Download or read book Multivariate Modelling of Long Memory Processes With Common Components written by Claudio Morana and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A new approach to the modelling of common components in long memory processes is introduced. The approach is based on a two-step procedure relying on Fourier transform methods (first step) and principal components analysis (second step). Differently from other available methods, it allows the modelling of large data sets, both in terms of temporal and cross-sectional dimensions. Monte Carlo evidence, supporting the two-step estimation procedure, is also provided, as well as an empirical application to real data.
Download or read book Long Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Download or read book Theory and Applications of Multivariate Long Memory Processes written by Sang-Kuck Chung and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Download or read book ARCH Models for Financial Applications written by Evdokia Xekalaki and published by John Wiley & Sons. This book was released on 2010-03-18 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Download or read book Statistical Modeling of Long Memory and Uncontrolled Effects in Neural Recordings written by Alexander Greaves-Tunnell and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Scientific analyses of time series data are often formalized as statistical investigations targeting one or more aspects of a complex underlying dependence structure. In the multivariate time series setting, there are three main aspects of interest: dependence over time, between components of the multivariate observations, and across repeated trials of the experimental protocol. Classical methods for these data may not be equipped to account for issues such as long-range dependence or unexpected variation across experimental settings. On the other hand, it can be difficult to evaluate whether more recent methods, such as those that make use of deep neural networks, have made quantitatively verifiable progress towards alleviating these issues. There is thus an opportunity to develop tools that extend principled statistical perspectives to meet the demand of current practices and problems in applied time series analysis. Motivated by these considerations, this dissertation develops methodology for the identification, estimation, and prediction of scientifically relevant features in the dependence structure of multivariate time series data. While these contributions apply to a wide range of data-analytical settings, corresponding to the broad prevalence of time series data across the sciences, they are motivated in particular by the challenges raised in the analysis of brain activity data. Neuroscientists measure the locally aggregated activity of cortical neurons as electromagnetic waveforms, recording from multiple locations on the brain surface and across repeated recording trials for various subjects or conditions. The resulting data raise challenging, scientifically important questions that can be phrased in terms of the three aspects of time series dependence enumerated above. We first address the topic of dependence over time through the lens of long-range dependent multivariate time series. We develop a statistical criterion for long memory in deep recurrent neural networks, thus offering a principled alternative to the heuristic evaluations based on synthetic data. We show negative results that suggest even deep recurrent neural network models explicitly designed to capture long-range dependencies fail to do so in a standard language modeling setting. This motivates the development of a model for multivariate long memory time series data, which we define in the frequency domain and apply to the analysis of brain activity in different states of consciousness. Second, we develop a framework to model changes in the dependence structure, or functional connectivity, in recordings obtained from a repeated-stimulation experiment in the rhesus macaque cortex. The analysis flexibly captures nonlinear effects and incorporates information about the connectivity between brain regions prior to stimulation. It is further equipped to address questions of stability, informativeness, and similarity among the learned features. The method improves the prediction accuracy of stimulation-induced connectivity change and provides new insights on the factors mediating this response. Finally, we continue our analysis of the brain-stimulation data to reveal previously unreported variation both between subjects and across experimental trials. We show that extensions to a simple regression model, either accounting for a more complex variance structure or estimating unmodeled confounders, can successfully mitigate the dramatic loss in predictive accuracy that results from applying the model to predict the results of previously unobserved experimental trials. Together, the contributions of this dissertation develop the capacity to detect, estimate, and predict scientifically meaningful aspects of the dependence structure in multivariate time series data.
Download or read book Models of Human Memory written by Donald A. Norman and published by Elsevier. This book was released on 2013-10-22 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models of Human Memory provides an overview of the state of knowledge on human memory models. The book begins with an introductory chapter on the basic stages of the memory system and the historical roots of memory models. The remaining chapters are organized into five parts. Part I on memory systems covers topics such as a system for perception and memory; multi-trace strength theory of memory; and a model for postperceptual verbal memory that postulates a single memory store, with multiple copies, called replicas, created in memory by rehearsal processes. Part II presents studies phoneme storage and word recognition. Part III on memory for associations examines the storage-retrieval theory for the memorizing processes and presents simple model of short-term memory (STM) for paired associates. Part IV on storage and retrieval mechanisms deals with mechanisms of repetition and rehearsal in short-term memory; models of recall and recognition; and memory search models. Part V presents a theory of human long-term associative memory; and examines conceptual and methodological interactions between information-processing investigations of cognitive activity and attempts to build models of memory.
Download or read book Handbook of Environmental and Ecological Statistics written by Alan E. Gelfand and published by CRC Press. This book was released on 2019-01-15 with total page 679 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook focuses on the enormous literature applying statistical methodology and modelling to environmental and ecological processes. The 21st century statistics community has become increasingly interdisciplinary, bringing a large collection of modern tools to all areas of application in environmental processes. In addition, the environmental community has substantially increased its scope of data collection including observational data, satellite-derived data, and computer model output. The resultant impact in this latter community has been substantial; no longer are simple regression and analysis of variance methods adequate. The contribution of this handbook is to assemble a state-of-the-art view of this interface. Features: An internationally regarded editorial team. A distinguished collection of contributors. A thoroughly contemporary treatment of a substantial interdisciplinary interface. Written to engage both statisticians as well as quantitative environmental researchers. 34 chapters covering methodology, ecological processes, environmental exposure, and statistical methods in climate science.
Download or read book The Global Financial Crisis written by Mark Taylor and published by Routledge. This book was released on 2014-01-02 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis has sent shockwaves through the world’s economies, and its effects have been deep and wide-reaching. This book brings together a range of applied studies, covering a range of international and regional experience in the area of finance in the context of the global downturn. The volume includes an exploration of the impact of the crisis on capital markets, and how corporate stakeholders need to be more aware of the decision-making processes followed by corporate executives, as well as an analysis of the policy changes instituted by the Fed and their effects. Other issues covered include research into the approach of solvent banks to toxic assets, the determinants of US interest rate swap spreads during the crisis, a new approach for estimating Value-at-Risk, how distress and lack of active trading can result in systemic panic attacks, and the dynamic interactions between real house prices, consumption expenditure and output. Highlighting the global reach of the crisis, there is also coverage of recent changes in the cross-currency correlation structure, the costs attached to global banking financial integration, the interrelationships among global stock markets, inter-temporal interactions between stock return differential relative to the US and real exchange rate in the two most recent financial crises, and research into the recent slowdown in workers’ remittances. This book was published as a special issue of Applied Financial Economics.
Download or read book Probability Theory and Mathematical Statistics written by B. Grigelionis and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-05-18 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Probability Theory and Mathematical Statistics".
Download or read book Multivariate Modelling of Non Stationary Economic Time Series written by John Hunter and published by Springer. This book was released on 2017-05-08 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Download or read book Probability Theory and Mathematical Statistics written by Bronius Grigelionis and published by VSP. This book was released on 1999 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 7th Vilnius Conference on Probability Theory and Mathematical Statistics was held together with the 22nd European Meeting of Statisticians, 12--18 August 1998. This Proceedings volume contains invited lectures as well as some selected contributed papers. Topics included in the conference are: general inference; time series; statistics and probability in the life sciences; statistics and probability in natural and social science; applied probability; probability.
Download or read book Recent Advances in Applied Probability written by Ricardo Baeza-Yates and published by Springer Science & Business Media. This book was released on 2006-02-28 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied probability is a broad research area that is of interest to scientists in diverse disciplines in science and technology, including: anthropology, biology, communication theory, economics, epidemiology, finance, geography, linguistics, medicine, meteorology, operations research, psychology, quality control, sociology, and statistics. Recent Advances in Applied Probability is a collection of survey articles that bring together the work of leading researchers in applied probability to present current research advances in this important area. This volume will be of interest to graduate students and researchers whose research is closely connected to probability modelling and their applications. It is suitable for one semester graduate level research seminar in applied probability.
Download or read book Multivariate Long Memory Processes and Nonparametric Density Estimation with Applications to Ridge Detection written by Klaus Telkmann and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long Memory Processes written by Jan Beran and published by . This book was released on 2013-05-31 with total page 904 pages. Available in PDF, EPUB and Kindle. Book excerpt:
