Introduction to time series and forecasting.
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)
The book gives an introduction into time series analysis. The emphasis is on methods and the analysis of data sets. For reading the book only basic knowledge in calculus, matrix algebra and elementary statistics is required. A CD-ROM is included with a student version of the time series package ITSM 2000. The package requires an IBM-compatible PC operating under Windows 95, NT version 4.0, or a later version of either of these systems. The data sets used in this book are available on the CD-ROM. The book contains ten chapters. They are denoted as: Introduction, stationary processes, ARMA models, spectral analysis, modeling and forecasting with ARMA processes, nonstationary and seasonal time series models, multivariate time series, state-space models, forecasting techniques, and further topics. At the end of the book some basic results in probability theory and statistics are summarized and a tutorial of the software ITSM is given. For the review of first edition of this book from 1996 see Zbl 0868.62067. In the present second edition several changes were made. Since the upgrade to ITSM 2000 occurred after the first edition, it was necessary to coordinate the new software with the text. Furthermore, some topics are treated in more detail in this new edition, like, e.g., the role of the innovations algorithm in generalized least squares and maximum likelihood estimation of regression models with time series errors, forecasting of ARIMA models, GARCH modeling, etc. The book is highly recommendable. It provides an excellent introduction into time series analysis. Because the key mathematical results are stated without proof and no deeper mathematical knowledge is needed, it can be used as a textbook for students of various disciplines. Moreover, it is suitable as a reference book for practitioners. The great number of examples coming from economics, engineering, natural and social sciences contribute to a better understanding of the methods. For handling the software, very little familiarity with computing is required.
- Some aspects of extreme value statistics under serial dependence
- Modeling churn using customer lifetime value
- On time series model selection involving many candidate ARMA models
- Computing and using residuals in time series models
- A hierarchical Ornstein-Uhlenbeck model for continuous repeated measurement data
- Time series: theory and methods.
- An \texttt{R} package for value at risk and expected shortfall
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Embedding in law of discrete time ARMA processes in continuous time stationary processes
- On conditional covariance modelling: an approach using state space models
- A new approach for selecting the number of the eigenvalues in singular spectrum analysis
- Open problems in universal induction \& intelligence
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
- Identification of symmetric noncausal processes
- Optimal design of Shewhart-Lepage type schemes and its application in monitoring service quality
- An interpolation algorithm for multivariate ARMA processes
- Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach
- Whiteness constraints in a unified variational framework for image restoration
- Software review \(\text{tsMetrix}^{\text{TM}}\) Version 2. 0
- A class of shrinkage priors for the dependence structure in longitudinal data
- Stable and generalized-\(t\) distributions and applications
- The ARMA alphabet soup: a tour of ARMA model variants
- Dependent functional data
- Clairvoyant monitoring for signal temporal logic
- Thinning operations for modeling time series of counts -- a survey
- Estimation of autocovariance matrices for high dimensional linear processes
- Improve concentration of frequency and time (ConceFT) by novel complex spherical designs
- Bayesian inference over the Stiefel manifold via the Givens representation
- Wave-shape oscillatory model for nonstationary periodic time series analysis
- Convergence rate bounds for iterative random functions using one-shot coupling
- Modeling and forecasting the spread and death rate of coronavirus (COVID-19) in the world using time series models
- Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism
- Generalized maximum entropy based identification of graphical ARMA models
- Asymmetric tail dependence modeling, with application to cryptocurrency market data
- A new procedure in stock market forecasting based on fuzzy random auto-regression time series model
- Semi-automated simultaneous predictor selection for regression-SARIMA models
- Analyzing growth components in trees
- New approximation for ARMA parameters estimate
- Design of a negative group delay filter via reservoir computing approach: real-time prediction of chaotic signals
- Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach
- Correcting the corrected AIC
- Parametric estimation for Gaussian fields indexed by graphs
- A single-index model procedure for interpolation intervals in time series
- Yield and price forecasting for stochastic crop decision planning
- Learning can generate long memory
- Control charts based on fuzzy costs for monitoring short autocorrelated time series
- itsmr
- Clustering of financial instruments using jump tail dependence coefficient
- Stochastic nonlinear time series forecasting using time-delay reservoir computers: performance and universality
- Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
- Modeling time series of counts with a new class of INAR(1) model
- Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
- Remarks on limit theorems for reversible Markov processes and their applications
- Exponential myriad smoothing algorithm for robust signal processing in \(\alpha \)-stable noise environments
- Practical small sample inference for single lag subset autoregressive models
- A Fourier analysis of extreme events
- Harmonic regression and scale stability
- When good theories make bad predictions
- The impact on ruin probabilities of the association structure among financial risks
- Modelling informative time points: an evolutionary process approach
- Finite-sample properties of estimators for first and second order autoregressive processes
- A basic time series forecasting course with Python
- A weak approximation for the Wiener–Hopf factorization
- Introduction to Time Series and Forecasting
- A bivariate INAR(1) model with different thinning parameters
- On testing for independence between the innovations of several time series
- Order selection in ARMA models using the focused information criterion
- A survey of average contractive iterated function systems
- A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors
- Estimation of autocovariance matrices for infinite dimensional vector linear process
- ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
- On the use of dispersion analysis for model assessment in structural identification
- Performance analysis of the optimal strategy under partial information
- Estimation for binary models generated by Gaussian autoregressive processes
- Time Series Analysis and Forecasting by Example
- Construction, properties and statistical applications of positive definite intraclass matrix
- A randomness test for functional panels
- Long-term variability of the temperature time series recorded in Lisbon
- On two classes of reflected autoregressive processes
- PEET: a Matlab tool for estimating physical gate errors in quantum information processing systems
- scientific article; zbMATH DE number 3844873 (Why is no real title available?)
- Prediction of sea surface temperature in the tropical Atlantic by support vector machines
- ARMA process for speckled data
- Estimation of the Memory Parameters of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR(1, 1)) Model: A Simulation Study
- Modeling spot price dependence in Australian electricity markets with applications to risk management
- Modeling interval time series with space-time processes
- Equivalent sample sizes in time series regressions
- An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques
- WeightedL1-estimates for a VAR(p) time series model
- Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function
- Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
- Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
- Fractionally Integrated Separable Spatial Autoregressive (FISSAR) Model and Some of Its Properties
- Semi-Parametric Density Estimation for Time-Series with Multiplicative Adjustment
- scientific article; zbMATH DE number 5575315 (Why is no real title available?)
- scientific article; zbMATH DE number 5575318 (Why is no real title available?)
- scientific article; zbMATH DE number 49657 (Why is no real title available?)
- scientific article; zbMATH DE number 2012512 (Why is no real title available?)
- Filtering nonlinear spatio-temporal chaos with autoregressive linear stochastic models
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