Predictions in time series using regression models
The models proposed by the author concern the aspects of time series which can be modelled by linear and nonlinear regression. The author thinks on applications of his time series methods in the fields of ecology, econometrics and finance. Often in these fields a detailed description of a time varying mean and covariance structure is required. The book consists of five chapters with literature references and a subject index. In the first chapter, results and examples of Hilbert spaces are given which are related to statistics and are used later on in the book. In the next chapters, basic results of random processes, spectral theory and especially of time series are summarized. With the chapters on estimation and prediction the author presents the main subject of methods and models announced in the book title. A lot of numerical examples are given. Although in the book many general concepts and results for time series other than regression related are presented, it may not be recommended as a short introduction to time series, rather as a strong mathematical exposition.
- Estimating variances in time series kriging using convex optimization and empirical BLUPs
- MSE of the best linear predictor in nonorthogonal models
- Adaptive cascade
- scientific article; zbMATH DE number 1796001 (Why is no real title available?)
- Optimality of equidistant sampling designs for the Brownian motion with a quadratic drift
- scientific article; zbMATH DE number 5260665 (Why is no real title available?)
- Optimal prediction designs in finite discrete spectrum linear regression models
- On non parametric kernel estimation of the mode of the regression function in the strong mixing random design model with censored data
- Mean squared error of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model
- Natural estimation of variances in a general finite discrete spectrum linear regression model
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