Time Series

DOI10.1201/9780429109553MaRDI QIDQ5208638zbMATH OpenOpenAlexFDO

Authors Dimitris Politis, Tucker S. McElroy

Publication date 8 January 2020

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

zbMATH Keywords

ARMA modelsautocovariancesautoregressionblock bootstrap methodsbootstrapentropy in time seriesGaussian likelihooditerative forecastingnonparametric smoothingoptimal fittingperiodogramseasonalityspectral representationtime serieswhite noise

Mathematics Subject Classification ID

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 prediction (62M20)

Recommendations

• Introductory Time Series with R
• Bootstraps for time series
• Bootstrapping time series models
• Bootstrap Methods for Time Series
• scientific article; zbMATH DE number 638111
• A simple bootstrap method for time series
• The analysis of time series. An introduction with R

Cited in

(18)

• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
• Casting vector time series: algorithms for forecasting, imputation, and signal extraction
• Climate time series analysis. Classical statistical and bootstrap methods
• Optimal linear interpolation of multiple missing values
• A basic time series forecasting course with Python
• Consistent autoregressive spectral estimates: nonlinear time series and large autocovariance matrices
• 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
• Nonlinear prediction via Hermite transformation
• A Review of Seasonal Adjustment Diagnostics
• Quadratic prediction of time series via auto-cumulants
• Estimating the Spectral Density at Frequencies Near Zero
• Studentization versus variance stabilization: a simple way out of an old dilemma
• Bootstrapping ARMA time series models after model selection
• Simultaneous statistical inference for second order parameters of time series under weak conditions
• Inverse autocovariance estimates
• Local quadratic spectral and covariance matrix estimation
• Skip sampling: subsampling in the frequency domain
• Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence

Describes a project that uses

Uses Software

• R

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