Download or read book Introduction to Statistical Time Series written by Wayne A. Fuller and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
Download or read book Short Memory Linear Processes and Econometric Applications written by Kairat T. Mynbaev and published by John Wiley & Sons. This book was released on 2011-05-23 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book serves as a comprehensive source of asymptotic results for econometric models with deterministic exogenous regressors. Such regressors include linear (more generally, piece-wise polynomial) trends, seasonally oscillating functions, and slowly varying functions including logarithmic trends, as well as some specifications of spatial matrices in the theory of spatial models. The book begins with central limit theorems (CLTs) for weighted sums of short memory linear processes. This part contains the analysis of certain operators in Lp spaces and their employment in the derivation of CLTs. The applications of CLTs are to the asymptotic distribution of various estimators for several econometric models. Among the models discussed are static linear models with slowly varying regressors, spatial models, time series autoregressions, and two nonlinear models (binary logit model and nonlinear model whose linearization contains slowly varying regressors). The estimation procedures include ordinary and nonlinear least squares, maximum likelihood, and method of moments. Additional topical coverage includes an introduction to operators, probabilities, and linear models; Lp-approximable sequences of vectors; convergence of linear and quadratic forms; regressions with slowly varying regressors; spatial models; convergence; nonlinear models; and tools for vector autoregressions.
Download or read book Stochastic Processes written by Malempati M. Rao and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: The material accumulated and presented in this volume can be ex plained easily. At the start of my graduate studies in the early 1950s, I Grenander's (1950) thesis, and was much attracted to the came across entire subject considered there. I then began preparing for the neces sary mathematics to appreciate and possibly make some contributions to the area. Thus after a decade of learning and some publications on the way, I wanted to write a modest monograph complementing Grenander's fundamental memoir. So I took a sabbatical leave from my teaching position at the Carnegie-Mellon University, encouraged by an Air Force Grant for the purpose, and followed by a couple of years more learning opportunity at the Institute for Advanced Study to complete the project. As I progressed, the plan grew larger needing a substantial background material which was made into an independent initial volume in (1979). In its preface I said: "My intension was to present the following material as the first part of a book treating the In ference Theory of stochastic processes, but the latter account has now receded to a distant future," namely for two more decades! Meanwhile, a much enlarged second edition of that early work has appeared (1995), and now I am able to present the main part of the original plan.
Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
Download or read book Cyclostationarity Theory and Methods II written by Fakher Chaari and published by Springer. This book was released on 2015-04-15 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reports on the latest advances in the analysis of non-stationary signals, with special emphasis on cyclostationary systems. It includes cutting-edge contributions presented at the 7th Workshop on “Cyclostationary Systems and Their Applications,” which was held in Gródek nad Dunajcem, Poland, in February 2014. The book covers both the theoretical properties of cyclostationary models and processes, including estimation problems for systems exhibiting cyclostationary properties, and several applications of cyclostationary systems, including case studies on gears and bearings, and methods for implementing cyclostationary processes for damage assessment in condition-based maintenance operations. It addresses the needs of students, researchers and professionals in the broad fields of engineering, mathematics and physics, with a special focus on those studying or working with nonstationary and/or cyclostationary processes.
Download or read book Stochastic Processes Inference Theory written by Malempati M. Rao and published by Springer. This book was released on 2014-11-14 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the revised and enlarged 2nd edition of the authors’ original text, which was intended to be a modest complement to Grenander's fundamental memoir on stochastic processes and related inference theory. The present volume gives a substantial account of regression analysis, both for stochastic processes and measures, and includes recent material on Ridge regression with some unexpected applications, for example in econometrics. The first three chapters can be used for a quarter or semester graduate course on inference on stochastic processes. The remaining chapters provide more advanced material on stochastic analysis suitable for graduate seminars and discussions, leading to dissertation or research work. In general, the book will be of interest to researchers in probability theory, mathematical statistics and electrical and information theory.
Download or read book Developments in Statistics written by Paruchuri R. Krishnaiah and published by Academic Press. This book was released on 2014-06-28 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Development in Statistics, Volume 1 is a collection of papers that deals with theory and application of parameter estimation in stochastic differential systems, the comparative aspects of the study of ordinary time series, and real multivariate distributions. Some papers discuss covariance analysis of nonstationary time series, nonparametric repeated significance tests, as well as discrete optimal factorial designs for statisticians and investigators of experiments. One paper cites an application of parameter estimation in stochastic differential systems in approximates of stability and control derivatives from flight test data. Another paper cites cases where procedures of ordinary time series (or point processes) have direct analogs in the study of point processes (or ordinary time series). One paper explains the applications of multivariate distributions in simultaneous tests on the equality of eigenvalues toward the covariance matrix, canonical correlation matrix, and a matrix associated with the multivariate analysis of variance. Another paper reviews two types of repeated significance tests, namely, the genuinely distribution-free tests based on a broad class of nonparametric statistics; and the asymptotically distribution-free tests based on a broad class of parametric statistics but having asymptotically nonparametric behavior. Both types can provide a unified solution to a broad class of problems. The collection can be valuable for mathematicians, students, and professors of calculus, statistics, or advanced mathematics.
Download or read book Time Series in the Time Domain written by Edward James Hannan and published by North Holland. This book was released on 1985 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. In this volume prominent workers in the field discuss various time series methods in the time domain. The topics included are autoregressive-moving average models, control, estimation, identification, model selection, non-linear time series, non-stationary time series, prediction, robustness, sampling designs, signal attenuation, and speech recognition. This volume complements Handbook of Statistics 3: Time Series in the Frequency Domain.
Download or read book Toward a Formal Science of Economics written by Bernt P. Stigum and published by MIT Press. This book was released on 1990 with total page 1068 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consumer Law and Practice provides undergraduate students and those studying the LPC with concise yet comprehensive guidance. It is also a useful aid for practitioners (including those advising businesses) and non-lawyers requiring information which can be quickly understood. Using an innovative problem-solving approach to the subject, we focus on situations in which clients may find themselves and explain how the law deals with such situations. "Between the covers is a mine of information clearly and accurately set out ... a valuable tool for non-specialist and specialist alike." The Law Society's Gazette
Download or read book MRC Technical Summary Report written by United States. Army. Mathematics Research Center and published by . This book was released on 1976 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Directions in Time Series Analysis written by David Brillinger and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications NEW DIRECTIONS IN TIME SERIES ANALYSIS, PART II is based on the proceedings of the IMA summer program "New Directions in Time Series Analysis. " We are grateful to David Brillinger, Peter Caines, John Geweke, Emanuel Parzen, Murray Rosenblatt, and Murad Taqqu for organizing the program and we hope that the remarkable excitement and enthusiasm of the participants in this interdisciplinary effort are communicated to the reader. A vner Friedman Willard Miller, Jr. PREFACE Time Series Analysis is truly an interdisciplinary field because development of its theory and methods requires interaction between the diverse disciplines in which it is applied. To harness its great potential, strong interaction must be encouraged among the diverse community of statisticians and other scientists whose research involves the analysis of time series data. This was the goal of the IMA Workshop on "New Directions in Time Series Analysis. " The workshop was held July 2-July 27, 1990 and was organized by a committee consisting of Emanuel Parzen (chair), David Brillinger, Murray Rosenblatt, Murad S. Taqqu, John Geweke, and Peter Caines. Constant guidance and encouragement was provided by Avner Friedman, Director of the IMA, and his very helpful and efficient staff. The workshops were organized by weeks. It may be of interest to record the themes that were announced in the IMA newsletter describing the workshop: l.
Download or read book The Econometrics of Panel Data written by and published by . This book was released on 1978 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Panel Data Econometrics written by Marc Nerlove and published by Cambridge University Press. This book was released on 2005-11-10 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects seven classic essays on panel data econometrics, and a cogent essay on the history of the subject.
Download or read book Government Reports Announcements written by and published by . This book was released on 1974 with total page 1000 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1997 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A History of Econometrics written by Duo Qin and published by . This book was released on 2013-07-25 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written from the Haavelmo-Cowles Commission econometric perspective, this book provides an account of the advances in the field of econometrics since the 1970s.
Download or read book Journal of Econometrics written by and published by . This book was released on 1989 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt:
