Analysis Of Time Series Structure

Author : Nina Golyandina
Publisher : CRC Press
ISBN 13 : 9781420035841
Total Pages : 322 pages
Book Rating : 4.43/5 ( download)

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Download or read book Analysis of Time Series Structure written by Nina Golyandina and published by CRC Press. This book was released on 2001-01-23 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 15 years, singular spectrum analysis (SSA) has proven very successful. It has already become a standard tool in climatic and meteorological time series analysis and well known in nonlinear physics and signal processing. However, despite the promise it holds for time series applications in other disciplines, SSA is not widely known among statisticians and econometrists, and although the basic SSA algorithm looks simple, understanding what it does and where its pitfalls lay is by no means simple. Analysis of Time Series Structure: SSA and Related Techniques provides a careful, lucid description of its general theory and methodology. Part I introduces the basic concepts, and sets forth the main findings and results, then presents a detailed treatment of the methodology. After introducing the basic SSA algorithm, the authors explore forecasting and apply SSA ideas to change-point detection algorithms. Part II is devoted to the theory of SSA. Here the authors formulate and prove the statements of Part I. They address the singular value decomposition (SVD) of real matrices, time series of finite rank, and SVD of trajectory matrices. Based on the authors' original work and filled with applications illustrated with real data sets, this book offers an outstanding opportunity to obtain a working knowledge of why, when, and how SSA works. It builds a strong foundation for successfully using the technique in applications ranging from mathematics and nonlinear physics to economics, biology, oceanology, social science, engineering, financial econometrics, and market research.

Author : Nina Golyandina
Publisher : Chapman and Hall/CRC
ISBN 13 : 9781584881940
Total Pages : 320 pages
Book Rating : 4.41/5 ( download)

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Download or read book Analysis of Time Series Structure written by Nina Golyandina and published by Chapman and Hall/CRC. This book was released on 2001-01-23 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 15 years, singular spectrum analysis (SSA) has proven very successful. It has already become a standard tool in climatic and meteorological time series analysis and well known in nonlinear physics and signal processing. However, despite the promise it holds for time series applications in other disciplines, SSA is not widely known among statisticians and econometrists, and although the basic SSA algorithm looks simple, understanding what it does and where its pitfalls lay is by no means simple. Analysis of Time Series Structure: SSA and Related Techniques provides a careful, lucid description of its general theory and methodology. Part I introduces the basic concepts, and sets forth the main findings and results, then presents a detailed treatment of the methodology. After introducing the basic SSA algorithm, the authors explore forecasting and apply SSA ideas to change-point detection algorithms. Part II is devoted to the theory of SSA. Here the authors formulate and prove the statements of Part I. They address the singular value decomposition (SVD) of real matrices, time series of finite rank, and SVD of trajectory matrices. Based on the authors' original work and filled with applications illustrated with real data sets, this book offers an outstanding opportunity to obtain a working knowledge of why, when, and how SSA works. It builds a strong foundation for successfully using the technique in applications ranging from mathematics and nonlinear physics to economics, biology, oceanology, social science, engineering, financial econometrics, and market research.

Author : Nina Golyandina
Publisher : Springer Science & Business Media
ISBN 13 : 3642349137
Total Pages : 126 pages
Book Rating : 4.33/5 ( download)

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Download or read book Singular Spectrum Analysis for Time Series written by Nina Golyandina and published by Springer Science & Business Media. This book was released on 2013-01-19 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Gregory C. Reinsel
Publisher : Springer Science & Business Media
ISBN 13 : 146840198X
Total Pages : 278 pages
Book Rating : 4.81/5 ( download)

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Download or read book Elements of Multivariate Time Series Analysis written by Gregory C. Reinsel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Genshiro Kitagawa
Publisher : Springer Science & Business Media
ISBN 13 : 1461207614
Total Pages : 265 pages
Book Rating : 4.10/5 ( download)

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Download or read book Smoothness Priors Analysis of Time Series written by Genshiro Kitagawa and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression "smoothness priors" state space point of view. Prior distributions on model coefficients are parametrized by hyperparameters. Maximizing the likelihood of a small number of hyperparameters permits the robust modeling of a time series with relatively complex structure and a very large number of implicitly inferred parameters. The critical statistical ideas in smoothness priors are the likelihood of the Bayesian model and the use of likelihood as a measure of the goodness of fit of the model. The emphasis is on a general state space approach in which the recursive conditional distributions for prediction, filtering, and smoothing are realized using a variety of nonstandard methods including numerical integration, a Gaussian mixture distribution-two filter smoothing formula, and a Monte Carlo "particle-path tracing" method in which the distributions are approximated by many realizations. The methods are applicable for modeling time series with complex structures.

Author : L. H. Koopmans
Publisher : Academic Press
ISBN 13 : 1483218546
Total Pages : 383 pages
Book Rating : 4.40/5 ( download)

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Download or read book The Spectral Analysis of Time Series written by L. H. Koopmans and published by Academic Press. This book was released on 2014-05-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Spectral Analysis of Time Series describes the techniques and theory of the frequency domain analysis of time series. The book discusses the physical processes and the basic features of models of time series. The central feature of all models is the existence of a spectrum by which the time series is decomposed into a linear combination of sines and cosines. The investigator can used Fourier decompositions or other kinds of spectrals in time series analysis. The text explains the Wiener theory of spectral analysis, the spectral representation for weakly stationary stochastic processes, and the real spectral representation. The book also discusses sampling, aliasing, discrete-time models, linear filters that have general properties with applications to continuous-time processes, and the applications of multivariate spectral models. The text describes finite parameter models, the distribution theory of spectral estimates with applications to statistical inference, as well as sampling properties of spectral estimates, experimental design, and spectral computations. The book is intended either as a textbook or for individual reading for one-semester or two-quarter course for students of time series analysis users. It is also suitable for mathematicians or professors of calculus, statistics, and advanced mathematics.

Author : Holger Kantz
Publisher : Cambridge University Press
ISBN 13 : 9780521529020
Total Pages : 390 pages
Book Rating : 4.26/5 ( download)

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Download or read book Nonlinear Time Series Analysis written by Holger Kantz and published by Cambridge University Press. This book was released on 2004 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paradigm of deterministic chaos has influenced thinking in many fields of science. Chaotic systems show rich and surprising mathematical structures. In the applied sciences, deterministic chaos provides a striking explanation for irregular behaviour and anomalies in systems which do not seem to be inherently stochastic. The most direct link between chaos theory and the real world is the analysis of time series from real systems in terms of nonlinear dynamics. Experimental technique and data analysis have seen such dramatic progress that, by now, most fundamental properties of nonlinear dynamical systems have been observed in the laboratory. Great efforts are being made to exploit ideas from chaos theory wherever the data displays more structure than can be captured by traditional methods. Problems of this kind are typical in biology and physiology but also in geophysics, economics, and many other sciences.

Author : Andrew C. Harvey
Publisher : Cambridge University Press
ISBN 13 : 9780521405737
Total Pages : 574 pages
Book Rating : 4.34/5 ( download)

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Download or read book Forecasting, Structural Time Series Models and the Kalman Filter written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 1990 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.

Author : Paul Teetor
Publisher : "O'Reilly Media, Inc."
ISBN 13 : 1449307264
Total Pages : 438 pages
Book Rating : 4.64/5 ( download)

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Download or read book R Cookbook written by Paul Teetor and published by "O'Reilly Media, Inc.". This book was released on 2011-03-03 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: With more than 200 practical recipes, this book helps you perform data analysis with R quickly and efficiently. The R language provides everything you need to do statistical work, but its structure can be difficult to master. This collection of concise, task-oriented recipes makes you productive with R immediately, with solutions ranging from basic tasks to input and output, general statistics, graphics, and linear regression. Each recipe addresses a specific problem, with a discussion that explains the solution and offers insight into how it works. If you’re a beginner, R Cookbook will help get you started. If you’re an experienced data programmer, it will jog your memory and expand your horizons. You’ll get the job done faster and learn more about R in the process. Create vectors, handle variables, and perform other basic functions Input and output data Tackle data structures such as matrices, lists, factors, and data frames Work with probability, probability distributions, and random variables Calculate statistics and confidence intervals, and perform statistical tests Create a variety of graphic displays Build statistical models with linear regressions and analysis of variance (ANOVA) Explore advanced statistical techniques, such as finding clusters in your data "Wonderfully readable, R Cookbook serves not only as a solutions manual of sorts, but as a truly enjoyable way to explore the R language—one practical example at a time."—Jeffrey Ryan, software consultant and R package author

Author : Rob J Hyndman
Publisher : OTexts
ISBN 13 : 0987507117
Total Pages : 380 pages
Book Rating : 4.12/5 ( download)

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Download or read book Forecasting: principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.