astsa
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Software:22958
swMATH11006CRANastsaMaRDI QIDQ22958FDOQ22958
Applied Statistical Time Series Analysis
Last update: 10 January 2024
Copyright license: GNU General Public License, version 3.0
Software version identifier: 2.0, 1.0, 1.1, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7, 1.8, 1.9, 1.10, 1.11, 1.12, 1.13, 1.14, 1.15, 1.16, 2.1
Source code repository: https://github.com/cran/astsa
Contains data sets and scripts for analyzing time series in both the frequency and time domains including state space modeling as well as supporting the texts Time Series Analysis and Its Applications: With R Examples (5th ed coming), by R.H. Shumway and D.S. Stoffer. Springer Texts in Statistics, 2017, <doi:10.1007/978-3-319-52452-8>, and Time Series: A Data Analysis Approach Using R. Chapman-Hall, 2019, <doi:10.1201/9780429273285>.
Cited In (only showing first 100 items - show all)
- Missing observation analysis for matrix-variate time series data
- Analyzing spatial ecological data using linear regression and wavelet analysis
- A structural model with interventions for New Zealand sawn timber production
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- A new Levinson-Durbin based 2-D AR model parameter estimation method
- Understanding the Ensemble Kalman Filter
- Learning mixture models via component-wise parameter smoothing
- Estimation of a nonparametric regression spectrum for multivariate time series
- A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network
- Embedding and learning with signatures
- Analysis of single particle diffusion with transient binding using particle filtering
- Application of continuous wavelet transform in examining soil spatial variation: a review
- Discrete minimax designs for regression models with autocorrelated MA errors
- Sequential non-stationary dynamic classification with sparse feedback
- Bayesian inference in nonparametric dynamic state-space models
- Local linear estimation for spatial random processes with stochastic trend and stationary noise
- Adaptive spectral estimation for nonstationary multivariate time series
- Minding the gap: Central bank estimates of the unemployment natural rate
- Classification and similarity analysis of fundamental frequency patterns in infant spoken language acquisition
- Periodic dynamic factor models: estimation approaches and applications
- Spectral Inference under Complex Temporal Dynamics
- Coupled network approach to predictability of financial market returns and news sentiments
- The hierarchical spectral merger algorithm: a new time series clustering procedure
- Extensions of estimation methods using the EM algorithm
- Half-spectral analysis of spatial-temporal data: The case study of Iranian daily wind speed data
- Measuring the bullwhip effect for supply chains with seasonal demand components
- Computing observation weights for signal extraction and filtering
- Functional coefficient seasonal time series models with an application of Hawaii tourism data
- Extensions of saddlepoint-based bootstrap inference
- Discriminant analysis of multivariate time series: application to diagnosis based on ECG signals
- Inference in binomial AR(1) models
- Application of nonlinear filtering to credit risk
- Recursive estimation in piecewise affine systems using parameter identifiers and concurrent learning
- Stock market prediction and portfolio selection models: a survey
- State-space models for count time series with excess zeros
- Exploring the dynamics of dyadic interactions via hierarchical segmentation
- Estimation of parameterized spatio-temporal dynamic models
- A hierarchical state space approach to affective dynamics
- Temporal variation and scale in movement-based resource selection functions
- Multiscale spectral analysis for detecting short and long range change points in time series
- Fourier spectral factor model for prediction of multidimensional signals
- On asymmetric regression models with allowance for temporal dependence
- Approximate singular values of the fractional difference and summation operators
- Segmental dynamic factor analysis for time series of curves
- Vector autoregressive models with measurement errors for testing Granger causality
- A Bayesian tutorial for data assimilation
- On classical and Bayesian asymptotics in state space stochastic differential equations
- Incomplete time series prediction using max-margin classification of data with absent features
- Practical small sample inference for single lag subset autoregressive models
- A variational expectation-maximization algorithm for temporal data clustering
- Kullback-Leibler divergence to evaluate posterior sensitivity to different priors for autoregressive time series models
- Detecting abrupt changes in a piecewise locally stationary time series
- Maximum likelihood identification of stable linear dynamical systems
- Time series analysis and its applications. With R examples
- Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
- Application of extended Kalman filter for improving the accuracy and smoothness of Kinect skeleton-joint estimates
- Optomechanical parameter estimation
- Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series
- Heterogeneous connection effects
- Correlations between insurance lines of business: an illusion or a real phenomenon? Some methodological considerations
- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- Robust identification of harmonic oscillator parameters using the adjoint Fokker-Planck equation
- Segmenting mean-nonstationary time series via trending regressions
- Multivariate spatio-temporal models for high-dimensional areal data with application to longitudinal employer-household dynamics
- Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- Regression theory for categorical time series
- Spatio-temporal modeling of global ozone data using convolution
- Coherence-based time series clustering for statistical inference and visualization of brain connectivity
- Multivariate versions of Bartlett's formula
- Robust functional supervised classification for time series
- Decomposition algorithm for large-scale two-stage unit-commitment
- Application of shrinkage estimation in linear regression models with autoregressive errors
- On the integral with respect to the tensor product of two random measures
- Point process models for novelty detection on spatial point patterns and their extremes
- Quantitative analysis of directional strengths in jointly stationary linear multivariate processes
- Time series analysis and its applications. With R examples
- Model-based maximum covariance analysis for irregularly observed climatological data
- A numerically efficient implementation of the expectation maximization algorithm for state space models
- A tutorial on variational Bayes for latent linear stochastic time-series models
- A nonstationary nonparametric Bayesian approach to dynamically modeling effective connectivity in functional magnetic resonance imaging experiments
- Computational techniques for spatial logistic regression with large data sets
- Modelling and forecasting mortality in Spain
- The kriged Kalman filter. (With discussion)
- Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
- Spontaneous similarity discrimination in the evolution of cooperation
- Reaction times of monitoring schemes for ARMA time series
- Copula directional dependence of discrete time series marginals
- On the reaction time of moving sum detectors
- Functional semiparametric partially linear model with autoregressive errors
- Time-frequency clustering and discriminant analysis.
- Estimation in a class of nonlinear heteroscedastic time series models
- Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems
- Structure detection and parameter estimation for NARX models in a unified EM framework
- Nonstationary dynamic factor analysis
- A Bayesian approach for inferring neuronal connectivity from calcium fluorescent imaging data
- Parameter estimation with scarce measurements
- Discriminant analysis for locally stationary processes
- An improved Akaike information criterion for state-space model selection
- Boosting nonlinear additive autoregressive time series
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