Topics In Autoregression Microform
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Topics In Autoregression Microform
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Author : Ying Zhang
language : en
Publisher: National Library of Canada = Bibliothèque nationale du Canada
Release Date : 2002
Topics In Autoregression Microform written by Ying Zhang and has been published by National Library of Canada = Bibliothèque nationale du Canada this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Autoregression (Statistics) categories.
An overview of the thesis is given in Chapter 1. Chapter 2 discusses a symbolic form for the exact maximum likelihood estimator in the stationary normal AR(1) process. We derive the finite sample inference properties of the exact maximum likelihood estimator. We establish its consistency and its empirical cumulative distribution for a random walk case. The power of our one-tail unit root test overall outperforms that of previous proposals in the unknown mean AR(1) model. Chapter 3 provides a general technique to describe the shape of the admissible region of AR(p). As applications, we have visualized the admissible regions for AR(3) and AR(4). For the AR(4) process, all possible subset admissible regions for the model re-parametrized in terms of partial autocorrelations are obtained and it is demonstrated that these regions are quite complex and hence this re-parameterization is not so useful in the subset case. Chapter 4 develops an algorithm for computing the expectations of time series products given the autocovariance function. Using it as our tool, we evaluate the bias and variance of the Burg estimate to order n-1 in the first order autoregressive model and find that Burg estimate and the least-squares estimate have the same bias and variance to order n-1 in that case. We also obtain explicit formulae for the large sample bias of Burg estimates in the second order cases. Both simulations and theory indicates that Burg estimates have biases similar to the least-squares estimates in the second order cases. The advantages of the Burg estimates over the least-squares estimates are briefly indicated. Chapter 5 is an extension of Chapter 3. A new more computationally efficient general purpose algorithm for computing the exact maximum likelihood estimates in an AR(p) model is developed. Then this algorithm is used to develop a new approach to subset autoregression modelling in which the subsets are obtained by containing some of the zeta parameters to zero. After the exact maximum likelihood estimation algorithm for the subset models is presented, it is shown how a tentative identification of possible subset AR models can be accomplished using the AIC or BIC criterion and the partial autocorrelation function. The distribution of the residual autocorrelations for subset AR models is also derived and appropriate diagnostic checks for model adequacy are discussed. Several illustrative examples are presented.
Monthly Catalogue United States Public Documents
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Author :
language : en
Publisher:
Release Date : 1993-02
Monthly Catalogue United States Public Documents written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-02 with Government publications categories.
Monthly Catalog Of United States Government Publications
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Author :
language : en
Publisher:
Release Date : 1993
Monthly Catalog Of United States Government Publications written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Government publications categories.
Canadiana
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Author :
language : en
Publisher:
Release Date : 1989
Canadiana written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Canada categories.
Systems Analysis And Modeling
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Author : Donald W. Boyd
language : en
Publisher: Elsevier
Release Date : 2000-10-19
Systems Analysis And Modeling written by Donald W. Boyd and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-10-19 with Technology & Engineering categories.
Systems Analysis and Modeling presents a fresh, new approach to systems analysis and modeling with a systems science flavor that stimulates systems thinking. After introducing systems modeling principles, the ensuing wide selection of examples aptly illustrate that anything which changes over time can be modeled as a system. Each example begins with a knowledge base that displays relevant information obtained from systems analysis. The diversity of examples clearly establishes a new protocol for synthesizing systems models. Macro-to-micro, top-down approach Multidisciplinary examples Incorporation of human knowledge to synthesise a systems model Clear and concise systems delimitation Complex systems using simple mathematics "Exact" reproduction of historical data plus model generated secondary data Systems simulation via systems models
Bayesian Decision Analysis
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Author : Jim Q. Smith
language : en
Publisher: Cambridge University Press
Release Date : 2010-09-23
Bayesian Decision Analysis written by Jim Q. Smith 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 2010-09-23 with Mathematics categories.
Bayesian decision analysis supports principled decision making in complex domains. This textbook takes the reader from a formal analysis of simple decision problems to a careful analysis of the sometimes very complex and data rich structures confronted by practitioners. The book contains basic material on subjective probability theory and multi-attribute utility theory, event and decision trees, Bayesian networks, influence diagrams and causal Bayesian networks. The author demonstrates when and how the theory can be successfully applied to a given decision problem, how data can be sampled and expert judgements elicited to support this analysis, and when and how an effective Bayesian decision analysis can be implemented. Evolving from a third-year undergraduate course taught by the author over many years, all of the material in this book will be accessible to a student who has completed introductory courses in probability and mathematical statistics.
Australian National Bibliography
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Author :
language : en
Publisher: National Library Australia
Release Date : 1961
Australian National Bibliography written by and has been published by National Library Australia this book supported file pdf, txt, epub, kindle and other format this book has been release on 1961 with categories.
Physics Briefs
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Author :
language : en
Publisher:
Release Date : 1991
Physics Briefs written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Physics categories.
Structural Adjustment Economic Welfare And Electoral Behavior In The 1992 Ghanaian Presidential Election Microform
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Author : Mahamudu Bawumia
language : en
Publisher: National Library of Canada = Bibliothèque nationale du Canada
Release Date : 1995
Structural Adjustment Economic Welfare And Electoral Behavior In The 1992 Ghanaian Presidential Election Microform written by Mahamudu Bawumia and has been published by National Library of Canada = Bibliothèque nationale du Canada this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Ghana categories.
Magazines For Libraries
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Author : Bill Katz
language : en
Publisher:
Release Date : 1969
Magazines For Libraries written by Bill Katz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1969 with Periodical selection categories.