Download or read book Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form written by Jean-Marie Dufour and published by Centre interuniversitaire de recherche en économie quantitative. This book was released on 2005* with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form written by Dufour, Jean-Marie and published by Montréal : CIRANO. This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Modeling and Analysis for Complex Data Problems written by Pierre Duchesne and published by Springer Science & Business Media. This book was released on 2005-12-05 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reviews some of today’s more complex problems, and reflects some of the important research directions in the field. Twenty-nine authors – largely from Montreal’s GERAD Multi-University Research Center and who work in areas of theoretical statistics, applied statistics, probability theory, and stochastic processes – present survey chapters on various theoretical and applied problems of importance and interest to researchers and students across a number of academic domains.
Download or read book Mathematical Reviews written by and published by . This book was released on 2006 with total page 1052 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Time Series Analysis written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2013-11-11 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible guide to the multivariate time series tools used in numerous real-world applications Multivariate Time Series Analysis: With R and Financial Applications is the much anticipated sequel coming from one of the most influential and prominent experts on the topic of time series. Through a fundamental balance of theory and methodology, the book supplies readers with a comprehensible approach to financial econometric models and their applications to real-world empirical research. Differing from the traditional approach to multivariate time series, the book focuses on reader comprehension by emphasizing structural specification, which results in simplified parsimonious VAR MA modeling. Multivariate Time Series Analysis: With R and Financial Applications utilizes the freely available R software package to explore complex data and illustrate related computation and analyses. Featuring the techniques and methodology of multivariate linear time series, stationary VAR models, VAR MA time series and models, unitroot process, factor models, and factor-augmented VAR models, the book includes: • Over 300 examples and exercises to reinforce the presented content • User-friendly R subroutines and research presented throughout to demonstrate modern applications • Numerous datasets and subroutines to provide readers with a deeper understanding of the material Multivariate Time Series Analysis is an ideal textbook for graduate-level courses on time series and quantitative finance and upper-undergraduate level statistics courses in time series. The book is also an indispensable reference for researchers and practitioners in business, finance, and econometrics.
Download or read book Elements of Multivariate Time Series Analysis written by Gregory C. Reinsel and published by Springer Science & Business Media. This book was released on 2003-10-31 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now available in paperback, this book introduces basic concepts and methods useful in the analysis and modeling of multivariate time series data. It concentrates on the time-domain analysis of multivariate time series, and assumes univariate time series analysis, while covering basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares and maximum likelihood estimation for ARMA models, associated likelihood ratio testing procedures.
Download or read book Linear Time Series with MATLAB and OCTAVE written by Víctor Gómez and published by Springer Nature. This book was released on 2019-10-04 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an introduction to linear univariate and multivariate time series analysis, providing brief theoretical insights into each topic, and from the beginning illustrating the theory with software examples. As such, it quickly introduces readers to the peculiarities of each subject from both theoretical and the practical points of view. It also includes numerous examples and real-world applications that demonstrate how to handle different types of time series data. The associated software package, SSMMATLAB, is written in MATLAB and also runs on the free OCTAVE platform. The book focuses on linear time series models using a state space approach, with the Kalman filter and smoother as the main tools for model estimation, prediction and signal extraction. A chapter on state space models describes these tools and provides examples of their use with general state space models. Other topics discussed in the book include ARIMA; and transfer function and structural models; as well as signal extraction using the canonical decomposition in the univariate case, and VAR, VARMA, cointegrated VARMA, VARX, VARMAX, and multivariate structural models in the multivariate case. It also addresses spectral analysis, the use of fixed filters in a model-based approach, and automatic model identification procedures for ARIMA and transfer function models in the presence of outliers, interventions, complex seasonal patterns and other effects like Easter, trading day, etc. This book is intended for both students and researchers in various fields dealing with time series. The software provides numerous automatic procedures to handle common practical situations, but at the same time, readers with programming skills can write their own programs to deal with specific problems. Although the theoretical introduction to each topic is kept to a minimum, readers can consult the companion book ‘Multivariate Time Series With Linear State Space Structure’, by the same author, if they require more details.
Download or read book Current Index to Statistics Applications Methods and Theory written by and published by . This book was released on 1996 with total page 810 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
Download or read book The Statistical Theory of Linear Systems written by E. J. Hannan and published by SIAM. This book was released on 2012-05-31 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published: New York: Wiley, c1988.
Download or read book Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Applied Time Series Econometrics written by Helmut Lütkepohl and published by Cambridge University Press. This book was released on 2004-08-02 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Download or read book The Econometric Analysis of Seasonal Time Series written by Eric Ghysels and published by Cambridge University Press. This book was released on 2001-06-18 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
Download or read book Identification Estimation and Testing of Conditionally Heteroskedastic Factor Models written by Gabriele Fiorentini and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the effects of dynamic heteroskedasticity on statistical factor analysis. We show that identification problems are alleviated when variation in factor variances is accounted for. Our results apply to dynamic APT models and other structural models. We also find that traditional ML estimation of unconditional variance parameters remains consistent if the factor loadings are identified from the unconditional distribution, but their standard errors must be robustified. We develop a simple preliminary LM test for ARCH effects in the common factors, and discuss two-step consistent estimation of the conditional variance parameters. Finally, we conduct a detailed simulation exercise.
Download or read book Multiple Time Series written by Edward James Hannan and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Wiley Series in Probability and Statistics is a collection of topics of current research interests in both pure and applied statistics and probability developments in the field and classical methods. This series provides essential and invaluable reading for all statisticians, whether in academia, industry, government, or research.
Download or read book Principles and Recommendations for Population and Housing Censuses written by United Nations. Statistical Division and published by United Nations Publications. This book was released on 2008 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: The population and housing census is part of an integrated national statistical system, which may include other censuses (for example, agriculture), surveys, registers and administrative files. It provides, at regular intervals, the benchmark for population count at national and local levels. For small geographical areas or sub-populations, it may represent the only source of information for certain social, demographic and economic characteristics. For many countries the census also provides a solid framework to develop sampling frames. This publication represents one of the pillars for data collection on the number and characteristics of the population of a country.
Download or read book Advanced Multivariate Statistics with Matrices written by Tõnu Kollo and published by Springer Science & Business Media. This book was released on 2006-03-30 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents important tools and techniques for treating problems in m- ern multivariate statistics in a systematic way. The ambition is to indicate new directions as well as to present the classical part of multivariate statistical analysis in this framework. The book has been written for graduate students and statis- cians who are not afraid of matrix formalism. The goal is to provide them with a powerful toolkit for their research and to give necessary background and deeper knowledge for further studies in di?erent areas of multivariate statistics. It can also be useful for researchers in applied mathematics and for people working on data analysis and data mining who can ?nd useful methods and ideas for solving their problems. Ithasbeendesignedasatextbookforatwosemestergraduatecourseonmultiva- ate statistics. Such a course has been held at the Swedish Agricultural University in 2001/02. On the other hand, it can be used as material for series of shorter courses. In fact, Chapters 1 and 2 have been used for a graduate course ”Matrices in Statistics” at University of Tartu for the last few years, and Chapters 2 and 3 formed the material for the graduate course ”Multivariate Asymptotic Statistics” in spring 2002. An advanced course ”Multivariate Linear Models” may be based on Chapter 4. A lot of literature is available on multivariate statistical analysis written for di?- ent purposes and for people with di?erent interests, background and knowledge.
Download or read book Bibliographie der Wirtschaftswissenschaften written by and published by . This book was released on 1996 with total page 940 pages. Available in PDF, EPUB and Kindle. Book excerpt:
