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.
The Statistics Of Long Memory Processes
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Author : Donald B. Percival
language : en
Publisher:
Release Date : 1985
The Statistics Of Long Memory Processes written by Donald B. Percival and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with categories.
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 processes constitute a broad class of models for stationary and nonstationary time series data in economics, finance, and other fields. Their key feature is persistence, with high correlation between events that are remote in time. A single 'memory' parameter economically indexes this persistence, as part of a rich parametric or nonparametric structure for the process. Unit root processes can be covered, along with processes that are stationary but with stronger persistence than autoregressive moving averages, these latter being included in a broader class which describes both short memory and negative memory. Long memory processes have in recent years attracted considerable interest from both theoretical and empirical researchers in time series and econometrics.This book of readings collects articles on a variety of topics in long memory time series including modelling and statistical inference for stationary processes, stochastic volatility models, nonstationary processes, and regression and fractional cointegration models. Some of the articles are highly theoretical, others contain a mix of theory and methods, and an effort has been made to include empirical applications of the main approaches covered. A review article introduces the other articles but also attempts a broader survey, traces the history of the subject, and includes a bibliography.
Large Sample Inference For Long Memory Processes
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Author : Liudas Giraitis
language : en
Publisher:
Release Date : 2012
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 2012 with Mathematics categories.
A discrete-time stationary stochastic process with finite variance is said to have long memory if its autocorrelations tend to zero hyperbolically in the lag, i.e. like a power of the lag, as the lag tends to infinity. The absolute sum of autocorrelations of such processes diverges and their spectral density at the origin is unbounded. This is unlike the so-called weakly dependent processes, where autocorrelations tend to zero exponentially fast and the spectral density is bounded at the origin. In a long memory process, the dependence between the current observation and the one at a distant future is persistent; whereas in the weakly dependent processes, these observations are approximately independent. This fact alone is enough to warn a person about the validity of the classical inference procedures based on the square root of the sample size standardization when data are generated by a long-term memory process.The aim of this volume is to provide a text at the graduate level from which one can learn, in a concise fashion, some basic theory and techniques of proving limit theorems for numerous statistics based on long memory processes. It also provides a guide to researchers about some of the inference problems under long memory.
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.
International Encyclopedia Of Statistical Science
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Author : Miodrag Lovric
language : en
Publisher: Springer Nature
Release Date : 2025-06-19
International Encyclopedia Of Statistical Science written by Miodrag Lovric and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-06-19 with Mathematics categories.
The International Encyclopedia of Statistical Science stands as a monumental effort to enrich statistics education globally, particularly in regions facing educational challenges. By amalgamating the expertise of over 700 authors from 110 countries, including Nobel Laureates and presidents of statistical societies, it offers an unparalleled resource for readers worldwide. This encyclopedia is not just a collection of entries; it is a concerted effort to revive statistics as a vibrant, critical field of study and application. Providing a comprehensive and accessible account of statistical terms, methods, and applications, it enables readers to gain a quick insight into the subject, regardless of their background. This work serves to refresh and expand the knowledge of researchers, managers, and practitioners, highlighting the relevance and applicability of statistics across various fields, from economics and business to healthcare and public policy. Furthermore, it aims to inspire students by demonstrating the significance of statistics in solving real-world problems, thus encouraging a new generation to explore and contribute to the field.
Causal Inference In Econometrics
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Author : Van-Nam Huynh
language : en
Publisher: Springer
Release Date : 2015-12-28
Causal Inference In Econometrics written by Van-Nam Huynh and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-28 with Technology & Engineering categories.
This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume. To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.
Advances In Quantitative Asset Management
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Author : Christian Dunis
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Advances In Quantitative Asset Management written by Christian Dunis 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.
Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.
Wavelet Methods For Time Series Analysis
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Author : Donald B. Percival
language : en
Publisher: Cambridge University Press
Release Date : 2000
Wavelet Methods For Time Series Analysis written by Donald B. Percival and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Computers categories.
This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.