itsmr

swMATH11210CRANitsmrMaRDI QIDQ23157FDOQ23157

Time Series Analysis Using the Innovations Algorithm

George Weigt

Last update: 6 August 2022

Copyright license: FreeBSD

Software version identifier: 1.10

Source code repository: https://github.com/cran/itsmr

Described by source

• Introduction to Time Series and Forecasting

Cited In (only showing first 100 items - show all)

• On conditional covariance modelling: an approach using state space models
• Pairs trading with partial cointegration
• Incompatibility of trends in multi-year estimates from the American community survey
• Two sample tests for high-dimensional autocovariances
• Finite-sample properties of estimators for first and second order autoregressive processes
• A mixed iteration for nonnegative matrix factorizations
• Detecting outlying series in sets of short time series
• Modelling corporate bank accounts
• Semiparametrically point-optimal hybrid rank tests for unit roots
• Simple detection of outlying short time series
• The modified Yule-Walker method for \(\alpha\)-stable time series models
• Whiteness constraints in a unified variational framework for image restoration
• Distribution-free lack-of-fit tests in balanced mixed models
• Visual analysis of categorical time series
• Fractionally differenced Gegenbauer processes with long memory: a review
• Title not available (Why is that?)
• Efficient parameter estimation for independent and INAR(1) negative binomial samples
• An algebraic method for constructing stable and consistent autoregressive filters
• The exact density of the sum of independent skew normal random variables
• A note on joint functional convergence of partial sum and maxima for linear processes
• Embedding in law of discrete time ARMA processes in continuous time stationary processes
• APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL
• Clustering of financial instruments using jump tail dependence coefficient
• Identifying financial time series with similar dynamic conditional correlation
• An angular-linear time series model for waveheight prediction
• A data-based regional scale autoregressive rainfall-runoff model: a study from the Odra river
• Modeling nonlinearities with mixtures-of-experts of time series models
• On time series model selection involving many candidate ARMA models
• The infinitesimal model: definition, derivation, and implications
• Time series models based on the unrestricted skew-normal process
• On two classes of reflected autoregressive processes
• Hybid shrinkage estimators using penalty bases for the ordinal one-way layout
• Computing and using residuals in time series models
• On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
• Cepstral identification of autoregressive systems
• A modeling approach for evaluating capacity flexibilities in uncertain markets
• Title not available (Why is that?)
• Selection between models through multi-step-ahead forecasting
• Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
• Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
• Observation-driven generalized state space models for categorical time series
• Learning can generate long memory
• A class of Gaussian hybrid processes for modeling financial markets
• Using wavelet analysis to uncover the co-movement behavior of multiple energy commodity prices
• Updating under unknown unknowns: an extension of Bayes' rule
• Practical small sample inference for single lag subset autoregressive models
• Robust estimation of linear state space models
• Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
• Evidence synthesis for stochastic epidemic models
• An alternative approach to characterize time series data: Case study on Malaysian rainfall data
• Large deviations of regression parameter estimate in the models with stationary sub-Gaussian noise
• Discussion of: ``A statistical analysis of multiple temperature proxies: are reconstructions of surface temperatures over the last 1000 years reliable?
• A model-free test for independence between time series
• The use of forecast gradients in 3DVar data assimilation
• Modeling Influenza-Like Illness Activity in the United States
• Reservoir Computing with an Inertial Form
• Neural networks in stochastic mechanics.
• Set-valued and interval-valued stationary time series
• Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
• Moving horizon estimation for ARMAX processes with additive output noise
• Sulewski plasticizing component distribution: properties and applications
• Analyzing growth components in trees
• Pairs trading under delayed cointegration
• Dependent functional data
• Identification of symmetric noncausal processes
• A new procedure in stock market forecasting based on fuzzy random auto-regression time series model
• A single-index model procedure for interpolation intervals in time series
• Semi-Lévy driven continuous-time GARCH process
• Quantifying the data-dredging bias in structural break tests
• 2-D Rayleigh autoregressive moving average model for SAR image modeling
• Optimal design of Shewhart-Lepage type schemes and its application in monitoring service quality
• Direct data-based decision making under uncertainty
• Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
• Koopman operator framework for time series modeling and analysis
• An interpolation algorithm for multivariate ARMA processes
• State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications
• Title not available (Why is that?)
• Improve concentration of frequency and time (ConceFT) by novel complex spherical designs
• A Review of Some Modern Approaches to the Problem of Trend Extraction
• Modeling time series of counts with a new class of INAR(1) model
• On analysis of nonstationary categorical data time series: dynamical dimension reduction, model selection, and applications to computational sociology
• Modeling of water usage by means of ARFIMA-GARCH processes
• Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach
• ARMA process for speckled data
• Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach
• Chebyshev similarity match between uncertain time series
• Forecasting trends with asset prices
• Bayesian inference over the Stiefel manifold via the Givens representation
• \(k\)th-order Markov extremal models for assessing heatwave risks
• Identification and validation of stable ARFIMA processes with application to UMTS data
• Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism
• Modeling and forecasting the spread and death rate of coronavirus (COVID-19) in the world using time series models
• Stable and generalized-\(t\) distributions and applications
• Some weighted mixed portmanteau tests for diagnostic checking in linear time series models
• Empirical likelihood methods for discretely observed Gaussian moving averages
• Title not available (Why is that?)
• Estimating variances in time series kriging using convex optimization and empirical BLUPs
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• Wave-shape oscillatory model for nonstationary periodic time series analysis

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