Download or read book Mixture Autoregression with Heavy tailed Conditional Distribution written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: (Uncorrected OCR) Abstract of thesis entitled MIXTURE AUTOREGRESSION WITH HEAVY-TAILED CONDITIONAL DISTRIBUTION submitted by KAM, Po Ling for the degree of Master of Philosophy at the University of Hong Kong in August 2003 In this thesis, we consider two types of the mixture autoregressive model. The first one is Gaussian mixture autoregressive model (GMAR) which is introduced by Wong and Li (2000). The second one is Student t-type MAR (TMAR) model which is a new model proposed by us. For GMAR model, it consists of a mixture K Gaussian autoregressive components. There are several properties which make Gaussian MAR model potentially useful in non-linear time series modelling. Firstly, it can be shown that a mixture of a non-stationary AR component with a stationary AR component can result in an overall stationary process. Secondly, the Gaussian MAR model can capture the shape-changing feature in conditional distribution of the time series. Lastly, the Gaussian MAR model can also capture conditional heteroscedasticity (Engle, 1982) which is a common phenomenon in financial time series. Despite the advantages of Gaussian MAR models, there are some limitations in some real life applications. If densities of some financial time series data are plotted, it can be noticed that the densities tend to be fatter tailed than the normal. Moreover, extreme data are observed more often than those implied by a Gaussian distribution. According to Peel and McLachlan (2000), heavy tails and outliers affect the estimation of means and variances in mixture type models. The applicability of the Gaussian MAR model to financial time series might be questionable. In order to illustrate the problem, we perform several simulation studies to study the estimation of Gaussian MAR model using data generated from heavy tailed distributions. On the other hand, we introduced a new model called Student t-type MAR model. We propose to replace the normal conditional distribution in each component of th.
Download or read book Mixture Autoregression with Heavy tailed Conditional Distribution written by Po-ling Kam and published by . This book was released on 2003 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Non Gaussian Autoregressive Type Time Series written by N. Balakrishna and published by Springer Nature. This book was released on 2022-01-27 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together a variety of non-Gaussian autoregressive-type models to analyze time-series data. This book collects and collates most of the available models in the field and provide their probabilistic and inferential properties. This book classifies the stationary time-series models into different groups such as linear stationary models with non-Gaussian innovations, linear stationary models with non-Gaussian marginal distributions, product autoregressive models and minification models. Even though several non-Gaussian time-series models are available in the literature, most of them are focusing on the model structure and the probabilistic properties.
Download or read book Mixture Autoregressive Models with Applications to Heteroskedastic Time Series written by Davide Ravagli and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advances In Data Mining And Modeling written by Wai Ki Ching and published by World Scientific. This book was released on 2003-04-03 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data mining and data modeling are hot topics and are under fast development. Because of their wide applications and rich research contents, many practitioners and academics are attracted to work in these areas. With a view to promoting communication and collaboration among the practitioners and researchers in Hong Kong, a workshop on data mining and modeling was held in June 2002. Prof Ngaiming Mok, Director of the Institute of Mathematical Research, The University of Hong Kong, and Prof Tze Leung Lai (Stanford University), C V Starr Professor of the University of Hong Kong, initiated the workshop.This book contains selected papers presented at the workshop. The papers fall into two main categories: data mining and data modeling. Data mining papers deal with pattern discovery, clustering algorithms, classification and practical applications in the stock market. Data modeling papers treat neural network models, time series models, statistical models and practical applications.
Download or read book Mixture Autoregressive Model written by Munhtsetseg Ganbaatar and published by . This book was released on 2002 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mixture Autoregressive Models written by Vassilios Gkatziolis and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Mixture Vector Autoregressions with Score driven Weights written by Alexander Georges Gretener and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel dynamic mixture vector autoregressive (VAR) model in which time-varying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely to be drawn from this particular state. The model is not limited to a specific distributional assumption and allows for straight-forward likelihood-based estimation and inference. We conduct a Monte Carlo study and find that the score-driven mixture VAR model is able to adequately filter and predict the mixture dynamics from a variety of different data generating processes, which other observation-driven dynamic mixture VAR models cannot appropriately handle. Finally, we illustrate our approach by an application where we model the conditional joint distribution of economic and financial conditions and derive generalized impulse responses.
Download or read book Mixture Modelling for Medical and Health Sciences written by Shu-Kay Ng and published by CRC Press. This book was released on 2019-05-03 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mixture Modelling for Medical and Health Sciences provides a direct connection between theoretical developments in mixture modelling and their applications in real world problems. The book describes the development of the most important concepts through comprehensive analyses of real and practical examples taken from real-life research problems in
Download or read book Multinomial Mixture Vector Autoregressive Models written by Yuji Tomita and published by . This book was released on 2003 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Laws of Small Numbers Extremes and Rare Events written by Michael Falk and published by Springer Science & Business Media. This book was released on 2010-10-07 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the publication of the first edition of this seminar book in 1994, the theory and applications of extremes and rare events have enjoyed an enormous and still increasing interest. The intention of the book is to give a mathematically oriented development of the theory of rare events underlying various applications. This characteristic of the book was strengthened in the second edition by incorporating various new results. In this third edition, the dramatic change of focus of extreme value theory has been taken into account: from concentrating on maxima of observations it has shifted to large observations, defined as exceedances over high thresholds. One emphasis of the present third edition lies on multivariate generalized Pareto distributions, their representations, properties such as their peaks-over-threshold stability, simulation, testing and estimation. Reviews of the 2nd edition: "In brief, it is clear that this will surely be a valuable resource for anyone involved in, or seeking to master, the more mathematical features of this field." David Stirzaker, Bulletin of the London Mathematical Society "Laws of Small Numbers can be highly recommended to everyone who is looking for a smooth introduction to Poisson approximations in EVT and other fields of probability theory and statistics. In particular, it offers an interesting view on multivariate EVT and on EVT for non-iid observations, which is not presented in a similar way in any other textbook." Holger Drees, Metrika
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Download or read book Probability Towards 2000 written by L. Accardi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Senior probabilists from around the world with widely differing specialities gave their visions of the state of their specialty, why they think it is important, and how they think it will develop in the new millenium. The volume includes papers given at a symposium at Columbia University in 1995, but papers from others not at the meeting were added to broaden the coverage of areas. All papers were refereed.
Download or read book Statistical Analysis of Extreme Values written by Rolf-Dieter Reiss and published by Springer Science & Business Media. This book was released on 2007-08-08 with total page 511 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical analysis of extreme data is vital to many disciplines including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values. For this Third Edition, the entire text has been thoroughly updated and rearranged to meet contemporary requirements, with new sections and chapters address such topics as dependencies, the conditional analysis and the multivariate modeling of extreme data. New chapters include An Overview of Reduced-Bias Estimation; The Spectral Decomposition Methodology; About Tail Independence; and Extreme Value Statistics of Dependent Random Variables.
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1994 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.
Download or read book Modeling Control and Drug Development for COVID 19 Outbreak Prevention written by Ahmad Taher Azar and published by Springer Nature. This book was released on 2021-11-01 with total page 1115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is well-structured book which consists of 31 full chapters. The book chapters' deal with the recent research problems in the areas of modeling, control and drug development, and it presents various techniques of COVID-19 outbreak prevention modeling. The book also concentrates on computational simulations that may help speed up the development of drugs to counter the novel coronavirus responsible for COVID-19. This is an open access book.
Download or read book Vector Autoregression Models with Skewness and Heavy Tails written by Sune Karlsson and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
