Download or read book Asymptotic Nonparametric Statistical Analysis of Stationary Time Series written by Daniil Ryabko and published by Springer. This book was released on 2019-03-07 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stationarity is a very general, qualitative assumption, that can be assessed on the basis of application specifics. It is thus a rather attractive assumption to base statistical analysis on, especially for problems for which less general qualitative assumptions, such as independence or finite memory, clearly fail. However, it has long been considered too general to be able to make statistical inference. One of the reasons for this is that rates of convergence, even of frequencies to the mean, are not available under this assumption alone. Recently, it has been shown that, while some natural and simple problems, such as homogeneity, are indeed provably impossible to solve if one only assumes that the data is stationary (or stationary ergodic), many others can be solved with rather simple and intuitive algorithms. The latter include clustering and change point estimation among others. In this volume these results are summarize. The emphasis is on asymptotic consistency, since this the strongest property one can obtain assuming stationarity alone. While for most of the problem for which a solution is found this solution is algorithmically realizable, the main objective in this area of research, the objective which is only partially attained, is to understand what is possible and what is not possible to do for stationary time series. The considered problems include homogeneity testing (the so-called two sample problem), clustering with respect to distribution, clustering with respect to independence, change point estimation, identity testing, and the general problem of composite hypotheses testing. For the latter problem, a topological criterion for the existence of a consistent test is presented. In addition, a number of open problems is presented.
Download or read book Statistical Analysis of Stationary Time Series written by Ulf Grenander and published by . This book was released on 1957 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Theory of Statistical Inference for Time Series written by Masanobu Taniguchi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 671 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary aim of this book is to provide modern statistical techniques and theory for stochastic processes. The stochastic processes mentioned here are not restricted to the usual AR, MA, and ARMA processes. A wide variety of stochastic processes, including non-Gaussian linear processes, long-memory processes, nonlinear processes, non-ergodic processes and diffusion processes are described. The authors discuss estimation and testing theory and many other relevant statistical methods and techniques.
Download or read book Non linear and Non stationary Time Series Analysis written by Maurice Bertram Priestley and published by . This book was released on 1988 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonlinear Time Series written by Jiti Gao and published by CRC Press. This book was released on 2007-03-22 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully
Download or read book Developments in Time Series Analysis written by T. Subba Rao and published by CRC Press. This book was released on 1993-07-01 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains 27 papers, written by time series analysts, dealing with statistical theory, methodology and applications. The emphasis is on the recent developments in the analysis of linear, onlinear (non-Gaussian), stationary and nonstationary time series. The topics include cointegration, estimation and asymptotic theory, Kalman filtering, nonparametric statistical inference, long memory models, nonlinear models, spectral analysis of stationary and nonstationary processes. Quite a number of papers are devoted to modelling and analysis of real time series, and the econometricians, mathematical statisticians, communications engineers and scientists who use time series techniques and Fourier analysis should find the papers in this volume useful.
Download or read book Asymptotics Nonparametrics and Time Series written by Subir Ghosh and published by CRC Press. This book was released on 1999-02-18 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Contains over 2500 equations and exhaustively covers not only nonparametrics but also parametric, semiparametric, frequentist, Bayesian, bootstrap, adaptive, univariate, and multivariate statistical methods, as well as practical uses of Markov chain models."
Download or read book Athens Conference on Applied Probability and Time Series Analysis written by P.M. Robinson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Athens Conference on Applied Probability and Time Series in 1995 brought together researchers from across the world. The published papers appear in two volumes. Volume II presents papers on time series analysis, many of which were contributed to a meeting in March 1995 partly in honour of E.J. Hannan. The initial paper by P.M. Robinson discusses Ted Hannan's researches and their influence on current work in time series analysis. Other papers discuss methods for finite parameter Gaussian models, time series with infinite variance or stable marginal distribution, frequency domain methods, long range dependent processes, nonstationary processes, and nonlinear time series. The methods presented can be applied in a number of fields such as statistics, applied mathematics, engineering, economics and ecology. The papers include many of the topics of current interest in time series analysis and will be of interest to a wide range of researchers.
Download or read book Madan Lal Puri Selected Collected Works written by Madan Lal Puri and published by VSP. This book was released on 2003-01-01 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professor Puri is one of the most versatile and prolific researchers in the world in mathematical statistics. His research areas include nonparametric statistics, order statistics, limit theory under mixing, time series, splines, tests of normality, generalized inverses of matrices and related topics, stochastic processes, statistics of directional data, random sets, and fuzzy sets and fuzzy measures. His fundamental contributions in developing new rank-based methods and precise evaluation of the standard procedures, asymptotic expansions of distributions of rank statistics, as well as large deviation results concerning them, span such areas as analysis of variance, analysis of covariance, multivariate analysis, and time series, to mention a few. His in-depth analysis has resulted in pioneering research contributions to prominent journals that have substantial impact on current research. This book together with the other two volumes (Volume 1: Nonparametric Methods in Statistics and Related Topics; Volume 2: Probability Theory and Extreme Value Theory), are a concerted effort to make his research works easily available to the research community. The sheer volume of the research output by him and his collaborators, coupled with the broad spectrum of the subject matters investigated, and the great number of outlets where the papers were published, attach special significance in making these works easily accessible. The papers selected for inclusion in this work have been classified into three volumes each consisting of several parts. All three volumes carry a final part consisting of the contents of the other two, as well as the complete list of Professor Puri's publications.
Download or read book Nonlinear Time Series written by Jianqing Fan and published by Springer Science & Business Media. This book was released on 2008-09-11 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book that integrates useful parametric and nonparametric techniques with time series modeling and prediction, the two important goals of time series analysis. Such a book will benefit researchers and practitioners in various fields such as econometricians, meteorologists, biologists, among others who wish to learn useful time series methods within a short period of time. The book also intends to serve as a reference or text book for graduate students in statistics and econometrics.
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 Time Series Fuzzy Analysis and Miscellaneous Topics written by Madan Lal Puri and published by Walter de Gruyter. This book was released on 2011-08-02 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professor Puri is one of the most versatile and prolific researchers in the world in mathematical statistics. His research areas include nonparametric statistics, order statistics, limit theory under mixing, time series, splines, tests of normality, generalized inverses of matrices and related topics, stochastic processes, statistics of directional data, random sets, and fuzzy sets and fuzzy measures. His fundamental contributions in developing new rank-based methods and precise evaluation of the standard procedures, asymptotic expansions of distributions of rank statistics, as well as large deviation results concerning them, span such areas as analysis of variance, analysis of covariance, multivariate analysis, and time series, to mention a few. His in-depth analysis has resulted in pioneering research contributions to prominent journals that have substantial impact on current research.This book together with the other two volumes (Volume 1: Nonparametric Methods in Statistics and Related Topics; Volume 2: Probability Theory and Extreme Value Theory), are a concerted effort to make his research works easily available to the research community. The sheer volume of the research output by him and his collaborators, coupled with the broad spectrum of the subject matters investigated, and the great number of outlets where the papers were published, attach special significance in making these works easily accessible.The papers selected for inclusion in this work have been classified into three volumes each consisting of several parts. All three volumes carry a final part consisting of the contents of the other two, as well as the complete list of Professor Puri's publications.
Download or read book Statistical Analysis of Non stationary Time Series written by Hernando Ombao and published by . This book was released on 1999 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time Series written by David R. Brillinger and published by SIAM. This book was released on 2001-09-01 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text employs basic techniques of univariate and multivariate statistics for the analysis of time series and signals.
Download or read book Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series written by K. Dzhaparidze and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: . . ) (under the assumption that the spectral density exists). For this reason, a vast amount of periodical and monographic literature is devoted to the nonparametric statistical problem of estimating the function tJ( T) and especially that of leA) (see, for example, the books [4,21,22,26,56,77,137,139,140,]). However, the empirical value t;; of the spectral density I obtained by applying a certain statistical procedure to the observed values of the variables Xl' . . . , X , usually depends in n a complicated manner on the cyclic frequency). . This fact often presents difficulties in applying the obtained estimate t;; of the function I to the solution of specific problems rela ted to the process X . Theref ore, in practice, the t obtained values of the estimator t;; (or an estimator of the covariance function tJ~( T» are almost always "smoothed," i. e. , are approximated by values of a certain sufficiently simple function 1 = 1
Download or read book Time Series Analysis Papers written by Emanuel Parzen and published by . This book was released on 1967 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt: On consistent estimates of the spectral density of a stationary time series; Analysis of a general system for the detection of amplitude-modulated noise; A central limit theorem for multilinear stochastic processes; Conditions that a stochastic process ber egodic; On consistent estimates of the spectrum of a stationary time series; On choosing an estimate of the spectral density function of a stationary time series; On asymptotically efficient consistent estimates of the spectral density function of a stationary time series; General considerations in the analysis of spectra; Mathematical considerations in the estimation of spectra; Spectral analysis of asymptotically stationary time series; On spectral analysis with missing observations and amplitude modulation; Notes on fourier analysis and spectral windows; Statistical inference on time series by Hilbert space methods; An approach to time series analysis; Regression analysis of continuous parameter time series; A new approach to the synthesis of optimal smoothing and prediction systems; Probability density functionals and reproducing kernel hilbert spaces; Extraction and detection problems and reproducing kernel hilbert spaces; On estimation of a probability density function and mode; On models for the probability of fatigue failure of a structure; An approach to empirical time series analysis.
Download or read book STATISTICAL ANALYSIS OF STATIONARY TIME SERIES written by ULF. GRENANDER and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: