Time Series Analysis by State Space Methods

Author: James Durbin
Publisher: Oxford University Press
ISBN: 9780199641178
Release Date: 2012-05-03
Genre: Business & Economics

This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis providing a more comprehensive treatment, including the filtering of nonlinear and non-Gaussian series. The book provides an excellent source for the development of practical courses on time series analysis.

Wahrscheinlichkeitsrechnung und Statistik

Author: Robert Hafner
Publisher: Springer-Verlag
ISBN: 9783709169445
Release Date: 2013-03-11
Genre: Mathematics

Das Buch ist eine Einführung in die Wahrscheinlichkeitsrechnung und mathematische Statistik auf mittlerem mathematischen Niveau. Die Pädagogik der Darstellung unterscheidet sich in wesentlichen Teilen – Einführung der Modelle für unabhängige und abhängige Experimente, Darstellung des Suffizienzbegriffes, Ausführung des Zusammenhanges zwischen Testtheorie und Theorie der Bereichschätzung, allgemeine Diskussion der Modellentwicklung – erheblich von der anderer vergleichbarer Lehrbücher. Die Darstellung ist, soweit auf diesem Niveau möglich, mathematisch exakt, verzichtet aber bewußt und ebenfalls im Gegensatz zu vergleichbaren Texten auf die Erörterung von Meßbarkeitsfragen. Der Leser wird dadurch erheblich entlastet, ohne daß wesentliche Substanz verlorengeht. Das Buch will allen, die an der Anwendung der Statistik auf solider Grundlage interessiert sind, eine Einführung bieten, und richtet sich an Studierende und Dozenten aller Studienrichtungen, für die mathematische Statistik ein Werkzeug ist.

An Introduction to State Space Time Series Analysis

Author: Jacques J. F. Commandeur
Publisher: OUP Oxford
ISBN: 9780191607806
Release Date: 2007-07-19
Genre: Business & Economics

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.

Zeitreihenmodelle

Author: Andrew C. Harvey
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 9783486786743
Release Date: 2018-11-05
Genre: Business & Economics

Gegenstand des Werkes sind Analyse und Modellierung von Zeitreihen. Es wendet sich an Studierende und Praktiker aller Disziplinen, in denen Zeitreihenbeobachtungen wichtig sind.

Long Memory Time Series

Author: Wilfredo Palma
Publisher: John Wiley & Sons
ISBN: 9780470131459
Release Date: 2007-04-27
Genre: Mathematics

A self-contained, contemporary treatment of the analysis of long-range dependent data Long-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures. To facilitate understanding, the book: Assumes a basic knowledge of calculus and linear algebra and explains the more advanced statistical and mathematical concepts Features numerous examples that accelerate understanding and illustrate various consequences of the theoretical results Proves all theoretical results (theorems, lemmas, corollaries, etc.) or refers readers to resources with further demonstration Includes detailed analyses of computational aspects related to the implementation of the methodologies described, including algorithm efficiency, arithmetic complexity, CPU times, and more Includes proposed problems at the end of each chapter to help readers solidify their understanding and practice their skills A valuable real-world reference for researchers and practitioners in time series analysis, economerics, finance, and related fields, this book is also excellent for a beginning graduate-level course in long-memory processes or as a supplemental textbook for those studying advanced statistics, mathematics, economics, finance, engineering, or physics. A companion Web site is available for readers to access the S-Plus and R data sets used within the text.

Restricted Kalman Filtering

Author: Adrian Pizzinga
Publisher: Springer Science & Business Media
ISBN: 9781461447382
Release Date: 2012-07-25
Genre: Mathematics

​​​​​​​​ ​In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter – each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics).

Technische Mechanik Statik

Author: Günther Holzmann
Publisher: Springer-Verlag
ISBN: 3834808253
Release Date: 2009-09-15
Genre: Technology & Engineering

Dieses Lehrbuch gibt eine theoretisch fundierte und zugleich praxisorientierte Einführung in die Statik. Die Besonderheit des didaktischen Konzepts besteht darin, dass jeweils strukturiert-verständliche theoretische Einführungen durch eine Vielzahl von Beispielen und Aufgaben illustriert und vertieft werden. Damit wird den Studierenden anschauliches Lernen und das selbstständige Erarbeiten des Stoffes ermöglicht. In der aktuellen Auflage wurde die qualitative Überarbeitung der Bilder fortgesetzt und abgeschlossen; typografische Hervorhebungen wurden eingearbeitet sowie zahlreiche konstruktive Hinweise der Leser umgesetzt. Der Inhalt Darstellung physikalischer Größen - Einführung in die Vektorrechnung - Grundbegriffe und Axiome der Statik starrer Körper - Ebenes Kräftesystem mit einem gemeinsamen Angriffspunkt - Allgemeines ebenes Kräftesystem - Schwerpunkt - Systeme aus starren Scheiben - Ebene Fachwerke - Einführung in die räumliche Statik - Schnittgrößen des Balkens - Haftung und Reibung - Lösungen zu den Aufgaben Die Zielgruppe Studierende der Ingenieurwissenschaften an Fachhochschulen und Technischen Universitäten Die Autoren Prof. Dr.-Ing. Georg Schumpich †, Fachhochschule Hannover Prof. Dr.-Ing. Hans-Joachim Dreyer lehrte an der Hochschule für Angewandte Wissenschaften, Hamburg. Prof. Dr.-Ing. Conrad Eller lehrt im Fachbereich Maschinenbau der Hochschule Niederrhein, Krefeld Technische Mechanik und Finite-Element-Methoden.

State Space and Unobserved Component Models

Author: Andrew Harvey
Publisher: Cambridge University Press
ISBN: 052183595X
Release Date: 2004-06-10
Genre: Business & Economics

This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With fourteen chapters from twenty-three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science, medicine and engineering. The book is divided into four sections: introductory papers, testing, Bayesian inference and the bootstrap, and applications. It will give those unfamiliar with state space models a flavour of the work being carried out as well as providing experts with valuable state of the art summaries of different topics. Offering a useful reference for all, this accessible volume makes a significant contribution to the literature of this discipline.

konometrie f r Dummies

Author: Roberto Pedace
Publisher: John Wiley & Sons
ISBN: 9783527801527
Release Date: 2015-10-09
Genre: Business & Economics

Theorien verstehen und Techniken anwenden Was haben die Gehälter von Spitzensportlern und der Mindestlohn gemeinsam? Richtig, man kann sie mit Ökonometrie erforschen. Im Buch steht, wie es geht. Und nicht nur dafür, sondern für viele weitere Gebiete lohnt es sich, der zunächst etwas trocken und sperrig anmutenden Materie eine Chance zu geben. Lernen Sie von den Autoren, wie Sie spannende Fragen formulieren, passende Variablen festlegen, treffsichere Modelle entwerfen und Ihre Aussagen auf Herz und Nieren prüfen. Werden Sie sicher im Umgang mit Hypothesentests, Regressionsmodellen, Logit- & Probit-Modellen und allen weiteren gängigen Methoden der Ökonometrie. So begleitet Ökonometrie für Dummies Sie Schritt für Schritt und mit vielen Beispielen samt R Output durch dieses spannende Thema.

MPI Eine Einf hrung

Author: William Gropp
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 9783486841008
Release Date: 2007-01-01
Genre: Computers

Message Passing Interface (MPI) ist ein Protokoll, das parallel Berechnungen auf verteilten, heterogenen, lose-gekoppelten Computersystemen ermöglicht.

Modeling Techniques in Predictive Analytics

Author: Thomas W. Miller
Publisher: FT Press
ISBN: 9780133886191
Release Date: 2014-09-29
Genre: Computers

To succeed with predictive analytics, you must understand it on three levels: Strategy and management Methods and models Technology and code This up-to-the-minute reference thoroughly covers all three categories. Now fully updated, this uniquely accessible book will help you use predictive analytics to solve real business problems and drive real competitive advantage. If you’re new to the discipline, it will give you the strong foundation you need to get accurate, actionable results. If you’re already a modeler, programmer, or manager, it will teach you crucial skills you don’t yet have. Unlike competitive books, this guide illuminates the discipline through realistic vignettes and intuitive data visualizations–not complex math. Thomas W. Miller, leader of Northwestern University’s pioneering program in predictive analytics, guides you through defining problems, identifying data, crafting and optimizing models, writing effective R code, interpreting results, and more. Every chapter focuses on one of today’s key applications for predictive analytics, delivering skills and knowledge to put models to work–and maximize their value. Reflecting extensive student and instructor feedback, this edition adds five classroom-tested case studies, updates all code for new versions of R, explains code behavior more clearly and completely, and covers modern data science methods even more effectively. All data sets, extensive R code, and additional examples available for download at http://www.ftpress.com/miller If you want to make the most of predictive analytics, data science, and big data, this is the book for you. Thomas W. Miller’s unique balanced approach combines business context and quantitative tools, appealing to managers, analysts, programmers, and students alike. Miller addresses multiple business cases and challenges, including segmentation, brand positioning, product choice modeling, pricing research, finance, sports, text analytics, sentiment analysis, and social network analysis. He illuminates the use of cross-sectional data, time series, spatial, and spatio-temporal data. You’ll learn why each problem matters, what data are relevant, and how to explore the data you’ve identified. Miller guides you through conceptually modeling each data set with words and figures; and then modeling it again with realistic R programs that deliver actionable insights. You’ll walk through model construction, explanatory variable subset selection, and validation, mastering best practices for improving out-of-sample predictive performance. Throughout, Miller employs data visualization and statistical graphics to help you explore data, present models, and evaluate performance. This edition adds five new case studies, updates all code for the newest versions of R, adds more commenting to clarify how the code works, and offers a more detailed and up-to-date primer on data science methods. Gain powerful, actionable, profitable insights about: Advertising and promotion Consumer preference and choice Market baskets and related purchases Economic forecasting Operations management Unstructured text and language Customer sentiment Brand and price Sports team performance And much more