Applications Of Computer Aided Time Series Modeling

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Applications Of Computer Aided Time Series Modeling

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Author : Masanao Aoki
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Applications Of Computer Aided Time Series Modeling written by Masanao Aoki and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

This book consists of three parts: Part One is composed of two introductory chapters. The first chapter provides an instrumental varible interpretation of the state space time series algorithm originally proposed by Aoki (1983), and gives an introductory account for incorporating exogenous signals in state space models. The second chapter, by Havenner, gives practical guidance in apply ing this algorithm by one of the most experienced practitioners of the method. Havenner begins by summarizing six reasons state space methods are advanta geous, and then walks the reader through construction and evaluation of a state space model for four monthly macroeconomic series: industrial production in dex, consumer price index, six month commercial paper rate, and money stock (Ml). To single out one of the several important insights in modeling that he shares with the reader, he discusses in Section 2ii the effects of sampling er rors and model misspecification on successful modeling efforts. He argues that model misspecification is an important amplifier of the effects of sampling error that may cause symplectic matrices to have complex unit roots, a theoretical impossibility. Correct model specifications increase efficiency of estimators and often eliminate this finite sample problem. This is an important insight into the positive realness of covariance matrices; positivity has been emphasized by system engineers to the exclusion of other methods of reducing sampling error and alleviating what is simply a finite sample problem. The second and third parts collect papers that describe specific applications.

Case Studies In Bayesian Statistics

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Author : Constantine Gatsonis
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Case Studies In Bayesian Statistics written by Constantine Gatsonis and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

The 5th Workshop on Case Studies in Bayesian Statistics was held at the Carnegie Mellon University campus on September 24-25, 1999. As in the past, the workshop featured both invited and contributed case studies. The former were presented and discussed in detail while the latter were presented in poster format. This volume contains the three invited case studies with the accompanying discussion as well as ten contributed pa pers selected by a refereeing process. The majority of case studies in the volume come from biomedical research. However, the reader will also find studies in education and public policy, environmental pollution, agricul ture, and robotics. INVITED PAPERS The three invited cases studies at the workshop discuss problems in ed ucational policy, clinical trials design, and environmental epidemiology, respectively. 1. In School Choice in NY City: A Bayesian Analysis ofan Imperfect Randomized Experiment J. Barnard, C. Frangakis, J. Hill, and D. Rubin report on the analysis of the data from a randomized study conducted to evaluate the New YorkSchool Choice Scholarship Pro gram. The focus ofthe paper is on Bayesian methods for addressing the analytic challenges posed by extensive non-compliance among study participants and substantial levels of missing data. 2. In Adaptive Bayesian Designs for Dose-Ranging Drug Trials D. Berry, P. Mueller, A. Grieve, M. Smith, T. Parke, R. Blazek, N.

Theory And Applications Of Time Series Analysis

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Author : Olga Valenzuela
language : en
Publisher:
Release Date : 2019

Theory And Applications Of Time Series Analysis written by Olga Valenzuela and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Time-series analysis categories.

This book presents selected peer-reviewed contributions from the International Conference on Time Series and Forecasting, ITISE 2018, held in Granada, Spain, on September 19-21, 2018. The first three parts of the book focus on the theory of time series analysis and forecasting, and discuss statistical methods, modern computational intelligence methodologies, econometric models, financial forecasting, and risk analysis. In turn, the last three parts are dedicated to applied topics and include papers on time series analysis in the earth sciences, energy time series forecasting, and time series analysis and prediction in other real-world problems. The book offers readers valuable insights into the different aspects of time series analysis and forecasting, allowing them to benefit both from its sophisticated and powerful theory, and from its practical applications, which address real-world problems in a range of disciplines. The ITISE conference series provides a valuable forum for scientists, engineers, educators and students to discuss the latest advances and implementations in the field of time series analysis and forecasting. It focuses on interdisciplinary and multidisciplinary research encompassing computer science, mathematics, statistics and econometrics.

An Introduction To Copulas

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Author : Roger B. Nelsen
language : en
Publisher: Springer Science & Business Media
Release Date : 1999

An Introduction To Copulas written by Roger B. Nelsen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.

The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions.

Time Series Analysis

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Author : Jonathan D. Cryer
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-03-06

Time Series Analysis written by Jonathan D. Cryer and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-06 with Mathematics categories.

This book has been developed for a one-semester course usually attended by students in statistics, economics, business, engineering, and quantitative social sciences. A unique feature of this edition is its integration with the R computing environment. Basic applied statistics is assumed through multiple regression. Calculus is assumed only to the extent of minimizing sums of squares but a calculus-based introduction to statistics is necessary for a thorough understanding of some of the theory. Actual time series data drawn from various disciplines are used throughout the book to illustrate the methodology.

Weighted Empirical Processes In Dynamic Nonlinear Models

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Author : Hira L. Koul
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Weighted Empirical Processes In Dynamic Nonlinear Models written by Hira L. Koul and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

The role of the weak convergence technique via weighted empirical processes has proved to be very useful in advancing the development of the asymptotic theory of the so called robust inference procedures corresponding to non-smooth score functions from linear models to nonlinear dynamic models in the 1990's. This monograph is an ex panded version of the monograph Weighted Empiricals and Linear Models, IMS Lecture Notes-Monograph, 21 published in 1992, that includes some aspects of this development. The new inclusions are as follows. Theorems 2. 2. 4 and 2. 2. 5 give an extension of the Theorem 2. 2. 3 (old Theorem 2. 2b. 1) to the unbounded random weights case. These results are found useful in Chapters 7 and 8 when dealing with ho moscedastic and conditionally heteroscedastic autoregressive models, actively researched family of dynamic models in time series analysis in the 1990's. The weak convergence results pertaining to the partial sum process given in Theorems 2. 2. 6 . and 2. 2. 7 are found useful in fitting a parametric autoregressive model as is expounded in Section 7. 7 in some detail. Section 6. 6 discusses the related problem of fit ting a regression model, using a certain partial sum process. Inboth sections a certain transform of the underlying process is shown to provide asymptotically distribution free tests. Other important changes are as follows. Theorem 7. 3.

Theory And Applications Of Time Series Analysis

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Author : Olga Valenzuela
language : en
Publisher: Springer Nature
Release Date : 2020-11-20

Theory And Applications Of Time Series Analysis written by Olga Valenzuela and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-20 with Business & Economics categories.

This book presents a selection of peer-reviewed contributions on the latest advances in time series analysis, presented at the International Conference on Time Series and Forecasting (ITISE 2019), held in Granada, Spain, on September 25-27, 2019. The first two parts of the book present theoretical contributions on statistical and advanced mathematical methods, and on econometric models, financial forecasting and risk analysis. The remaining four parts include practical contributions on time series analysis in energy; complex/big data time series and forecasting; time series analysis with computational intelligence; and time series analysis and prediction for other real-world problems. Given this mix of topics, readers will acquire a more comprehensive perspective on the field of time series analysis and forecasting. The ITISE conference series provides a forum for scientists, engineers, educators and students to discuss the latest advances and implementations in the foundations, theory, models and applications of time series analysis and forecasting. It focuses on interdisciplinary research encompassing computer science, mathematics, statistics and econometrics.

Case Studies In Environmental Statistics

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Author : Douglas Nychka
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Case Studies In Environmental Statistics written by Douglas Nychka and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

This book offers a set of case studies exemplifying the broad range of statis tical science used in environmental studies and application. The case studies can be used for graduate courses in environmental statistics, as a resource for courses in statistics using genuine examples to illustrate statistical methodol ogy and theory, and for courses in environmental science. Not only are these studies valuable for teaching about an essential cross-disciplinary activity but they can also be used to spur new research along directions exposed in these examples. The studies reported here resulted from a program of research carried on by the National Institute of Statistical Sciences (NISS) during the years 1992- 1996. NISS was created in 1991 as an initiative of the national statistics or ganizations, with the mission to renew and focus efforts of statistical science on important cross-disciplinary problems. One of NISS' first projects was a cooperative research effort with the U.S. Environmental Protection Agency (EPA) on problems of great interest to environmental science and regulation, surely one of today's most important cross-disciplinary activities. With the support and encouragement of Gary Foley, Director of the (then) U.S. EPA Atmospheric Research and Exposure Assessment Laboratory, a project and a research team were assembled by NISS that pursued a program which produced a set of results and products from which this book was drawn.

Studies In The Atmospheric Sciences

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Author : Mark L. Berliner
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Studies In The Atmospheric Sciences written by Mark L. Berliner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

The National Center for Atmospheric Research (NCAR) in Boulder, Colorado, is a major institution performing research in the environmental sciences. After an open competition, the National Science Foundation gave its financial sup port to NCAR for the establishment of a much-needed statistics/probability program in the geophysical sciences. The result is the NCAR Geophysical Statistics Project (GSP). The primary mission of this program is: • To foster excellence in the use of modern statistical science in the geo physical and environmental sciences. • To attract and support statistical scientists for collaborative research. To fulfill its mission, GSP engages in research in statistical science and its application to the atmospheric and allied sciences. It supports a variety of collaborative efforts between statistical scientists and disciplinary scientists. Senior statisticians, both members of and visitors to GSP, work in conjunc tion with researchers at NCAR and elsewhere in the application of current statistical methods as well as in. the development of new statistical models and techniques. Senior GSP members and NCAR researchers also collaborate in the mentoring of junior members, typically post-doctoral level or statistics graduate students.

Seasonal Adjustment With The X 11 Method

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Author : Dominique Ladiray
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Seasonal Adjustment With The X 11 Method written by Dominique Ladiray and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Computers categories.

The authors, Dominique Ladiray and Benoit Quenneville, provide a unique and comprehensive r~view of the X-11 Method of seasonal adjustment. They review the original X-11 Method developed at the US Bureau of the Census in the mid-1960's, the X-ll core of the X-ll-ARTMA Method developed at Statistics Canada in the 1970's, and the X-11 module in the X- 12-ARTMA Method developed more recently at the Bureau of the Census. The review will prove extremely useful to anyone working in the field of seasonal adjustment who wants to understand the X-11 Method and how it fits into the broader picture of seasonal adjustment. What the authors designate as the X-11 Method was originally desig nated the X-11 Variant of the Census Method IT Seasonal Adjustment Program. It was the culmination of the pioneering work undertaken at the Bureau of the Census by Julius Shiskin in the 1950's. Shiskin introduced the Census Method T Seasonal Adjustment Program in 1954 and soon followed it with the introduction of Method TT in 1957.