Statistics For Long Memory Processes
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Statistics For Long Memory Processes
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Author : Jan Beran
language : en
Publisher: CRC Press
Release Date : 1994-10-01
Statistics For Long Memory Processes written by Jan Beran and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-10-01 with Mathematics categories.
Statistical Methods for Long Term Memory Processes covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that previously appeared only in journals, the author provides a concise and effective overview of probabilistic foundations, statistical methods, and applications. The material emphasizes basic principles and practical applications and provides an integrated perspective of both theory and practice. This book explores data sets from a wide range of disciplines, such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement. The data sets are conveniently compiled in the index, and this allows readers to view statistical approaches in a practical context. Statistical Methods for Long Term Memory Processes also supplies S-PLUS programs for the major methods discussed. This feature allows the practitioner to apply long memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge necessary for understanding the remainder of the material. To promote selective reading, the author presents the chapters independently. Combining essential methodologies with real-life applications, this outstanding volume is and indispensable reference for statisticians and scientists who analyze data with long-range dependence.
Long Memory Processes
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Author : Jan Beran
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-05-14
Long Memory Processes written by Jan Beran 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 2013-05-14 with Mathematics categories.
Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Large Sample Inference For Long Memory Processes
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Author : Donatas Surgailis
language : en
Publisher: World Scientific Publishing Company
Release Date : 2012-04-27
Large Sample Inference For Long Memory Processes written by Donatas Surgailis and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-27 with Mathematics categories.
Box and Jenkins (1970) made the idea of obtaining a stationary time series by differencing the given, possibly nonstationary, time series popular. Numerous time series in economics are found to have this property. Subsequently, Granger and Joyeux (1980) and Hosking (1981) found examples of time series whose fractional difference becomes a short memory process, in particular, a white noise, while the initial series has unbounded spectral density at the origin, i.e. exhibits long memory.Further examples of data following long memory were found in hydrology and in network traffic data while in finance the phenomenon of strong dependence was established by dramatic empirical success of long memory processes in modeling the volatility of the asset prices and power transforms of stock market returns.At present there is a need for a text from where an interested reader can methodically learn about some basic asymptotic theory and techniques found useful in the analysis of statistical inference procedures for long memory processes. This text makes an attempt in this direction. The authors provide in a concise style a text at the graduate level summarizing theoretical developments both for short and long memory processes and their applications to statistics. The book also contains some real data applications and mentions some unsolved inference problems for interested researchers in the field./a
Long Memory Processes
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Author : Jan Beran
language : en
Publisher:
Release Date : 2013-05-31
Long Memory Processes written by Jan Beran and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-31 with categories.
Long Memory Time Series
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Author : Wilfredo Palma
language : en
Publisher: John Wiley & Sons
Release Date : 2007-04-27
Long Memory Time Series written by Wilfredo Palma and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-27 with Mathematics categories.
A self-contained, contemporary treatment of the analysis of long-range dependent data Long-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures. To facilitate understanding, the book: Assumes a basic knowledge of calculus and linear algebra and explains the more advanced statistical and mathematical concepts Features numerous examples that accelerate understanding and illustrate various consequences of the theoretical results Proves all theoretical results (theorems, lemmas, corollaries, etc.) or refers readers to resources with further demonstration Includes detailed analyses of computational aspects related to the implementation of the methodologies described, including algorithm efficiency, arithmetic complexity, CPU times, and more Includes proposed problems at the end of each chapter to help readers solidify their understanding and practice their skills A valuable real-world reference for researchers and practitioners in time series analysis, economerics, finance, and related fields, this book is also excellent for a beginning graduate-level course in long-memory processes or as a supplemental textbook for those studying advanced statistics, mathematics, economics, finance, engineering, or physics. A companion Web site is available for readers to access the S-Plus and R data sets used within the text.
Large Sample Inference For Long Memory Processes
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Author : Liudas Giraitis
language : en
Publisher:
Release Date : 2011
Large Sample Inference For Long Memory Processes written by Liudas Giraitis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Mathematical statistics categories.
Large Sample Inference For Long Memory Processes
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Author : Liudas Giraitis
language : en
Publisher:
Release Date : 2011
Large Sample Inference For Long Memory Processes written by Liudas Giraitis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Mathematical statistics categories.
Long Memory In Economics
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Author : Gilles Teyssière
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-09-22
Long Memory In Economics written by Gilles Teyssière 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 2006-09-22 with Business & Economics categories.
Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Time Series Analysis With Long Memory In View
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Author : Uwe Hassler
language : en
Publisher: John Wiley & Sons
Release Date : 2018-09-07
Time Series Analysis With Long Memory In View written by Uwe Hassler and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-07 with Mathematics categories.
Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.
Time Series With Long Memory
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Author : Peter M. Robinson
language : en
Publisher: Advanced Texts in Econometrics
Release Date : 2003
Time Series With Long Memory written by Peter M. Robinson and has been published by Advanced Texts in Econometrics this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Long memory time series are characterized by a strong dependence between distant events.