Time Series Analysis

Methods and Applications

Author: Tata Subba Rao,Suhasini Subba Rao,Calyampudi Radhakrishna Rao

Publisher: Elsevier

ISBN: 0444538585

Category: Mathematics

Page: 755

View: 2174

The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments. The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. Comprehensively presents the various aspects of statistical methodology Discusses a wide variety of diverse applications and recent developments Contributors are internationally renowened experts in their respective areas

Time Series Analysis by State Space Methods

Author: James Durbin,Siem Jan Koopman

Publisher: OUP Oxford

ISBN: 0191627194

Category: Mathematics

Page: 368

View: 2544

This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series. Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations. Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation.

Volatility and growth - Time series evidence

Author: Marc Berger

Publisher: GRIN Verlag

ISBN: 3638738353


Page: 68

View: 2700

Studienarbeit aus dem Jahr 2007 im Fachbereich VWL - Konjunktur und Wachstum, Note: 1,3, Eberhard-Karls-Universitat Tubingen (Wirtschaftswissenschaftliche Fakultat), Veranstaltung: Volatility and Growth, 29 Quellen im Literaturverzeichnis, Sprache: Deutsch, Abstract: "This book is concerned with the dynamic consequences of events over time," so eroffnet Hamilton seine Bibel der Zeitreihenanalyse. In der vorliegenden Arbeit soll der Aufsatz von Pedersen und Elmer (2003) vorgestellt werden. Darin geht es um die Beschreibung eines potentiellen strukturellen Zusammenhanges von Konjunkturzyklus und Wirtschaftswachstum. Dazu untersuchen die Autoren Quartalsdaten des BIP von 16 OECD Staaten. Ihr angewandtes Analyseverfahren entspricht dem Testen auf unit-roots bei Vorliegen von Strukturbruchen. Der Hauptunterschied zu vergleichbaren Arbeiten ist darin zu sehen, dass sie es nicht dabei belassen. Vielmehr stellen sie die aus den Tests gewonnenen Ergebnisse in dynamischen Zusammenhang mit identifizierten Wendepunkten im Konjunkturverlauf - turning-points. Im ersten Teil dieses Textes werden einige fundamental-theoretische Hintergrunde der Zeitreihenanalyse vorgestellt, welche einem besseren Verstandnis der nachfolgenden Vorstellung der Arbeit von Pedersen und Elmer dienlich sein sollen. Die Studie kann einen moglichen Zusammenhang von Konjunktur und Wachstum nicht verwerfen, was sich durch das Ergebnis manifestiert, dass 82% der geschatzten Strukturbruche in der Nahe von Wendepunkten im Konjunkturverlauf auftreten.

Advanced Time Series Data Analysis

Forecasting Using EViews

Author: I. Gusti Ngurah Agung

Publisher: Wiley

ISBN: 1119504716

Category: Mathematics

Page: 544

View: 7667

Introduces the latest developments in forecasting in advanced quantitative data analysis This book presents advanced univariate multiple regressions, which can directly be used to forecast their dependent variables, evaluate their in-sample forecast values, and compute forecast values beyond the sample period. Various alternative multiple regressions models are presented based on a single time series, bivariate, and triple time-series, which are developed by taking into account specific growth patterns of each dependent variables, starting with the simplest model up to the most advanced model. Graphs of the observed scores and the forecast evaluation of each of the models are offered to show the worst and the best forecast models among each set of the models of a specific independent variable. Advanced Time Series Data Analysis: Forecasting Using EViews provides readers with a number of modern, advanced forecast models not featured in any other book. They include various interaction models, models with alternative trends (including the models with heterogeneous trends), and complete heterogeneous models for monthly time series, quarterly time series, and annually time series. Each of the models can be applied by all quantitative researchers. Presents models that are all classroom tested Contains real-life data samples Contains over 350 equation specifications of various time series models Contains over 200 illustrative examples with special notes and comments Applicable for time series data of all quantitative studies Advanced Time Series Data Analysis: Forecasting Using EViews will appeal to researchers and practitioners in forecasting models, as well as those studying quantitative data analysis. It is suitable for those wishing to obtain a better knowledge and understanding on forecasting, specifically the uncertainty of forecast values.

The Analysis of Time Series

An Introduction, Sixth Edition

Author: Chris Chatfield

Publisher: CRC Press

ISBN: 9780203491683

Category: Mathematics

Page: 352

View: 456

Since 1975, The Analysis of Time Series: An Introduction has introduced legions of statistics students and researchers to the theory and practice of time series analysis. With each successive edition, bestselling author Chris Chatfield has honed and refined his presentation, updated the material to reflect advances in the field, and presented interesting new data sets. The sixth edition is no exception. It provides an accessible, comprehensive introduction to the theory and practice of time series analysis. The treatment covers a wide range of topics, including ARIMA probability models, forecasting methods, spectral analysis, linear systems, state-space models, and the Kalman filter. It also addresses nonlinear, multivariate, and long-memory models. The author has carefully updated each chapter, added new discussions, incorporated new datasets, and made those datasets available for download from www.crcpress.com. A free online appendix on time series analysis using R can be accessed at http://people.bath.ac.uk/mascc/TSA.usingR.doc. Highlights of the Sixth Edition: A new section on handling real data New discussion on prediction intervals A completely revised and restructured chapter on more advanced topics, with new material on the aggregation of time series, analyzing time series in finance, and discrete-valued time series A new chapter of examples and practical advice Thorough updates and revisions throughout the text that reflect recent developments and dramatic changes in computing practices over the last few years The analysis of time series can be a difficult topic, but as this book has demonstrated for two-and-a-half decades, it does not have to be daunting. The accessibility, polished presentation, and broad coverage of The Analysis of Time Series make it simply the best introduction to the subject available.

Introduction to Time Series and Forecasting

Author: Peter J. Brockwell,Richard A. Davis

Publisher: Springer Science & Business Media

ISBN: 1475725264

Category: Mathematics

Page: 422

View: 5156

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.

Time Series Analysis

Author: Henrik Madsen

Publisher: CRC Press

ISBN: 142005967X

Category: Mathematics

Page: 400

View: 5839

With a focus on analyzing and modeling linear dynamic systems using statistical methods, Time Series Analysis formulates various linear models, discusses their theoretical characteristics, and explores the connections among stochastic dynamic models. Emphasizing the time domain description, the author presents theorems to highlight the most important results, proofs to clarify some results, and problems to illustrate the use of the results for modeling real-life phenomena. The book first provides the formulas and methods needed to adapt a second-order approach for characterizing random variables as well as introduces regression methods and models, including the general linear model. It subsequently covers linear dynamic deterministic systems, stochastic processes, time domain methods where the autocorrelation function is key to identification, spectral analysis, transfer-function models, and the multivariate linear process. The text also describes state space models and recursive and adaptivemethods. The final chapter examines a host of practical problems, including the predictions of wind power production and the consumption of medicine, a scheduling system for oil delivery, and the adaptive modeling of interest rates. Concentrating on the linear aspect of this subject, Time Series Analysis provides an accessible yet thorough introduction to the methods for modeling linear stochastic systems. It will help you understand the relationship between linear dynamic systems and linear stochastic processes.

Time Series Data Analysis Using EViews

Author: I. Gusti Ngurah Agung

Publisher: John Wiley & Sons

ISBN: 1118176308

Category: Mathematics

Page: 352

View: 9040

Do you want to recognize the most suitable models for analysisof statistical data sets? This book provides a hands-on practical guide to using the mostsuitable models for analysis of statistical data sets using EViews- an interactive Windows-based computer software program forsophisticated data analysis, regression, and forecasting - todefine and test statistical hypotheses. Rich in examples and withan emphasis on how to develop acceptable statistical models, TimeSeries Data Analysis Using EViews is a perfect complement totheoretical books presenting statistical or econometric models fortime series data. The procedures introduced are easily extendibleto cross-section data sets. The author: Provides step-by-step directions on how to apply EViewssoftware to time series data analysis Offers guidance on how to develop and evaluate alternativeempirical models, permitting the most appropriate to be selectedwithout the need for computational formulae Examines a variety of times series models, including continuousgrowth, discontinuous growth, seemingly causal, regression, ARCH,and GARCH as well as a general form of nonlinear time series andnonparametric models Gives over 250 illustrative examples and notes based on theauthor's own empirical findings, allowing the advantages andlimitations of each model to be understood Describes the theory behind the models in comprehensiveappendices Provides supplementary information and data sets An essential tool for advanced undergraduate and graduatestudents taking finance or econometrics courses. Statistics, lifesciences, and social science students, as well as appliedresearchers, will also find this book an invaluable resource.

Time Series Analysis

Author: Wilfredo Palma

Publisher: John Wiley & Sons

ISBN: 1118634233

Category: Mathematics

Page: 616

View: 5837

A modern and accessible guide to the analysis of introductory time series data Featuring an organized and self-contained guide, Time Series Analysis provides a broad introduction to the most fundamental methodologies and techniques of time series analysis. The book focuses on the treatment of univariate time series by illustrating a number of well-known models such as ARMA and ARIMA. Providing contemporary coverage, the book features several useful and newlydeveloped techniques such as weak and strong dependence, Bayesian methods, non-Gaussian data, local stationarity, missing values and outliers, and threshold models. Time Series Analysis includes practical applications of time series methods throughout, as well as: Real-world examples and exercise sets that allow readers to practice the presented methods and techniques Numerous detailed analyses of computational aspects related to the implementation of methodologies including algorithm efficiency, arithmetic complexity, and process time End-of-chapter proposed problems and bibliographical notes to deepen readers’ knowledge of the presented material Appendices that contain details on fundamental concepts and select solutions of the problems implemented throughout A companion website with additional data fi les and computer codes Time Series Analysis is an excellent textbook for undergraduate and beginning graduate-level courses in time series as well as a supplement for students in advanced statistics, mathematics, economics, finance, engineering, and physics. The book is also a useful reference for researchers and practitioners in time series analysis, econometrics, and finance. Wilfredo Palma, PhD, is Professor of Statistics in the Department of Statistics at Pontificia Universidad Católica de Chile. He has published several refereed articles and has received over a dozen academic honors and awards. His research interests include time series analysis, prediction theory, state space systems, linear models, and econometrics. He is the author of Long-Memory Time Series: Theory and Methods, also published by Wiley.

Pooled Time Series Analysis

Author: Lois W. Sayrs

Publisher: SAGE

ISBN: 9780803931602

Category: Mathematics

Page: 79

View: 2522

Researchers have often been troubled with relevant data available from both temporal observations at regular intervals (time series) and from observations at single points of time (cross-sections). Pooled Time Series Analysis combines time series and cross-sectional data to provide the researcher with an efficient method of analysis and improved estimates of the population being studied. In addition, with more relevant data available this analysis technique allows the sample size to be increased, which ultimately yields a more effective study.

The Econometric Analysis of Time Series

Author: Andrew C. Harvey

Publisher: MIT Press

ISBN: 9780262081894

Category: Business & Economics

Page: 387

View: 8913

The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs.

An Introduction to Time Series Analysis and Forecasting

With Applications of SAS® and SPSS®

Author: Robert Alan Yaffee,Monnie McGee

Publisher: Elsevier

ISBN: 0080478700

Category: Mathematics

Page: 528

View: 6563

Providing a clear explanation of the fundamental theory of time series analysis and forecasting, this book couples theory with applications of two popular statistical packages--SAS and SPSS. The text examines moving average, exponential smoothing, Census X-11 deseasonalization, ARIMA, intervention, transfer function, and autoregressive error models and has brief discussions of ARCH and GARCH models. The book features treatments of forecast improvement with regression and autoregression combination models and model and forecast evaluation, along with a sample size analysis for common time series models to attain adequate statistical power. The careful linkage of the theoretical constructs with the practical considerations involved in utilizing the statistical packages makes it easy for the user to properly apply these techniques. Describes principal approaches to time series analysis and forecasting Presents examples from public opinion research, policy analysis, political science, economics, and sociology Math level pitched to general social science usage Glossary makes the material accessible for readers at all levels

The Statistical Analysis of Time Series

Author: Theodore W. Anderson

Publisher: John Wiley & Sons

ISBN: 1118150392

Category: Mathematics

Page: 704

View: 8468

The Wiley Classics Library consists of selected books that havebecome recognized classics in their respective fields. With thesenew unabridged and inexpensive editions, Wiley hopes to extend thelife of these important works by making them available to futuregenerations of mathematicians and scientists. Currently availablein the Series: T. W. Anderson Statistical Analysis of Time SeriesT. S. Arthanari & Yadolah Dodge Mathematical Programming inStatistics Emil Artin Geometric Algebra Norman T. J. Bailey TheElements of Stochastic Processes with Applications to the NaturalSciences George E. P. Box & George C. Tiao Bayesian Inferencein Statistical Analysis R. W. Carter Simple Groups of Lie TypeWilliam G. Cochran & Gertrude M. Cox Experimental Designs,Second Edition Richard Courant Differential and Integral Calculus,Volume I Richard Courant Differential and Integral Calculus, VolumeII Richard Courant & D. Hilbert Methods of MathematicalPhysics, Volume I Richard Courant & D. Hilbert Methods ofMathematical Physics, Volume II D. R. Cox Planning of ExperimentsHarold M. S. Coxeter Introduction to Modern Geometry, SecondEdition Charles W. Curtis & Irving Reiner Representation Theoryof Finite Groups and Associative Algebras Charles W. Curtis &Irving Reiner Methods of Representation Theory with Applications toFinite Groups and Orders, Volume I Charles W. Curtis & IrvingReiner Methods of Representation Theory with Applications to FiniteGroups and Orders, Volume II Bruno de Finetti Theory ofProbability, Volume 1 Bruno de Finetti Theory of Probability,Volume 2 W. Edwards Deming Sample Design in Business Research Amosde Shalit & Herman Feshbach Theoretical Nuclear Physics, Volume1 --Nuclear Structure J. L. Doob Stochastic Processes NelsonDunford & Jacob T. Schwartz Linear Operators, Part One, GeneralTheory Nelson Dunford & Jacob T. Schwartz Linear Operators,Part Two, Spectral Theory--Self Adjoint Operators in Hilbert SpaceNelson Dunford & Jacob T. Schwartz Linear Operators, PartThree, Spectral Operators Herman Fsehbach Theoretical NuclearPhysics: Nuclear Reactions Bernard Friedman Lectures onApplications-Oriented Mathematics Gerald d. Hahn & Samuel S.Shapiro Statistical Models in Engineering Morris H. Hansen, WilliamN. Hurwitz & William G. Madow Sample Survey Methods and Theory,Volume I--Methods and Applications Morris H. Hansen, William N.Hurwitz & William G. Madow Sample Survey Methods and Theory,Volume II--Theory Peter Henrici Applied and Computational ComplexAnalysis, Volume 1--Power Series--lntegration--ConformalMapping--Location of Zeros Peter Henrici Applied and ComputationalComplex Analysis, Volume 2--Special Functions--IntegralTransforms--Asymptotics--Continued Fractions Peter Henrici Appliedand Computational Complex Analysis, Volume 3--Discrete FourierAnalysis--Cauchy Integrals--Construction of ConformalMaps--Univalent Functions Peter Hilton & Yel-Chiang Wu A Coursein Modern Algebra Harry Hochetadt Integral Equations Erwin O.Kreyezig Introductory Functional Analysis with Applications WilliamH. Louisell Quantum Statistical Properties of Radiation All HasanNayfeh Introduction to Perturbation Techniques Emanuel ParzenModern Probability Theory and Its Applications P.M. Prenter Splinesand Variational Methods Walter Rudin Fourier Analysis on Groups C.L. Siegel Topics in Complex Function Theory, Volume I--EllipticFunctions and Uniformization Theory C. L. Siegel Topics in ComplexFunction Theory, Volume II--Automorphic and Abelian integrals C. LSiegel Topics in Complex Function Theory, Volume III--AbelianFunctions & Modular Functions of Several Variables J. J. StokerDifferential Geometry J. J. Stoker Water Waves: The MathematicalTheory with Applications J. J. Stoker Nonlinear Vibrations inMechanical and Electrical Systems

Time Series

Data Analysis and Theory

Author: David R. Brillinger

Publisher: SIAM

ISBN: 0898715016

Category: Mathematics

Page: 540

View: 1286

This text employs basic techniques of univariate and multivariate statistics for the analysis of time series and signals.

Time Series Analysis

Forecasting and Control

Author: George E. P. Box

Publisher: N.A

ISBN: 9780130607744

Category: Mathematics

Page: 598

View: 9044

Stochastic models and their forecasting; Stochastic model building; Transfer function model building; Design of discrete control schemes.

Time Series Analysis

Regression Techniques

Author: Charles W. Ostrom

Publisher: SAGE

ISBN: 9780803931350

Category: Social Science

Page: 95

View: 9027

The great advantage of time series regression analysis is that it can both explain the past and predict the future behavior of variables. This volume explores the regression (or structural equation) approach to the analysis of time series data. It also introduces the Box-Jenkins time series method in an attempt to bridge partially the gap between the two approaches.

Applied Time Series Analysis II

Proceedings of the Second Applied Time Series Symposium Held in Tulsa, Oklahoma, March 3-5, 1980

Author: David F. Findley

Publisher: Academic Press

ISBN: 1483263908

Category: Mathematics

Page: 810

View: 6358

Applied Time Series Analysis II contains the proceedings of the Second Applied Time Series Symposium Held in Tulsa, Oklahoma, on March 3-5, 1980. The symposium provided a forum for discussing significant advances in time series analysis and signal processing. Effective alternatives to the familiar least-square and maximum likelihood procedures are described, along with maximum likelihood procedures for modeling irregularly sampled series and for classifying non-stationary series. Comprised of 22 chapters, this volume begins with an introduction to the multidimensional filtering theory and presents specific case histories related to the multidimensional recursive filter stability problem; the least squares inverse problem; realization of filters; and spectral estimation. The unique properties of the three-dimensional wave equation are also considered. Subsequent chapters focus on high-resolution spectral estimators; time series analysis of geophysical inverse scattering problems; minimum entropy deconvolution; and fitting of a continuous time autoregression to discrete data. This monograph will appeal to students and practitioners in the fields of mathematics and statistics, electrical and electronics engineering, and information and computer sciences.

Time Series Analysis and Forecasting by Example

Author: Søren Bisgaard,Murat Kulahci

Publisher: John Wiley & Sons

ISBN: 9781118056950

Category: Mathematics

Page: 400

View: 3532

An intuition-based approach enables you to master time series analysis with ease Time Series Analysis and Forecasting by Example provides the fundamental techniques in time series analysis using various examples. By introducing necessary theory through examples that showcase the discussed topics, the authors successfully help readers develop an intuitive understanding of seemingly complicated time series models and their implications. The book presents methodologies for time series analysis in a simplified, example-based approach. Using graphics, the authors discuss each presented example in detail and explain the relevant theory while also focusing on the interpretation of results in data analysis. Following a discussion of why autocorrelation is often observed when data is collected in time, subsequent chapters explore related topics, including: Graphical tools in time series analysis Procedures for developing stationary, non-stationary, and seasonal models How to choose the best time series model Constant term and cancellation of terms in ARIMA models Forecasting using transfer function-noise models The final chapter is dedicated to key topics such as spurious relationships, autocorrelation in regression, and multiple time series. Throughout the book, real-world examples illustrate step-by-step procedures and instructions using statistical software packages such as SAS®, JMP, Minitab, SCA, and R. A related Web site features PowerPoint slides to accompany each chapter as well as the book's data sets. With its extensive use of graphics and examples to explain key concepts, Time Series Analysis and Forecasting by Example is an excellent book for courses on time series analysis at the upper-undergraduate and graduate levels. it also serves as a valuable resource for practitioners and researchers who carry out data and time series analysis in the fields of engineering, business, and economics.

Analysis of Financial Time Series

Author: Ruey S. Tsay

Publisher: John Wiley & Sons

ISBN: 9781118017098

Category: Mathematics

Page: 720

View: 5493

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.

Introduction to Statistical Time Series

Author: Wayne A. Fuller,J.K. Watson,Wayne Arthur Fuller

Publisher: John Wiley & Sons

ISBN: 9780471552390

Category: Mathematics

Page: 698

View: 1439

The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: Moving average and autoregressive processes Introduction to Fourier analysis Spectral theory and filtering Large sample theory Estimation of the mean and autocorrelations Estimation of the spectrum Parameter estimation Regression, trend, and seasonality Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.