scientific article; zbMATH DE number 1447423

zbMath0942.62098MaRDI QIDQ4954014

Publication date: 16 May 2000

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

correlation smoothing filtering periodogram forecasting state-space models regression threshold models ARMA models ARIMA models ARMAX models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Applications of statistics (62Pxx)

Related Items (91)

FINDING UNDERLYING FACTORS IN TIMESERIES ⋮ Robust functional supervised classification for time series ⋮ A heuristic reference recursive recipe for adaptively tuning the Kalman filter statistics. I: Formulation and simulation studies ⋮ Decomposition algorithm for large-scale two-stage unit-commitment ⋮ A Bayesian model of capacity across trials ⋮ A numerically efficient implementation of the expectation maximization algorithm for state space models ⋮ Tracking Methods for Relative Localisation ⋮ Minding the gap: Central bank estimates of the unemployment natural rate ⋮ Partial Likelihood Inference For Time Series Following Generalized Linear Models ⋮ Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models ⋮ Joint gravity and magnetic inversion with trans-dimensional alpha shapes and autoregressive noise models ⋮ On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity ⋮ Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems ⋮ Beta spatial linear mixed model with variable dispersion using Monte Carlo maximum likelihood ⋮ Complex network approach to fractional time series ⋮ Robust estimation of a dynamic spatio-temporal model with structural change ⋮ Quasi-maximum likelihood estimation of GARCH models in the presence of missing values ⋮ Order Patterns in Time Series ⋮ Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model ⋮ Combining multiple time series predictors: A useful inferential procedure ⋮ Robust relation of streamwise velocity autocorrelation in atmospheric surface layers based on an autoregressive moving average model ⋮ A flexible two-piece normal dynamic linear model ⋮ Decomposition of dynamical signals into jumps, oscillatory patterns, and possible outliers ⋮ A sparse matrix formulation of model-based ensemble Kalman filter ⋮ An autoregressive model to describe fishing vessel movement and activity ⋮ Spectral Estimation of the Multivariate Impulse Response ⋮ State-domain change point detection for nonlinear time series regression ⋮ Structural shrinkage of nonparametric spectral estimators for multivariate time series ⋮ Continuous time modeling of panel data: SEM versus filter techniques ⋮ Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model ⋮ Local linear estimation for spatial random processes with stochastic trend and stationary noise ⋮ On a Semiparametric Data‐Driven Nonlinear Model with Penalized Spatio‐Temporal Lag Interactions ⋮ Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach ⋮ Online prediction of Berlin single-family house prices ⋮ Exact maximum likelihood estimation for non-stationary periodic time series models ⋮ Evolutionary State-Space Model and Its Application to Time-Frequency Analysis of Local Field Potentials ⋮ Functional lagged regression with sparse noisy observations ⋮ Feedback, causality and distance between ARMA models. ⋮ The spectral envelope and its applications. ⋮ Emulator-assisted reduced-rank ecological data assimilation for nonlinear multivariate dynamical spatio-temporal processes ⋮ COMPARATIVE ARIMA MODELS FOR AGE-SPECIFIC FERTILITY RATES ⋮ Quantification of interaction in multiloop control systems using directed spectral decomposition ⋮ A wavelet-Fisz approach to spectrum estimation ⋮ Individual-specific, sparse inverse covariance estimation in generalized estimating equations ⋮ Non-regular estimation theory for piecewise continuous spectral densities ⋮ Tracking Multiple Objects Using the Viterbi Algorithm ⋮ Evaluating the efficiency of fractional integration parameter estimators ⋮ Analyzing spatial ecological data using linear regression and wavelet analysis ⋮ A structural model with interventions for New Zealand sawn timber production ⋮ Exit dynamics of start-up firms: structural estimation using indirect inference ⋮ Gaussian processes on the support of cylindrical surfaces, with application to periodic spatio-temporal data ⋮ Time-dependent frequency domain principal components analysis of multichannel non-stationary signals ⋮ An improved Akaike information criterion for state-space model selection ⋮ Detecting abrupt changes in a piecewise locally stationary time series ⋮ Estimation of a nonparametric regression spectrum for multivariate time series ⋮ Regression theory for categorical time series ⋮ Model-based maximum covariance analysis for irregularly observed climatological data ⋮ State-space model for proxy-based millennial reconstruction ⋮ A new Levinson-Durbin based 2-D AR model parameter estimation method ⋮ Probabilistic Time Series Forecasts with Autoregressive Transformation Models ⋮ A Joint Regression Variable and Autoregressive Order Selection Criterion ⋮ Classification and similarity analysis of fundamental frequency patterns in infant spoken language acquisition ⋮ Vector autoregressive models with measurement errors for testing Granger causality ⋮ A semiparametric additive rate model for a modulated renewal process ⋮ Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints ⋮ Bootstrapping the Local Periodogram of Locally Stationary Processes ⋮ A Scale‐space Approach for Detecting Non‐stationarities in Time Series ⋮ Interpolating fields of carbon monoxide data using a hybrid statistical-physical model ⋮ Nonparametric spectral analysis with applications to seizure characterization using EEG time series ⋮ Sequential detection framework for real-time biosurveillance based on Shiryaev-Roberts procedure with illustrations using COVID-19 incidence data ⋮ EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes ⋮ Functional coefficient seasonal time series models with an application of Hawaii tourism data ⋮ Influence of Missing Values on the Prediction of a Stationary Time Series ⋮ Sequential change-point detection in a multinomial logistic regression model ⋮ 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 ⋮ Spectral PCA for MANOVA and data over binary trees ⋮ MODELLING EGX30 OF EGYPTIAN STOCK MARKET USING SPECTRAL ANALYSIS AND HARMONIC REGRESSION ⋮ A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates ⋮ On proximity between PCA in the frequency domain and usual PCA ⋮ Estimation of trend in state-space models: asymptotic mean square error and rate of convergence ⋮ Multivariate Time Series Analysis ⋮ Structural break estimation of noisy sinusoidal signals ⋮ Fitting non-Gaussian persistent data ⋮ A Class of Models for Aggregated Traffic Volume Time Series ⋮ The Co-Integrated Vector Autoregression with Errors–in–Variables ⋮ Bernstein polynomial estimation of a spectral density ⋮ Classification of cyclical time series using complex demodulation ⋮ Joint chance constrained programming for hydro reservoir management

Uses Software

astsa

This page was built for publication: