Diagnostic Methods in Time Series

Diagnostic Methods in Time Series
Author: Fumiya Akashi
Publisher: Springer Nature
Total Pages: 117
Release: 2021-06-08
Genre: Mathematics
ISBN: 9811622647

This book contains new aspects of model diagnostics in time series analysis, including variable selection problems and higher-order asymptotics of tests. This is the first book to cover systematic approaches and widely applicable results for nonstandard models including infinite variance processes. The book begins by introducing a unified view of a portmanteau-type test based on a likelihood ratio test, useful to test general parametric hypotheses inherent in statistical models. The conditions for the limit distribution of portmanteau-type tests to be asymptotically pivotal are given under general settings, and very clear implications for the relationships between the parameter of interest and the nuisance parameter are elucidated in terms of Fisher-information matrices. A robust testing procedure against heavy-tailed time series models is also constructed in the context of variable selection problems. The setting is very reasonable in the context of financial data analysis and econometrics, and the result is applicable to causality tests of heavy-tailed time series models. In the last two sections, Bartlett-type adjustments for a class of test statistics are discussed when the parameter of interest is on the boundary of the parameter space. A nonlinear adjustment procedure is proposed for a broad range of test statistics including the likelihood ratio, Wald and score statistics.

Diagnostic Checks in Time Series

Diagnostic Checks in Time Series
Author: Wai Keung Li
Publisher: CRC Press
Total Pages: 276
Release: 2003-12-29
Genre: Mathematics
ISBN: 1135441154

Diagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks. Diagnostic Checks in Time Series helps to fill that

An Introduction to State Space Time Series Analysis

An Introduction to State Space Time Series Analysis
Author: Jacques J. F. Commandeur
Publisher: OUP Oxford
Total Pages: 192
Release: 2007-07-19
Genre: Business & Economics
ISBN: 0191607800

Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.

Forecasting: principles and practice

Forecasting: principles and practice
Author: Rob J Hyndman
Publisher: OTexts
Total Pages: 380
Release: 2018-05-08
Genre: Business & Economics
ISBN: 0987507117

Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.

Time Series Analysis: Methods and Applications

Time Series Analysis: Methods and Applications
Author: Tata Subba Rao
Publisher: Elsevier
Total Pages: 778
Release: 2012-06-26
Genre: Mathematics
ISBN: 0444538585

'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.

Time Series Analysis Univariate and Multivariate Methods

Time Series Analysis Univariate and Multivariate Methods
Author: William W. S. Wei
Publisher: Pearson
Total Pages: 648
Release: 2018-03-14
Genre: Time-series analysis
ISBN: 9780134995366

With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses of univariate and multivariate time series methods, with coverage of the most recently developed techniques in the field.

Statistical Methods in Diagnostic Medicine

Statistical Methods in Diagnostic Medicine
Author: Xiao-Hua Zhou
Publisher: John Wiley & Sons
Total Pages: 597
Release: 2014-08-21
Genre: Medical
ISBN: 1118626044

Praise for the First Edition " . . . the book is a valuable addition to the literature in the field, serving as a much-needed guide for both clinicians and advanced students."—Zentralblatt MATH A new edition of the cutting-edge guide to diagnostic tests in medical research In recent years, a considerable amount of research has focused on evolving methods for designing and analyzing diagnostic accuracy studies. Statistical Methods in Diagnostic Medicine, Second Edition continues to provide a comprehensive approach to the topic, guiding readers through the necessary practices for understanding these studies and generalizing the results to patient populations. Following a basic introduction to measuring test accuracy and study design, the authors successfully define various measures of diagnostic accuracy, describe strategies for designing diagnostic accuracy studies, and present key statistical methods for estimating and comparing test accuracy. Topics new to the Second Edition include: Methods for tests designed to detect and locate lesions Recommendations for covariate-adjustment Methods for estimating and comparing predictive values and sample size calculations Correcting techniques for verification and imperfect standard biases Sample size calculation for multiple reader studies when pilot data are available Updated meta-analysis methods, now incorporating random effects Three case studies thoroughly showcase some of the questions and statistical issues that arise in diagnostic medicine, with all associated data provided in detailed appendices. A related web site features Fortran, SAS®, and R software packages so that readers can conduct their own analyses. Statistical Methods in Diagnostic Medicine, Second Edition is an excellent supplement for biostatistics courses at the graduate level. It also serves as a valuable reference for clinicians and researchers working in the fields of medicine, epidemiology, and biostatistics.

Time Series Analysis

Time Series Analysis
Author: William W. S. Wei
Publisher: Addison-Wesley Longman
Total Pages: 648
Release: 2006
Genre: Mathematics
ISBN:

With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Overview. Fundamental Concepts. Stationary Time Series Models. Nonstationary Time Series Models. Forecasting. Model Identification. Parameter Estimation, Diagnostic Checking, and Model Selection. Seasonal Time Series Models. Testing for a Unit Root. Intervention Analysis and Outlier Detection. Fourier Analysis. Spectral Theory of Stationary Processes. Estimation of the Spectrum. Transfer Function Models. Time Series Regression and GARCH Models. Vector Time Series Models. More on Vector Time Series. State Space Models and the Kalman Filter. Long Memory and Nonlinear Processes. Aggregation and Systematic Sampling in Time Series. For all readers interested in time series analysis.

Robust Monitoring, Diagnostic Methods and Tools for Engineered Systems

Robust Monitoring, Diagnostic Methods and Tools for Engineered Systems
Author: Eleni N. Chatzi
Publisher: Frontiers Media SA
Total Pages: 208
Release: 2020-10-23
Genre: Technology & Engineering
ISBN: 2889660885

This eBook is a collection of articles from a Frontiers Research Topic. Frontiers Research Topics are very popular trademarks of the Frontiers Journals Series: they are collections of at least ten articles, all centered on a particular subject. With their unique mix of varied contributions from Original Research to Review Articles, Frontiers Research Topics unify the most influential researchers, the latest key findings and historical advances in a hot research area! Find out more on how to host your own Frontiers Research Topic or contribute to one as an author by contacting the Frontiers Editorial Office: frontiersin.org/about/contact.