Discrete Valued Time Series
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| Author | : Christian H. Weiss |
| Publisher | : John Wiley & Sons |
| Total Pages | : 300 |
| Release | : 2018-02-05 |
| Genre | : Mathematics |
| ISBN | : 1119096960 |
A much-needed introduction to the field of discrete-valued time series, with a focus on count-data time series Time series analysis is an essential tool in a wide array of fields, including business, economics, computer science, epidemiology, finance, manufacturing and meteorology, to name just a few. Despite growing interest in discrete-valued time series—especially those arising from counting specific objects or events at specified times—most books on time series give short shrift to that increasingly important subject area. This book seeks to rectify that state of affairs by providing a much needed introduction to discrete-valued time series, with particular focus on count-data time series. The main focus of this book is on modeling. Throughout numerous examples are provided illustrating models currently used in discrete-valued time series applications. Statistical process control, including various control charts (such as cumulative sum control charts), and performance evaluation are treated at length. Classic approaches like ARMA models and the Box-Jenkins program are also featured with the basics of these approaches summarized in an Appendix. In addition, data examples, with all relevant R code, are available on a companion website. Provides a balanced presentation of theory and practice, exploring both categorical and integer-valued series Covers common models for time series of counts as well as for categorical time series, and works out their most important stochastic properties Addresses statistical approaches for analyzing discrete-valued time series and illustrates their implementation with numerous data examples Covers classical approaches such as ARMA models, Box-Jenkins program and how to generate functions Includes dataset examples with all necessary R code provided on a companion website An Introduction to Discrete-Valued Time Series is a valuable working resource for researchers and practitioners in a broad range of fields, including statistics, data science, machine learning, and engineering. It will also be of interest to postgraduate students in statistics, mathematics and economics.
| Author | : Richard A. Davis |
| Publisher | : CRC Press |
| Total Pages | : 484 |
| Release | : 2016-01-06 |
| Genre | : Mathematics |
| ISBN | : 1466577746 |
Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed ca
| Author | : Iain L. MacDonald |
| Publisher | : CRC Press |
| Total Pages | : 256 |
| Release | : 1997-01-01 |
| Genre | : Mathematics |
| ISBN | : 9780412558504 |
Discrete-valued time series are common in practice, but methods for their analysis are not well-known. In recent years, methods have been developed which are specifically designed for the analysis of discrete-valued time series. Hidden Markov and Other Models for Discrete-Valued Time Series introduces a new, versatile, and computationally tractable class of models, the "hidden Markov" models. It presents a detailed account of these models, then applies them to data from a wide range of diverse subject areas, including medicine, climatology, and geophysics. This book will be invaluable to researchers and postgraduate and senior undergraduate students in statistics. Researchers and applied statisticians who analyze time series data in medicine, animal behavior, hydrology, and sociology will also find this information useful.
| Author | : Gilles Zumbach |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 326 |
| Release | : 2012-10-04 |
| Genre | : Mathematics |
| ISBN | : 3642317421 |
Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.
| Author | : I.B. MacNeill |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 406 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 9400947909 |
On May 27-31, 1985, a series of symposia was held at The University of Western Ontario, London, Canada, to celebrate the 70th birthday of Pro fessor V. M. Joshi. These symposia were chosen to reflect Professor Joshi's research interests as well as areas of expertise in statistical science among faculty in the Departments of Statistical and Actuarial Sciences, Economics, Epidemiology and Biostatistics, and Philosophy. From these symposia, the six volumes which comprise the "Joshi Festschrift" have arisen. The 117 articles in this work reflect the broad interests and high quality of research of those who attended our conference. We would like to thank all of the contributors for their superb cooperation in helping us to complete this project. Our deepest gratitude must go to the three people who have spent so much of their time in the past year typing these volumes: Jackie Bell, Lise Constant, and Sandy Tarnowski. This work has been printed from "camera ready" copy produced by our Vax 785 computer and QMS Lasergraphix printers, using the text processing software TEX. At the initiation of this project, we were neophytes in the use of this system. Thank you, Jackie, Lise, and Sandy, for having the persistence and dedication needed to complete this undertaking.
| Author | : Robert Goodell Brown |
| Publisher | : Courier Corporation |
| Total Pages | : 486 |
| Release | : 2004-01-01 |
| Genre | : Technology & Engineering |
| ISBN | : 9780486495927 |
Computer application techniques are applied to routine short-term forecasting and prediction in this classic of operations research. The text begins with a consideration of data sources and sampling intervals, progressing to discussions of time series models and probability models. An extensive overview of smoothing techniques surveys the mathematical techniques for periodically raising the estimates of coefficients in forecasting problems. Sections on forecasting and error measurement and analysis are followed by an exploration of alternatives and the applications of the forecast to specific problems, and a treatment of the handling of systems design problems ranges from observed data to decision rules. 1963 ed.
| Author | : Ian T Jolliffe |
| Publisher | : World Scientific |
| Total Pages | : 331 |
| Release | : 2000-03-23 |
| Genre | : |
| ISBN | : 9814543284 |
There is a growing interest in programming languages and systems based on nonclassical logics such as temporal logics, interval logics, modal and intuitionistic logics. In fact, a whole new programming paradigm called 'intensional programming' has been created, with applications in a wide range of areas, including parallel programming, dataflow computation, temporal reasoning, scientific computation, real-time programming, temporal and multidimensional databases, spreadsheets, attribute grammars, and Internet programming. This volume presents ongoing research as well as future directions of this new and fascinating area of research.
| Author | : Konstantinos Fokianos |
| Publisher | : CRC Press |
| Total Pages | : 220 |
| Release | : 2020-06-30 |
| Genre | : |
| ISBN | : 9781482248050 |
| Author | : Paul P. Wang |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 489 |
| Release | : 2013-03-09 |
| Genre | : Business & Economics |
| ISBN | : 3662063735 |
Due to the ability to handle specific characteristics of economics and finance forecasting problems like e.g. non-linear relationships, behavioral changes, or knowledge-based domain segmentation, we have recently witnessed a phenomenal growth of the application of computational intelligence methodologies in this field. In this volume, Chen and Wang collected not just works on traditional computational intelligence approaches like fuzzy logic, neural networks, and genetic algorithms, but also examples for more recent technologies like e.g. rough sets, support vector machines, wavelets, or ant algorithms. After an introductory chapter with a structural description of all the methodologies, the subsequent parts describe novel applications of these to typical economics and finance problems like business forecasting, currency crisis discrimination, foreign exchange markets, or stock markets behavior.
| Author | : Terence C. Mills |
| Publisher | : Academic Press |
| Total Pages | : 354 |
| Release | : 2019-01-24 |
| Genre | : Business & Economics |
| ISBN | : 0128131179 |
Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others.
