of late, new advancements have made real walks in such territories as non-constant information where a direct model isn't fitting. This book acquaints the peruser with fresher improvements and more assorted regression models and methods for time arrangement examination. Open to any individual who knows about the fundamental present day ideas of factual deduction, Regression Models for Time Series Analysis gives a truly necessary examination of late measurable advancements. Essential among them is the imperative class of models known as summed up straight models (GLM) which gives, under a few conditions, a bound together regression hypothesis reasonable for constant, all out, and check information. The creators stretch out GLM methodology deliberately to time arrangement where the essential and covariate information are both arbitrary and stochastically reliant. They acquaint readers with different regression models created amid the most recent thirty years or somewhere in the vicinity and condense traditional and later outcomes concerning state space models.
Author: William W. S. Wei Publisher: Pearson ISBN: 9780134995366 Category : Time-series analysis Languages : en Pages : 648
Book Description
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. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses of univariate and multivariate time series methods, with coverage of the most recently developed techniques in the field.
Author: Moshe Dror Publisher: Springer Science & Business Media ISBN: 9780792374633 Category : Business & Economics Languages : en Pages : 810
Book Description
Writing in honour of Sid Yakowitz, 50 internationally known scholars have collectively contributed 30 papers on modelling uncertainty to this volume. These include papers with a theoretical emphasis and others that focus on applications.
Author: William W. S. Wei Publisher: John Wiley & Sons ISBN: 1119502853 Category : Mathematics Languages : en Pages : 536
Book Description
An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Author: Charles W. Ostrom Publisher: SAGE ISBN: 9780803931350 Category : Mathematics Languages : en Pages : 100
Book Description
"The text gives a good basis for understanding the ideas of the time series models and estimation, without overwhelming readers with the complexity of the subject." --Journal of the American Statistical Association Completely revised and updated, this second edition of Time Series Analysis examines techniques for the study of change based on regression analysis. Ostrom demonstrates how these regression techniques may be employed for hypothesis testing, estimating, and forecasting. In addition, analysis strategies for both lagged and nonlagged models are presented and alternative time-dependent processes are explored.
Author: Rob J Hyndman
Author: Rob J Hyndman
Author: Allan D. R. McQuarrie
Author: Marc S. Paolella
Author: Christian Kleiber
Author: Benjamin Kedem
Author: Cory Terrell
Author: William W. S. Wei
Author: Moshe Dror
Author: William W. S. Wei
Author: Charles W. Ostrom