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
- 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
- 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
- Recursive estimation in piecewise affine systems using parameter identifiers and concurrent learning
- Robust identification of harmonic oscillator parameters using the adjoint Fokker–Planck equation
- Stock market prediction and portfolio selection models: a survey
- Time Series Analysis and Its Applications
- 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
- COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS
- 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
- 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
- Segmenting mean-nonstationary time series via trending regressions
- Grouped spatial autoregressive model
- A Bayesian approach for data-driven dynamic equation discovery
- Asymptotic scaling laws for precision of parameter estimates in dynamical systems
- Crawling subsampling for multivariate spatial autoregression model in large-scale networks
- Trend and fractality assessment of Mexico's stock exchange
- Bayesian Model Search for Nonstationary Periodic Time Series
- Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
- Discrete scaling and criticality in a chain of adaptive excitable integrators
- Real-time stylistic prediction for whole-body human motions
- A new correlation for bivariate time series with a higher order of integration
- Spectral decompositions of multiple time series: a Bayesian non-parametric approach
- Dependent functional data
- Forecasting of global market prices of major financial instruments
- Bimodal Birnbaum–Saunders generalized autoregressive score model
- Book review of: R. H. Shumway and D. S. Stoffer, Time series analysis and its applications. With R examples. 2nd ed.
- Location and scale-based CUSUM test with application to autoregressive models
- Modeling dependence via copula of functionals of Fourier coefficients
- Exit dynamics of start-up firms: structural estimation using indirect inference
- Downstream demand inference in decentralized supply chains
- Multiscale adaptive smoothing models for the hemodynamic response function in fMRI
- Some applications of nonlinear and non-Gaussian state–space modelling by means of hidden Markov models
- An improved forecasting approach to reduce inventory levels in decentralized supply chains
- Insights into cell membrane microdomain organization from live cell single particle tracking of the ige high affinity receptor fc\(\varepsilon\)RI of mast cells
- Evolutionary State-Space Model and Its Application to Time-Frequency Analysis of Local Field Potentials
- Mapping the presidential election cycle in US stock markets
- On conditional cuts for stochastic dual dynamic programming
- Bayesian Spectral Modeling for Multiple Time Series
- Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach
- Robust wavelet estimation to eliminate simultaneously the effects of boundary problems, outliers, and correlated noise
- Prediction of extremal precipitation by quantile regression forests: from SNU multiscale team
- Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series
- Operator inference of non-Markovian terms for learning reduced models from partially observed state trajectories
- Sequential change-point detection in a multinomial logistic regression model
- Inference for modulated stationary processes
- Robust estimation of a dynamic spatio-temporal model with structural change
- Robust minimum information loss estimation
- Spectral PCA for MANOVA and data over binary trees
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