Multivariate Time Series Analysis And Applications

Author : William W. S. Wei
Publisher : John Wiley & Sons
Page : 536 pages
File Size : 44,8 Mb
Release : 2019-03-18
Category : Mathematics
ISBN : 9781119502852

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Multivariate Time Series Analysis and Applications by William W. S. Wei Pdf

An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.

Author : Ruey S. Tsay
Publisher : John Wiley & Sons
Page : 520 pages
File Size : 52,7 Mb
Release : 2013-11-11
Category : Mathematics
ISBN : 9781118617755

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Multivariate Time Series Analysis by Ruey S. Tsay Pdf

An accessible guide to the multivariate time series toolsused in numerous real-world applications Multivariate Time Series Analysis: With R and FinancialApplications is the much anticipated sequel coming from one ofthe most influential and prominent experts on the topic of timeseries. Through a fundamental balance of theory and methodology,the book supplies readers with a comprehensible approach tofinancial econometric models and their applications to real-worldempirical research. Differing from the traditional approach to multivariate timeseries, the book focuses on reader comprehension by emphasizingstructural specification, which results in simplified parsimoniousVAR MA modeling. Multivariate Time Series Analysis: With R andFinancial Applications utilizes the freely available Rsoftware package to explore complex data and illustrate relatedcomputation and analyses. Featuring the techniques and methodologyof multivariate linear time series, stationary VAR models, VAR MAtime series and models, unitroot process, factor models, andfactor-augmented VAR models, the book includes: • Over 300 examples and exercises to reinforce thepresented content • User-friendly R subroutines and research presentedthroughout to demonstrate modern applications • Numerous datasets and subroutines to provide readerswith a deeper understanding of the material Multivariate Time Series Analysis is an ideal textbookfor graduate-level courses on time series and quantitative financeand upper-undergraduate level statistics courses in time series.The book is also an indispensable reference for researchers andpractitioners in business, finance, and econometrics.

Author : Gregory C. Reinsel
Publisher : Springer Science & Business Media
Page : 278 pages
File Size : 40,6 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781468401981

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Elements of Multivariate Time Series Analysis by Gregory C. Reinsel Pdf

The use of methods of time series analysis in the study of multivariate time series has become of increased interest in recent years. Although the methods are rather well developed and understood for univarjate time series analysis, the situation is not so complete for the multivariate case. This book is designed to introduce the basic concepts and methods that are useful in the analysis and modeling of multivariate time series, with illustrations of these basic ideas. The development includes both traditional topics such as autocovariance and auto correlation matrices of stationary processes, properties of vector ARMA models, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and model checking diagnostics for residuals, as well as topics of more recent interest for vector ARMA models such as reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate unit-root models and cointegration structure, and state-space models and Kalman filtering techniques and applications. This book concentrates on the time-domain analysis of multivariate time series, and the important subject of spectral analysis is not considered here. For that topic, the reader is referred to the excellent books by Jenkins and Watts (1968), Hannan (1970), Priestley (1981), and others.

Author : William W. S. Wei
Publisher : Pearson
Page : 648 pages
File Size : 49,6 Mb
Release : 2018-03-14
Category : Time-series analysis
ISBN : 0134995368

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Time Series Analysis Univariate and Multivariate Methods by William W. S. Wei Pdf

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.

Author : Robert H. Shumway,David S. Stoffer
Publisher : Unknown
Page : 568 pages
File Size : 44,8 Mb
Release : 2014-01-15
Category : Electronic
ISBN : 1475732627

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Time Series Analysis and Its Applications by Robert H. Shumway,David S. Stoffer Pdf

Author : Massimo Guidolin,Manuela Pedio
Publisher : Academic Press
Page : 435 pages
File Size : 52,9 Mb
Release : 2018-05-29
Category : Business & Economics
ISBN : 9780128134108

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Essentials of Time Series for Financial Applications by Massimo Guidolin,Manuela Pedio Pdf

Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. Provides practical, hands-on examples in time-series econometrics Presents a more application-oriented, less technical book on financial econometrics Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction Features examples worked out in EViews (9 or higher)

Author : Björn Schelter,Matthias Winterhalder,Jens Timmer
Publisher : John Wiley & Sons
Page : 514 pages
File Size : 44,7 Mb
Release : 2006-12-13
Category : Science
ISBN : 9783527609512

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Handbook of Time Series Analysis by Björn Schelter,Matthias Winterhalder,Jens Timmer Pdf

This handbook provides an up-to-date survey of current research topics and applications of time series analysis methods written by leading experts in their fields. It covers recent developments in univariate as well as bivariate and multivariate time series analysis techniques ranging from physics' to life sciences' applications. Each chapter comprises both methodological aspects and applications to real world complex systems, such as the human brain or Earth's climate. Covering an exceptionally broad spectrum of topics, beginners, experts and practitioners who seek to understand the latest developments will profit from this handbook.

Author : Peter J. Brockwell,Richard A. Davis
Publisher : Springer Science & Business Media
Page : 437 pages
File Size : 42,9 Mb
Release : 2006-04-10
Category : Computers
ISBN : 9780387216577

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Introduction to Time Series and Forecasting by Peter J. Brockwell,Richard A. Davis Pdf

This is an introduction to time series that emphasizes methods and analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills. Statisticians and students will learn the latest methods in time series and forecasting, along with modern computational models and algorithms.

Author : Ignacio Rojas,Héctor Pomares,Olga Valenzuela
Publisher : Springer
Page : 340 pages
File Size : 41,5 Mb
Release : 2018-10-03
Category : Business & Economics
ISBN : 9783319969442

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Time Series Analysis and Forecasting by Ignacio Rojas,Héctor Pomares,Olga Valenzuela Pdf

This book presents selected peer-reviewed contributions from the International Work-Conference on Time Series, ITISE 2017, held in Granada, Spain, September 18-20, 2017. It discusses topics in time series analysis and forecasting, including advanced mathematical methodology, computational intelligence methods for time series, dimensionality reduction and similarity measures, econometric models, energy time series forecasting, forecasting in real problems, online learning in time series as well as high-dimensional and complex/big data time series. The series of ITISE conferences provides a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting. It focuses on interdisciplinary and multidisciplinary research encompassing computer science, mathematics, statistics and econometrics.

Author : Douglas C. Montgomery,Cheryl L. Jennings,Murat Kulahci
Publisher : John Wiley & Sons
Page : 672 pages
File Size : 40,6 Mb
Release : 2015-04-21
Category : Mathematics
ISBN : 9781118745151

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Introduction to Time Series Analysis and Forecasting by Douglas C. Montgomery,Cheryl L. Jennings,Murat Kulahci Pdf

Praise for the First Edition "...[t]he book is great for readers who need to apply the methods and models presented but have little background in mathematics and statistics." -MAA Reviews Thoroughly updated throughout, Introduction to Time Series Analysis and Forecasting, Second Edition presents the underlying theories of time series analysis that are needed to analyze time-oriented data and construct real-world short- to medium-term statistical forecasts. Authored by highly-experienced academics and professionals in engineering statistics, the Second Edition features discussions on both popular and modern time series methodologies as well as an introduction to Bayesian methods in forecasting. Introduction to Time Series Analysis and Forecasting, Second Edition also includes: Over 300 exercises from diverse disciplines including health care, environmental studies, engineering, and finance More than 50 programming algorithms using JMP®, SAS®, and R that illustrate the theory and practicality of forecasting techniques in the context of time-oriented data New material on frequency domain and spatial temporal data analysis Expanded coverage of the variogram and spectrum with applications as well as transfer and intervention model functions A supplementary website featuring PowerPoint® slides, data sets, and select solutions to the problems Introduction to Time Series Analysis and Forecasting, Second Edition is an ideal textbook upper-undergraduate and graduate-levels courses in forecasting and time series. The book is also an excellent reference for practitioners and researchers who need to model and analyze time series data to generate forecasts.

Author : Jonathan D. Cryer,Kung-Sik Chan
Publisher : Springer Science & Business Media
Page : 501 pages
File Size : 49,6 Mb
Release : 2008-04-04
Category : Business & Economics
ISBN : 9780387759586

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Time Series Analysis by Jonathan D. Cryer,Kung-Sik Chan Pdf

This book presents an accessible approach to understanding time series models and their applications. The ideas and methods are illustrated with both real and simulated data sets. A unique feature of this edition is its integration with the R computing environment.

Author : William W. S. Wei
Publisher : Addison-Wesley Longman
Page : 648 pages
File Size : 50,8 Mb
Release : 2006
Category : Time-series analysis
ISBN : UCSD:31822034236901

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Time Series Analysis by William W. S. Wei Pdf

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.

Author : Nina Golyandina,Anatoly Zhigljavsky
Publisher : Springer Science & Business Media
Page : 120 pages
File Size : 45,7 Mb
Release : 2013-01-19
Category : Mathematics
ISBN : 9783642349133

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Singular Spectrum Analysis for Time Series by Nina Golyandina,Anatoly Zhigljavsky Pdf

Singular spectrum analysis (SSA) is a technique of time series analysis and forecasting combining elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA seeks to decompose the original series into a sum of a small number of interpretable components such as trend, oscillatory components and noise. It is based on the singular value decomposition of a specific matrix constructed upon the time series. Neither a parametric model nor stationarity are assumed for the time series. This makes SSA a model-free method and hence enables SSA to have a very wide range of applicability. The present book is devoted to the methodology of SSA and shows how to use SSA both safely and with maximum effect. Potential readers of the book include: professional statisticians and econometricians, specialists in any discipline in which problems of time series analysis and forecasting occur, specialists in signal processing and those needed to extract signals from noisy data, and students taking courses on applied time series analysis.

Author : Tata Subba Rao,Suhasini Subba Rao,C.R. Rao
Publisher : Elsevier
Page : 778 pages
File Size : 49,5 Mb
Release : 2012-06-26
Category : Mathematics
ISBN : 9780444538581

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Time Series Analysis: Methods and Applications by Tata Subba Rao,Suhasini Subba Rao,C.R. Rao Pdf

'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.

Author : Gebhard Kirchgässner,Jürgen Wolters
Publisher : Springer Science & Business Media
Page : 288 pages
File Size : 43,9 Mb
Release : 2008-08-27
Category : Business & Economics
ISBN : 3540687351

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Introduction to Modern Time Series Analysis by Gebhard Kirchgässner,Jürgen Wolters Pdf

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.