Time Series

DOI10.1201/9780429109553zbMATH Open1455.62002OpenAlexW4231575697MaRDI QIDQ5208638FDOQ5208638

Authors: Dimitris Politis, Tucker S. McElroy 

Publication date: 8 January 2020

Full work available at URL: https://doi.org/10.1201/9780429109553

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zbMATH Keywords

bootstrapseasonalitytime seriesARMA modelsautoregressionperiodogramwhite noisenonparametric smoothingspectral representationautocovariancesGaussian likelihoodoptimal fittingblock bootstrap methodsiterative forecastingentropy in time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Software, source code, etc. for problems pertaining to statistics (62-04) Inference from stochastic processes and prediction (62M20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

Cited In (14)

• Casting vector time series: algorithms for forecasting, imputation, and signal extraction
• A basic time series forecasting course with Python
• Estimating the Spectral Density at Frequencies Near Zero
• Studentization versus variance stabilization: a simple way out of an old dilemma
• Nonlinear prediction via Hermite transformation
• Climate time series analysis. Classical statistical and bootstrap methods
• A Review of Seasonal Adjustment Diagnostics
• Consistent autoregressive spectral estimates: nonlinear time series and large autocovariance matrices
• Bootstrapping ARMA time series models after model selection
• Optimal linear interpolation of multiple missing values
• Simultaneous statistical inference for second order parameters of time series under weak conditions
• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
• Quadratic prediction of time series via auto-cumulants
• Probabilistic and statistical tools for modeling time series. Paper from the 30th Brazilian mathematics colloquium -- 30\(^{\text o}\) Colóquio Brasileiro de Matemática, Rio de Janeiro, Brazil, July 26--31, 2015

Uses Software

• R

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