Copula Based Markov Models For Time Series
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| Author | : Li-Hsien Sun |
| Publisher | : Springer Nature |
| Total Pages | : 141 |
| Release | : 2020-07-01 |
| Genre | : Business & Economics |
| ISBN | : 9811549982 |
This book provides statistical methodologies for time series data, focusing on copula-based Markov chain models for serially correlated time series. It also includes data examples from economics, engineering, finance, sport and other disciplines to illustrate the methods presented. An accessible textbook for students in the fields of economics, management, mathematics, statistics, and related fields wanting to gain insights into the statistical analysis of time series data using copulas, the book also features stand-alone chapters to appeal to researchers. As the subtitle suggests, the book highlights parametric models based on normal distribution, t-distribution, normal mixture distribution, Poisson distribution, and others. Presenting likelihood-based methods as the main statistical tools for fitting the models, the book details the development of computing techniques to find the maximum likelihood estimator. It also addresses statistical process control, as well as Bayesian and regression methods. Lastly, to help readers analyze their data, it provides computer codes (R codes) for most of the statistical methods.
| Author | : Torben Gustav Andersen |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 1045 |
| Release | : 2009-04-21 |
| Genre | : Business & Economics |
| ISBN | : 3540712976 |
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.
| Author | : Walter Zucchini |
| Publisher | : CRC Press |
| Total Pages | : 370 |
| Release | : 2017-12-19 |
| Genre | : Mathematics |
| ISBN | : 1482253844 |
Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture-recapture data
| Author | : Ramazan Gençay |
| Publisher | : Elsevier |
| Total Pages | : 411 |
| Release | : 2001-05-29 |
| Genre | : Business & Economics |
| ISBN | : 008049904X |
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
| Author | : William R. Bell |
| Publisher | : CRC Press |
| Total Pages | : 544 |
| Release | : 2018-11-14 |
| Genre | : Mathematics |
| ISBN | : 1439846588 |
Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s
| Author | : Umberto Cherubini |
| Publisher | : Springer |
| Total Pages | : 99 |
| Release | : 2016-12-01 |
| Genre | : Business & Economics |
| ISBN | : 3319480154 |
This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.
| Author | : Lan Zhang |
| Publisher | : Cambridge University Press |
| Total Pages | : 621 |
| Release | : 2019-01-10 |
| Genre | : Science |
| ISBN | : 1108638414 |
Complex environmental and hydrological processes are characterized by more than one correlated random variable. These events are multivariate and their treatment requires multivariate frequency analysis. Traditional analysis methods are, however, too restrictive and do not apply in many cases. Recent years have therefore witnessed numerous applications of copulas to multivariate hydrologic frequency analyses. This book describes the basic concepts of copulas, and outlines current trends and developments in copula methodology and applications. It includes an accessible discussion of the methods alongside simple step-by-step sample calculations. Detailed case studies with real-world data are included, and are organized based on applications, such as flood frequency analysis and water quality analysis. Illustrating how to apply the copula method to multivariate frequency analysis, engineering design, and risk and uncertainty analysis, this book is ideal for researchers, professionals and graduate students in hydrology and water resources engineering.
| Author | : Eyal Winter |
| Publisher | : PublicAffairs |
| Total Pages | : 289 |
| Release | : 2014-12-30 |
| Genre | : Business & Economics |
| ISBN | : 1610394917 |
Which is smarter -- your head or your gut? It's a familiar refrain: you're getting too emotional. Try and think rationally. But is it always good advice? In this surprising book, Eyal Winter asks a simple question: why do we have emotions? If they lead to such bad decisions, why hasn't evolution long since made emotions irrelevant? The answer is that, even though they may not behave in a purely logical manner, our emotions frequently lead us to better, safer, more optimal outcomes. In fact, as Winter discovers, there is often logic in emotion, and emotion in logic. For instance, many mutually beneficial commitments -- such as marriage, or being a member of a team -- are only possible when underscored by emotion rather than deliberate thought. The difference between pleasurable music and bad noise is mathematically precise; yet it is also something we feel at an instinctive level. And even though people are usually overconfident -- how can we all be above average? -- we often benefit from our arrogance. Feeling Smart brings together game theory, evolution, and behavioral science to produce a surprising and very persuasive defense of how we think, even when we don't.
| Author | : Eric Zivot |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 632 |
| Release | : 2013-11-11 |
| Genre | : Business & Economics |
| ISBN | : 0387217630 |
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
| Author | : Harry Joe |
| Publisher | : CRC Press |
| Total Pages | : 479 |
| Release | : 2014-06-26 |
| Genre | : Mathematics |
| ISBN | : 1466583231 |
Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured facto
