Time Series Modelling With Unobserved Components
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Time Series Modelling With Unobserved Components
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Author : Matteo M. Pelagatti
language : en
Publisher: CRC Press
Release Date : 2021-06-30
Time Series Modelling With Unobserved Components written by Matteo M. Pelagatti and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-30 with categories.
This work focuses on the unobserved components model (UCM) approach rather than general state space modeling. It provides enough theory so that readers understand the underlying mechanisms while keeping the mathematical rigor to a minimum.
Time Series Modelling With Unobserved Components
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Author : Matteo M. Pelagatti
language : en
Publisher: CRC Press
Release Date : 2015-07-28
Time Series Modelling With Unobserved Components written by Matteo M. Pelagatti and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-28 with Mathematics categories.
Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical o
Forecasting Structural Time Series Models And The Kalman Filter
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Author : Andrew C. Harvey
language : en
Publisher: Cambridge University Press
Release Date : 1990
Forecasting Structural Time Series Models And The Kalman Filter written by Andrew C. Harvey 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 1990 with Business & Economics categories.
A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
Macroeconometrics And Time Series Analysis
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Author : Steven Durlauf
language : en
Publisher: Springer
Release Date : 2016-04-30
Macroeconometrics And Time Series Analysis written by Steven Durlauf and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-30 with Business & Economics categories.
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Handbook Of Economic Forecasting
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Author : G. Elliott
language : en
Publisher: Elsevier
Release Date : 2006-07-14
Handbook Of Economic Forecasting written by G. Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-14 with Business & Economics categories.
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
An Introduction To State Space Time Series Analysis
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Author : Jacques J. F. Commandeur
language : en
Publisher: OUP Oxford
Release Date : 2007-07-19
An Introduction To State Space Time Series Analysis written by Jacques J. F. Commandeur and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-19 with Business & Economics categories.
Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.
Economic Time Series
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Author : William R. Bell
language : en
Publisher: CRC Press
Release Date : 2012-03-19
Economic Time Series written by William R. Bell and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-19 with Mathematics categories.
Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time series modeling and seasonal adjustment, as is reflected both in the contents of the chapters and in their authorship, with contributors coming from academia and government statistical agencies. For easier perusal and absorption, the contents have been grouped into seven topical sections: Section I deals with periodic modeling of time series, introducing, applying, and comparing various seasonally periodic models Section II examines the estimation of time series components when models for series are misspecified in some sense, and the broader implications this has for seasonal adjustment and business cycle estimation Section III examines the quantification of error in X-11 seasonal adjustments, with comparisons to error in model-based seasonal adjustments Section IV discusses some practical problems that arise in seasonal adjustment: developing asymmetric trend-cycle filters, dealing with both temporal and contemporaneous benchmark constraints, detecting trading-day effects in monthly and quarterly time series, and using diagnostics in conjunction with model-based seasonal adjustment Section V explores outlier detection and the modeling of time series containing extreme values, developing new procedures and extending previous work Section VI examines some alternative models and inference procedures for analysis of seasonal economic time series Section VII deals with aspects of modeling, estimation, and forecasting for nonseasonal economic time series By presenting new methodological developments as well as pertinent empirical analyses and reviews of established methods, the book provides much that is stimulating and practically useful for the serious researcher and analyst of economic time series.
Statistical Modeling And Computation
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Author : Dirk P. Kroese
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-18
Statistical Modeling And Computation written by Dirk P. Kroese 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 2013-11-18 with Computers categories.
This textbook on statistical modeling and statistical inference will assist advanced undergraduate and graduate students. Statistical Modeling and Computation provides a unique introduction to modern Statistics from both classical and Bayesian perspectives. It also offers an integrated treatment of Mathematical Statistics and modern statistical computation, emphasizing statistical modeling, computational techniques, and applications. Each of the three parts will cover topics essential to university courses. Part I covers the fundamentals of probability theory. In Part II, the authors introduce a wide variety of classical models that include, among others, linear regression and ANOVA models. In Part III, the authors address the statistical analysis and computation of various advanced models, such as generalized linear, state-space and Gaussian models. Particular attention is paid to fast Monte Carlo techniques for Bayesian inference on these models. Throughout the book the authors include a large number of illustrative examples and solved problems. The book also features a section with solutions, an appendix that serves as a MATLAB primer, and a mathematical supplement.
The Oxford Handbook Of Economic Forecasting
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Author : Michael P. Clements
language : en
Publisher: Oxford University Press
Release Date : 2011-06-29
The Oxford Handbook Of Economic Forecasting written by Michael P. Clements and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-29 with Business & Economics categories.
This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.
A Companion To Economic Forecasting
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Author : Michael P. Clements
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-15
A Companion To Economic Forecasting written by Michael P. Clements 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 2008-04-15 with Social Science categories.
A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.