Exact Maximum Likelihood Estimation Of Multivariate Arma Models Via Kalman Filtering
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Exact Maximum Likelihood Estimation Of Multivariate Arma Models Via Kalman Filtering
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Author : Stefan Mittnik
language : en
Publisher:
Release Date : 1988
Exact Maximum Likelihood Estimation Of Multivariate Arma Models Via Kalman Filtering written by Stefan Mittnik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Autoregression (Statistics) categories.
Derivation Of The Unconditional State Covariance Matrix For Exact Maximum Likelihood Estimation Of Arma Models
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Author : Stefan Mittnik
language : en
Publisher:
Release Date : 1990
Derivation Of The Unconditional State Covariance Matrix For Exact Maximum Likelihood Estimation Of Arma Models written by Stefan Mittnik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Autoregression (Statistics) categories.
On Efficient Exact Maximum Likelihood Estimation Of High Order Arma Models
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Author : Stefan Mittnik
language : en
Publisher:
Release Date : 1990
On Efficient Exact Maximum Likelihood Estimation Of High Order Arma Models written by Stefan Mittnik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Autoregression (Statistics) categories.
Elements Of Multivariate Time Series Analysis
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Author : Gregory C. Reinsel
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Elements Of Multivariate Time Series Analysis written by Gregory C. Reinsel 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 use of methods of time series analysis in the study of multivariate time series has become of increased interest in recent years. Although the methods are rather well developed and understood for univarjate time series analysis, the situation is not so complete for the multivariate case. This book is designed to introduce the basic concepts and methods that are useful in the analysis and modeling of multivariate time series, with illustrations of these basic ideas. The development includes both traditional topics such as autocovariance and auto correlation matrices of stationary processes, properties of vector ARMA models, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and model checking diagnostics for residuals, as well as topics of more recent interest for vector ARMA models such as reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate unit-root models and cointegration structure, and state-space models and Kalman filtering techniques and applications. This book concentrates on the time-domain analysis of multivariate time series, and the important subject of spectral analysis is not considered here. For that topic, the reader is referred to the excellent books by Jenkins and Watts (1968), Hannan (1970), Priestley (1981), and others.
Maximum Likelihood Estimation Of Exact Arma Models
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Author : Jan van der Leeuw
language : en
Publisher:
Release Date : 1997
Maximum Likelihood Estimation Of Exact Arma Models written by Jan van der Leeuw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Mathematical models categories.
Computational Economics And Econometrics
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Author : H. Amman
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Computational Economics And Econometrics written by H. Amman 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 Business & Economics categories.
The field of Computational Economics is a fast growing area. Due to the limitations in analytical modeling, more and more researchers apply numerical methods as a means of problem solving. In tum these quantitative results can be used to make qualitative statements. This volume of the Advanced Series in Theoretical and Applied and Econometrics comprises a selected number of papers in the field of computational economics presented at the Annual Meeting of the Society Economic Dynamics and Control held in Minneapolis, June 1990. The volume covers ten papers dealing with computational issues in Econo metrics, Economics and Optimization. The first five papers in these proceedings are dedicated to numerical issues in econometric estimation. The following three papers are concerned with computational issues in model solving and optimization. The last two papers highlight some numerical techniques for solving micro models. We are sure that Computational Economics will become an important new trend in Economics in the coming decade. Hopefully this volume can be one of the first contributions highlighting this new trend. The Editors H.M. Amman et a1. (eds), Computational Economics and Econometrics, vii. © 1992 Kluwer Academic Publishers. PART ONE ECONOMETRICS LIKELIHOOD EVALUATION FOR DYNAMIC LATENT VARIABLES 1 MODELS DAVID F. HENDRY Nuffield College, Oxford, U.K. and JEAN-FRANc;mS RICHARD ISDS, Pittsburgh University, Pittsburgh, PA, U.S.A.
System Theoretic Methods In Economic Modelling Ii
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Author : S. Mittnik
language : en
Publisher: Elsevier
Release Date : 2014-06-28
System Theoretic Methods In Economic Modelling Ii written by S. Mittnik and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-28 with Mathematics categories.
System-Theoretic Methods in Economic Modelling II complements the editor's earlier volume, bringing together current research efforts integrating system-theoretic concepts with economic modelling processes. The range of papers presented here goes beyond the long-accepted control-theoretic contributions in dynamic optimization and focuses on system-theoretic methods in the construction as well as the application stages of economic modelling. This volume initiates new and intensifies existing debate between researchers and practitioners within and across the disciplines involved, with the objective of encouraging interdisciplinary research. The papers are split into four sections - estimation, filtering and smoothing problems in the context of state space modelling; applying the state space concept to financial modelling; modelling rational expectation; and a miscellaneous section including a follow-up case study by Tse and Khilnani on their integrated system model for a fishery management process, which featured in the first volume.
Computer Science And Statistics Proceedings Of The 13th Symposium On The Interface
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Author : W. F. Eddy
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Computer Science And Statistics Proceedings Of The 13th Symposium On The Interface written by W. F. Eddy 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 13th Symposium on the Interface continued this series after a one year pause. The objective of these symposia is to provide a forum for the interchange of ideas of common concern to computer scientists and statisticians. The sessions of the 13th Symposium were held in the Pittsburgh Hilton Hotel, Gateway Center, Pittsburgh. Following established custom the 13th Symposium had organized workshops on various topics of interest to participants. The workshop format allowed the invited speakers to present their material variously as formal talks, tutorial sessions and open discussion. The Symposium schedule was also the customary one. Registration opened in late afternoon of March 11, 1981 and continued during the opening mixer held that evening: The formal opening of the Symposium was on the morning of March 12. The opening remarks were followed by Bradley Efron's address "Statistical Theory and the Computer." The rest of the daily schedule was three concurrent workshops in the morning and three in the afternoon with contributed poster sessions during the noon break. Additionally there were several commercial displays and guided tours of Carnegie-Mellon University's Computer Center, Computer Science research facilities, and Robotics Institute.
Time Series Analysis
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Author : Oliver Duncan Anderson
language : en
Publisher: North Holland
Release Date : 1984
Time Series Analysis written by Oliver Duncan Anderson and has been published by North Holland this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Mathematics categories.
Introduction To Time Series Modeling With Applications In R
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Author : Genshiro Kitagawa
language : en
Publisher: CRC Press
Release Date : 2020-08-10
Introduction To Time Series Modeling With Applications In R written by Genshiro Kitagawa and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-10 with Mathematics categories.
Praise for the first edition: [This book] reflects the extensive experience and significant contributions of the author to non-linear and non-Gaussian modeling. ... [It] is a valuable book, especially with its broad and accessible introduction of models in the state-space framework. –Statistics in Medicine What distinguishes this book from comparable introductory texts is the use of state-space modeling. Along with this come a number of valuable tools for recursive filtering and smoothing, including the Kalman filter, as well as non-Gaussian and sequential Monte Carlo filters. –MAA Reviews Introduction to Time Series Modeling with Applications in R, Second Edition covers numerous stationary and nonstationary time series models and tools for estimating and utilizing them. The goal of this book is to enable readers to build their own models to understand, predict and master time series. The second edition makes it possible for readers to reproduce examples in this book by using the freely available R package TSSS to perform computations for their own real-world time series problems. This book employs the state-space model as a generic tool for time series modeling and presents the Kalman filter, the non-Gaussian filter and the particle filter as convenient tools for recursive estimation for state-space models. Further, it also takes a unified approach based on the entropy maximization principle and employs various methods of parameter estimation and model selection, including the least squares method, the maximum likelihood method, recursive estimation for state-space models and model selection by AIC. Along with the standard stationary time series models, such as the AR and ARMA models, the book also introduces nonstationary time series models such as the locally stationary AR model, the trend model, the seasonal adjustment model, the time-varying coefficient AR model and nonlinear non-Gaussian state-space models. About the Author: Genshiro Kitagawa is a project professor at the University of Tokyo, the former Director-General of the Institute of Statistical Mathematics, and the former President of the Research Organization of Information and Systems.