Download or read book A Review of Some Aspects of Robust Inference for Time Series written by R. D. Martin and published by . This book was released on 1984 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper briefly surveys some aspects of robust inference for time series, and gives an indication of the current state of knowledge in other problem areas. Basic notions of robustness are stated, and technical difficulties associated with the time series case are mentioned. Some models for time series with outliers are given. Least-squares procedures lack robustness for such models and robust alternatives are described. Issues of adaptivity versus robustness are briefly mentioned. Robustness problems involving dependency are discussed. Algorithms for robust data smoother-cleaners are briefly described, along with an application to radar glint noise. Additional keyword; Autoregression. (Author).
Download or read book Some Aspects of Robust Estimation in Time Series Analysis written by 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 Statistical Inference as Severe Testing written by Deborah G. Mayo and published by Cambridge University Press. This book was released on 2018-09-20 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mounting failures of replication in social and biological sciences give a new urgency to critically appraising proposed reforms. This book pulls back the cover on disagreements between experts charged with restoring integrity to science. It denies two pervasive views of the role of probability in inference: to assign degrees of belief, and to control error rates in a long run. If statistical consumers are unaware of assumptions behind rival evidence reforms, they can't scrutinize the consequences that affect them (in personalized medicine, psychology, etc.). The book sets sail with a simple tool: if little has been done to rule out flaws in inferring a claim, then it has not passed a severe test. Many methods advocated by data experts do not stand up to severe scrutiny and are in tension with successful strategies for blocking or accounting for cherry picking and selective reporting. Through a series of excursions and exhibits, the philosophy and history of inductive inference come alive. Philosophical tools are put to work to solve problems about science and pseudoscience, induction and falsification.
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1985 with total page 1346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Some Aspects on Robust Analysis of Time Series Including ARIMA processes written by Bengt Ringnér and published by . This book was released on 1991 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Some Robust Inference Techniques in Time Series written by William Wiant Davis and published by . This book was released on 1974 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On Robust Inference in Time Series Regression written by Richard Baillie and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Robust Inference in Econometrics with Applications to Time Series and Panel Data Models written by Linxia Ren and published by . This book was released on 2011 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Having robust methods of inference is important in econometrics to achieve reliable results. This thesis tackles robustness issues in three different contexts: structural change in panel data robust to a short transition period, inference on the mean of a time series robust to the so-called ill-posed problem, inference on the slope of a trend function robust to the stationary or integrated nature of the noise component. Chapter 1 considers testing for and estimating an unknown structural break date in panel data models in the presence of individual specific effects and serial correlation for both short and long panels. I allow for a time varying effect after a regime change in the form of a short transition period. A statistic that has a pivotal limit distribution under a standard asymptotic framework is proposed. It is shown to be robust to the transition period. The usefulness of the method is illustrated via simulations and empirical applications. Chapter 2 deals with the relevance of so-called impossibility results in the context of estimating the spectral density function of a stationary process at the zero frequency. As shown previously, any estimate will have an infinite minimax risk. Most often it is a nuisance parameter of which an estimate is needed to obtain test statistics that have a pivotal distribution. In this context, I argue that such an impossibility result is irrelevant. I show that, in the presence of the discontinuities that cause the ill-posedness problem, using the true value leads to tests that have either 0 or 100% size and, hence, lead to confidence intervals that are completely uninformative. On the other hand, tests based on standard estimates will have well defined limit distributions and, accordingly, be more informative and robust. Chapter 3 is concerned with inference on the slope of the trend function of a time series whose noise component can be stationary or integrated. I focus on a procedure suggested by Perron and Yabu (2009). I prove that it has the correct size uniformly over the specified parameter space but that it is not uniformly asymptotically similar.
Download or read book Deconvolution and Inverse Theory written by V. Dimri and published by Elsevier. This book was released on 2013-10-22 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first study to present simultaneously both deconvolution and inversion, two powerful tools of data analysis. Featured within this volume are various geophysical convolution models and a treatment of deconvolution for a time-varying signal. The single channel time-varying deconvolution is shown equivalent to the multichannel time-invariant deconvolution, thus a formalism and associated algorithms can handle both. Inverse theory as well as various inversion schemes are presented on the basis of a relationship between a small perturbation to the model and its effects on the observation. The information theory inversion scheme is discussed, and several types of norm of minimization presented. Additionally, concepts and results of inverse theory are applied to design a new deconvolution operator for estimating magnetization and density distribution, and the constraint of the Backus-Gilbert formalism of inverse theory is used to design a new prediction error filter for maximum entropy spectral estimates. Maximum likelihood, another high resolution method is also presented. This volume can be utilised as a graduate-level text for courses in Geophysics. Some chapters will be of use for graduate courses in Applied Mathematics, Applied Statistics, and Oceanography.
Download or read book Statistical Signal Processing written by Edward J. Wegman and published by . This book was released on 1984 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Research Papers in Statistical Inference for Time Series and Related Models written by Yan Liu and published by Springer Nature. This book was released on 2023-05-31 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Download or read book Robustness in Statistics written by Robert L. Launer and published by . This book was released on 1979 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to robust estimation; The robustness of residual displays; Robust smoothing; Robust pitman-like estimators; Robust estimation in the presence of outliers; Study of robustness by simulation: particularly improvement by adjustment and combination; Robust techniques for the user; Application of robust regression to trajectory data reduction; Tests for censoring of extreme values (especially) when population distributions are incompletely defined; Robust estimation for time series autoregressions; Robust techniques in communication; Robustness in the strategy of scientific model building; A density-quantile function perspective on robust.
Download or read book Robust Statistics written by Ricardo A. Maronna and published by John Wiley & Sons. This book was released on 2019-01-04 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new edition of this popular text on robust statistics, thoroughly updated to include new and improved methods and focus on implementation of methodology using the increasingly popular open-source software R. Classical statistics fail to cope well with outliers associated with deviations from standard distributions. Robust statistical methods take into account these deviations when estimating the parameters of parametric models, thus increasing the reliability of fitted models and associated inference. This new, second edition of Robust Statistics: Theory and Methods (with R) presents a broad coverage of the theory of robust statistics that is integrated with computing methods and applications. Updated to include important new research results of the last decade and focus on the use of the popular software package R, it features in-depth coverage of the key methodology, including regression, multivariate analysis, and time series modeling. The book is illustrated throughout by a range of examples and applications that are supported by a companion website featuring data sets and R code that allow the reader to reproduce the examples given in the book. Unlike other books on the market, Robust Statistics: Theory and Methods (with R) offers the most comprehensive, definitive, and up-to-date treatment of the subject. It features chapters on estimating location and scale; measuring robustness; linear regression with fixed and with random predictors; multivariate analysis; generalized linear models; time series; numerical algorithms; and asymptotic theory of M-estimates. Explains both the use and theoretical justification of robust methods Guides readers in selecting and using the most appropriate robust methods for their problems Features computational algorithms for the core methods Robust statistics research results of the last decade included in this 2nd edition include: fast deterministic robust regression, finite-sample robustness, robust regularized regression, robust location and scatter estimation with missing data, robust estimation with independent outliers in variables, and robust mixed linear models. Robust Statistics aims to stimulate the use of robust methods as a powerful tool to increase the reliability and accuracy of statistical modelling and data analysis. It is an ideal resource for researchers, practitioners, and graduate students in statistics, engineering, computer science, and physical and social sciences.
Download or read book Time Series Analysis written by Wilfredo Palma and published by John Wiley & Sons. This book was released on 2016-04-29 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern and accessible guide to the analysis of introductory time series data Featuring an organized and self-contained guide, Time Series Analysis provides a broad introduction to the most fundamental methodologies and techniques of time series analysis. The book focuses on the treatment of univariate time series by illustrating a number of well-known models such as ARMA and ARIMA. Providing contemporary coverage, the book features several useful and newlydeveloped techniques such as weak and strong dependence, Bayesian methods, non-Gaussian data, local stationarity, missing values and outliers, and threshold models. Time Series Analysis includes practical applications of time series methods throughout, as well as: Real-world examples and exercise sets that allow readers to practice the presented methods and techniques Numerous detailed analyses of computational aspects related to the implementation of methodologies including algorithm efficiency, arithmetic complexity, and process time End-of-chapter proposed problems and bibliographical notes to deepen readers’ knowledge of the presented material Appendices that contain details on fundamental concepts and select solutions of the problems implemented throughout A companion website with additional data fi les and computer codes Time Series Analysis is an excellent textbook for undergraduate and beginning graduate-level courses in time series as well as a supplement for students in advanced statistics, mathematics, economics, finance, engineering, and physics. The book is also a useful reference for researchers and practitioners in time series analysis, econometrics, and finance. Wilfredo Palma, PhD, is Professor of Statistics in the Department of Statistics at Pontificia Universidad Católica de Chile. He has published several refereed articles and has received over a dozen academic honors and awards. His research interests include time series analysis, prediction theory, state space systems, linear models, and econometrics. He is the author of Long-Memory Time Series: Theory and Methods, also published by Wiley.
Download or read book The Analysis of Time Series written by Chris Chatfield and published by CRC Press. This book was released on 2019-04-25 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis. The book covers a wide range of topics, including ARIMA models, forecasting methods, spectral analysis, linear systems, state-space models, the Kalman filters, nonlinear models, volatility models, and multivariate models. It also presents many examples and implementations of time series models and methods to reflect advances in the field. Highlights of the seventh edition: A new chapter on univariate volatility models A revised chapter on linear time series models A new section on multivariate volatility models A new section on regime switching models Many new worked examples, with R code integrated into the text The book can be used as a textbook for an undergraduate or a graduate level time series course in statistics. The book does not assume many prerequisites in probability and statistics, so it is also intended for students and data analysts in engineering, economics, and finance.
Download or read book Design and Analysis of Time Series Experiments written by Richard McCleary and published by Oxford University Press. This book was released on 2017-05-11 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: Design and Analysis of Time Series Experiments presents the elements of statistical time series analysis while also addressing recent developments in research design and causal modeling. A distinguishing feature of the book is its integration of design and analysis of time series experiments. Readers learn not only how-to skills but also the underlying rationales for design features and analytical methods. ARIMA algebra, Box-Jenkins-Tiao models and model-building strategies, forecasting, and Box-Tiao impact models are developed in separate chapters. The presentation of the models and model-building assumes only exposure to an introductory statistics course, with more difficult mathematical material relegated to appendices. Separate chapters cover threats to statistical conclusion validity, internal validity, construct validity, and external validity with an emphasis on how these threats arise in time series experiments. Design structures for controlling the threats are presented and illustrated through examples. The chapters on statistical conclusion validity and internal validity introduce Bayesian methods, counterfactual causality, and synthetic control group designs. Building on the earlier time series books by McCleary and McDowall, Design and Analysis of Time Series Experiments includes recent developments in modeling, and considers design issues in greater detail than does any existing work. Drawing examples from criminology, economics, education, pharmacology, public policy, program evaluation, public health, and psychology, the text is addressed to researchers and graduate students in a wide range of behavioral, biomedical and social sciences. It will appeal to those who want to conduct or interpret time series experiments, as well as to those interested in research designs for causal inference.
Download or read book Applied Time Series Analysis with R written by Wayne A. Woodward and published by CRC Press. This book was released on 2017-02-17 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Virtually any random process developing chronologically can be viewed as a time series. In economics closing prices of stocks, the cost of money, the jobless rate, and retail sales are just a few examples of many. Developed from course notes and extensively classroom-tested, Applied Time Series Analysis with R, Second Edition includes examples across a variety of fields, develops theory, and provides an R-based software package to aid in addressing time series problems in a broad spectrum of fields. The material is organized in an optimal format for graduate students in statistics as well as in the natural and social sciences to learn to use and understand the tools of applied time series analysis. Features Gives readers the ability to actually solve significant real-world problems Addresses many types of nonstationary time series and cutting-edge methodologies Promotes understanding of the data and associated models rather than viewing it as the output of a "black box" Provides the R package tswge available on CRAN which contains functions and over 100 real and simulated data sets to accompany the book. Extensive help regarding the use of tswge functions is provided in appendices and on an associated website. Over 150 exercises and extensive support for instructors The second edition includes additional real-data examples, uses R-based code that helps students easily analyze data, generate realizations from models, and explore the associated characteristics. It also adds discussion of new advances in the analysis of long memory data and data with time-varying frequencies (TVF).
