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Introduction To Time Series Modeling

Author: Genshiro Kitagawa
Publisher: CRC Press
ISBN: 9781584889229
Size: 73.24 MB
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In time series modeling, the behavior of a certain phenomenon is expressed in relation to the past values of itself and other covariates. Since many important phenomena in statistical analysis are actually time series and the identification of conditional distribution of the phenomenon is an essential part of the statistical modeling, it is very important and useful to learn fundamental methods of time series modeling. Illustrating how to build models for time series using basic methods, Introduction to Time Series Modeling covers numerous time series models and the various tools for handling them. The book employs the state-space model as a generic tool for time series modeling and presents convenient recursive filtering and smoothing methods, including the Kalman filter, the non-Gaussian filter, and the sequential Monte Carlo filter, for the state-space models. Taking a unified approach to model evaluation based on the entropy maximization principle advocated by Dr. Akaike, the author derives various methods of parameter estimation, such as the least squares method, the maximum likelihood method, recursive estimation for state-space models, and model selection by the Akaike information criterion (AIC). Along with simulation methods, he also covers standard stationary time series models, such as AR and ARMA models, as well as nonstationary time series models, including the locally stationary AR model, the trend model, the seasonal adjustment model, and the time-varying coefficient AR model. With a focus on the description, modeling, prediction, and signal extraction of times series, this book provides basic tools for analyzing time series that arise in real-world problems. It encourages readers to build models for their own real-life problems.

Economic Time Series

Author: William R. Bell
Publisher: CRC Press
ISBN: 143984657X
Size: 48.95 MB
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Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time series modeling and seasonal adjustment, as is reflected both in the contents of the chapters and in their authorship, with contributors coming from academia and government statistical agencies. For easier perusal and absorption, the contents have been grouped into seven topical sections: Section I deals with periodic modeling of time series, introducing, applying, and comparing various seasonally periodic models Section II examines the estimation of time series components when models for series are misspecified in some sense, and the broader implications this has for seasonal adjustment and business cycle estimation Section III examines the quantification of error in X-11 seasonal adjustments, with comparisons to error in model-based seasonal adjustments Section IV discusses some practical problems that arise in seasonal adjustment: developing asymmetric trend-cycle filters, dealing with both temporal and contemporaneous benchmark constraints, detecting trading-day effects in monthly and quarterly time series, and using diagnostics in conjunction with model-based seasonal adjustment Section V explores outlier detection and the modeling of time series containing extreme values, developing new procedures and extending previous work Section VI examines some alternative models and inference procedures for analysis of seasonal economic time series Section VII deals with aspects of modeling, estimation, and forecasting for nonseasonal economic time series By presenting new methodological developments as well as pertinent empirical analyses and reviews of established methods, the book provides much that is stimulating and practically useful for the serious researcher and analyst of economic time series.

Hidden Markov Models For Time Series

Author: Walter Zucchini
Publisher: CRC Press
ISBN: 1482253844
Size: 34.91 MB
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Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture–recapture data

Modeling And Mining Ubiquitous Social Media

Author: Martin Atzmueller
Publisher: Springer
ISBN: 3642336841
Size: 58.19 MB
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This book constitutes the joint thoroughly refereed post-proceedings of the Second International Workshop on Modeling Social Media, MSM 2011, held in Boston, MA, USA, in October 2011, and the Second International Workshop on Mining Ubiquitous and Social Environments, MUSE 2011, held in Athens, Greece, in September 2011. The 9 full papers included in the book are revised and significantly extended versions of papers submitted to the workshops. They cover a wide range of topics organized in three main themes: communities and networks in ubiquitous social media; mining approaches; and issues of user modeling, privacy and security.

Analysis Of Time Series Structure

Author: Nina Golyandina
Publisher: CRC Press
ISBN: 9781420035841
Size: 11.44 MB
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Over the last 15 years, singular spectrum analysis (SSA) has proven very successful. It has already become a standard tool in climatic and meteorological time series analysis and well known in nonlinear physics and signal processing. However, despite the promise it holds for time series applications in other disciplines, SSA is not widely known among statisticians and econometrists, and although the basic SSA algorithm looks simple, understanding what it does and where its pitfalls lay is by no means simple. Analysis of Time Series Structure: SSA and Related Techniques provides a careful, lucid description of its general theory and methodology. Part I introduces the basic concepts, and sets forth the main findings and results, then presents a detailed treatment of the methodology. After introducing the basic SSA algorithm, the authors explore forecasting and apply SSA ideas to change-point detection algorithms. Part II is devoted to the theory of SSA. Here the authors formulate and prove the statements of Part I. They address the singular value decomposition (SVD) of real matrices, time series of finite rank, and SVD of trajectory matrices. Based on the authors' original work and filled with applications illustrated with real data sets, this book offers an outstanding opportunity to obtain a working knowledge of why, when, and how SSA works. It builds a strong foundation for successfully using the technique in applications ranging from mathematics and nonlinear physics to economics, biology, oceanology, social science, engineering, financial econometrics, and market research.

Essays In Nonlinear Time Series Econometrics

Author: Niels Haldrup
Publisher: Oxford University Press
ISBN: 0199679959
Size: 67.40 MB
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This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

Time Series Models

Author: D.R. Cox
Publisher: CRC Press
ISBN: 9780412729300
Size: 16.92 MB
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The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.

Diagnostic Checks In Time Series

Author: Wai Keung Li
Publisher: CRC Press
ISBN: 9780203485606
Size: 33.96 MB
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Diagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks. Diagnostic Checks in Time Series helps to fill that gap. Author Wai Keung Li--one of the world's top authorities in time series modeling--concentrates on diagnostic checks for stationary time series and covers a range of different linear and nonlinear models, from various ARMA, threshold type, and bilinear models to conditional non-Gaussian and autoregressive heteroscedasticity (ARCH) models. Because of its broad applicability, the portmanteau goodness-of-fit test receives particular attention, as does the score test. Unlike most treatments, the author's approach is a practical one, and he looks at each topic through the eyes of a model builder rather than a mathematical statistician. This book brings together the widely scattered literature on the subject, and with clear explanations and focus on applications, it guides readers through the final stages of their modeling efforts. With Diagnostic Checks in Time Series, you will understand the relative merits of the models discussed, know how to estimate these models, and often find ways to improve a model.

Nonlinear Time Series

Author: Jiti Gao
Publisher: CRC Press
ISBN: 9781420011210
Size: 42.99 MB
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Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully nonparametric models and methods. Answering the call for an up-to-date overview of the latest developments in the field, Nonlinear Time Series: Semiparametric and Nonparametric Methods focuses on various semiparametric methods in model estimation, specification testing, and selection of time series data. After a brief introduction, the book examines semiparametric estimation and specification methods and then applies these approaches to a class of nonlinear continuous-time models with real-world data. It also assesses some newly proposed semiparametric estimation procedures for time series data with long-range dependence. Even though the book only deals with climatological and financial data, the estimation and specifications methods discussed can be applied to models with real-world data in many disciplines. This resource covers key methods in time series analysis and provides the necessary theoretical details. The latest applied finance and financial econometrics results and applications presented in the book enable researchers and graduate students to keep abreast of developments in the field.

Quantenfeldtheorie Des Festk Rpers

Author: H. Haken
Publisher: Springer-Verlag
ISBN: 3322966941
Size: 58.95 MB
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Die Festkörperphysik ist eines der großen Hauptgebiete der heutigen Physik. Der Festkörper stellt mit seinen verwickelten elektrischen, optischen, thermischen und magnetischen Eigenschaften ein äußerst reizvolles Objekt moderner Grundlagen forschung dar. In der Tat gelingt es hier, die oft sehr komplizierten Erscheinungen aufzuklären und bis in die Details hinein zu verfolgen. Das damit verbundene tief greifende Verständnis der physikalischen Vorgänge im Festkörper führt darüber hinaus zu äußerst wichtigen Anwendungen, z. B. in der Nachrichten-und Computer technik. Der Studierende, der sich in dieses Gebiet einarbeiten will, stellt allerdings sehr rasch fest, daß hier in großem Umfang Begriffsbildungen und Methoden der Quantenfeld theorie verwendet werden. Diese Methoden gestatten es nicht nur, die physikalischen Vorgänge im Festkörper in eleganter Weise zu beschreiben, sondern sie haben auch zu grundsätzlich neuen Erkenntnissen geführt. Als hervorragendes Beispiel sei hier nur die Erklärung der Supraleitung erwähnt. Andererseits wird dem Studierenden in einer Kursvorlesung, etwa der Quanten mechanik, kaum die Möglichkeit geboten, dieses wichtige Gebiet kennenzulernen. Aufgabe dieses Buches soll es sein, diese Lücke zu schließen, indem es den Leser in einfacher Weise an die Begriffsbildungen und Methoden der Quantenfeldtheorie her anführt. So sollte ein Leser, der mit den mathematischen Kenntnissen der ersten drei Semes·ter und den Grundbegriffen der Quantenmechanik vertraut ist, ohne weiteres in der Lage sein, sich mit Hilfe dieses Buches in die Quantenfeldtheorie des Fest körpers einzuarbeiten.