Time series analysis and its applications
ARIMA modelsARMA modelsARMAX modelscorrelationfilteringforecastingperiodogramregressionsmoothingstate-space modelsthreshold models
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) 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) Applications of statistics (62Pxx)
The book describes statistical methods used in time series analysis in the time domain as well as in the frequency domain. Theoretical results are illustrated on simulated and real data, which include Johnson \& Johnson quarterly earnings, global warming, speech data, El Niño and fish populations, functional magnetic resonance imaging, and earthquakes and explosions. All data sets are posted on the www at the authors' URLs and also an exploratory data analysis program can be downloaded as freeware from these websites. The book starts with characteristics of time series such as autocorrelation and cross correlation functions and their estimates. Then ARMA, ARIMA, long memory, threshold, and ARCH models are described. The frequency domain approach contains power spectrum and cross spectrum, linear filters, periodogram, nonparametric and parametric spectral estimation, lagged regression models, signal extraction, optimum filtering, and spectral analysis of multidimensional series. A special chapter is devoted to state-space and multivariate ARMAX models. The authors describe filtering, smoothing, forecasting, ML estimation, structural models, bootstrapping, dynamic linear models with switching, stochastic volatility, and other topics. The last chapter contains statistical methods in the frequency domain. Here the authors deal with regression for jointly stationary series, regression with deterministic inputs, random coefficient regression, analysis of designed experiments, discriminant and cluster analysis, principal components, canonical and factor analysis, the spectral envelope, and wavelets problems. Although the methods described in the book are quite complicated, the authors present them very clearly and in an understandable way. Numerical examples help to understand how the models can be applied in statistical analysis of real data. The book can be recommended as a very useful textbook for students as well as a reference book for researchers.
- Computational techniques for spatial logistic regression with large data sets
- One-step approximations for detecting regime changes in the state space model with application to the influenza data
- Multiscale spectral analysis for detecting short and long range change points in time series
- Assessing influence in Gaussian long-memory models
- Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
- Structural break estimation of noisy sinusoidal signals
- Time series: theory and methods
- Combining multiple time series predictors: A useful inferential procedure
- Online prediction of Berlin single-family house prices
- Feedback, causality and distance between ARMA models.
- The spectral envelope and its applications.
- Local linear estimation for spatial random processes with stochastic trend and stationary noise
- Emulator-assisted reduced-rank ecological data assimilation for nonlinear multivariate dynamical spatio-temporal processes
- Exit dynamics of start-up firms: structural estimation using indirect inference
- Regression theory for categorical time series
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- A new Levinson-Durbin based 2-D AR model parameter estimation method
- Sequential change-point detection in a multinomial logistic regression model
- Spectral PCA for MANOVA and data over binary trees
- Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models
- Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach
- Gaussian processes on the support of cylindrical surfaces, with application to periodic spatio-temporal data
- Model-based maximum covariance analysis for irregularly observed climatological data
- Applied time series analysis and innovative computing
- A semiparametric additive rate model for a modulated renewal process
- Joint chance constrained programming for hydro reservoir management
- A heuristic reference recursive recipe for adaptively tuning the Kalman filter statistics. I: Formulation and simulation studies
- Exact maximum likelihood estimation for non-stationary periodic time series models
- Non-regular estimation theory for piecewise continuous spectral densities
- Detecting abrupt changes in a piecewise locally stationary time series
- Benchmarking, temporal distribution, and reconciliation methods for time series.
- Classification of cyclical time series using complex demodulation
- On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
- Robust functional supervised classification for time series
- State-domain change point detection for nonlinear time series regression
- Decomposition algorithm for large-scale two-stage unit-commitment
- A numerically efficient implementation of the expectation maximization algorithm for state space models
- Multivariate time series analysis
- Fitting non-Gaussian persistent data
- Data mining in Canadian lynx time series
- Spectral estimation of the multivariate impulse response
- Time series analysis and its applications. With R examples
- Applied time series analysis
- Tracking methods for relative localisation
- Computational Methods for Time Series Analysis
- scientific article; zbMATH DE number 3843031 (Why is no real title available?)
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
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- Present Position and Potential Developments: Some Personal Views: Time Series Analysis
- scientific article; zbMATH DE number 3880504 (Why is no real title available?)
- On proximity between PCA in the frequency domain and usual PCA
- A Class of Models for Aggregated Traffic Volume Time Series
- Bernstein polynomial estimation of a spectral density
- Order Patterns in Time Series
- Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model
- Continuous time modeling of panel data: SEM versus filter techniques
- Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model
- A wavelet-Fisz approach to spectrum estimation
- Tracking multiple objects using the Viterbi algorithm
- Evaluating the efficiency of fractional integration parameter estimators
- State-space model for proxy-based millennial reconstruction
- Bootstrapping the Local Periodogram of Locally Stationary Processes
- A Scale‐space Approach for Detecting Non‐stationarities in Time Series
- scientific article; zbMATH DE number 3899992 (Why is no real title available?)
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- scientific article; zbMATH DE number 53258 (Why is no real title available?)
- scientific article; zbMATH DE number 1348628 (Why is no real title available?)
- Time series analysis: Methods and applications
- scientific article; zbMATH DE number 510464 (Why is no real title available?)
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- scientific article; zbMATH DE number 1096561 (Why is no real title available?)
- EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes
- Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
- Complex network approach to fractional time series
- Comparative ARIMA models for age-specific fertility rates
- A Joint Regression Variable and Autoregressive Order Selection Criterion
- FINDING UNDERLYING FACTORS IN TIMESERIES
- Partial Likelihood Inference For Time Series Following Generalized Linear Models
- scientific article; zbMATH DE number 777603 (Why is no real title available?)
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- scientific article; zbMATH DE number 842531 (Why is no real title available?)
- Quantification of interaction in multiloop control systems using directed spectral decomposition
- Sequential detection framework for real-time biosurveillance based on Shiryaev-Roberts procedure with illustrations using COVID-19 incidence data
- Individual-specific, sparse inverse covariance estimation in generalized estimating equations
- Joint gravity and magnetic inversion with trans-dimensional alpha shapes and autoregressive noise models
- Robust estimation of a dynamic spatio-temporal model with structural change
- Quasi-maximum likelihood estimation of GARCH models in the presence of missing values
- Evolutionary state-space model and its application to time-frequency analysis of local field potentials
- Functional lagged regression with sparse noisy observations
- Modelling EGX30 of Egyptian stock market using spectral analysis and harmonic regression
- Estimation of a nonparametric regression spectrum for multivariate time series
- On a semiparametric data-driven nonlinear model with penalized spatio-temporal lag interactions
- Time series. A data analysis approach using R
- Influence of Missing Values on the Prediction of a Stationary Time Series
- scientific article; zbMATH DE number 5040166 (Why is no real title available?)
- A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
- Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
- The co-integrated vector autoregression with errors-in-variables
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