A Nonlinear Time Series Workshop
A Nonlinear Time Series Workshop

Author: Douglas M. Patterson

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 205

ISBN-13: 144198688X

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The complex dynamic behavior exhibited by many nonlinear systems - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a good deal of attention in recent years. A Nonlinear Time Series Workshop provides the reader with both the statistical background and the software tools necessary for detecting nonlinear behavior in time series data. The most useful existing detection techniques are described, including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on the estimated bispectrum. These techniques are illustrated using actual data from fields such as economics, finance, engineering, and geophysics.

Elements of Nonlinear Time Series Analysis and Forecasting
Elements of Nonlinear Time Series Analysis and Forecasting

Author: Jan G. De Gooijer

Publisher: Springer

Published: 2017-03-30

Total Pages: 626

ISBN-13: 3319432524

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This book provides an overview of the current state-of-the-art of nonlinear time series analysis, richly illustrated with examples, pseudocode algorithms and real-world applications. Avoiding a “theorem-proof” format, it shows concrete applications on a variety of empirical time series. The book can be used in graduate courses in nonlinear time series and at the same time also includes interesting material for more advanced readers. Though it is largely self-contained, readers require an understanding of basic linear time series concepts, Markov chains and Monte Carlo simulation methods. The book covers time-domain and frequency-domain methods for the analysis of both univariate and multivariate (vector) time series. It makes a clear distinction between parametric models on the one hand, and semi- and nonparametric models/methods on the other. This offers the reader the option of concentrating exclusively on one of these nonlinear time series analysis methods. To make the book as user friendly as possible, major supporting concepts and specialized tables are appended at the end of every chapter. In addition, each chapter concludes with a set of key terms and concepts, as well as a summary of the main findings. Lastly, the book offers numerous theoretical and empirical exercises, with answers provided by the author in an extensive solutions manual.

Nonlinear Time Series Analysis
Nonlinear Time Series Analysis

Author: Ruey S. Tsay

Publisher: John Wiley & Sons

Published: 2018-09-13

Total Pages: 516

ISBN-13: 1119264065

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A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.

Robust and Nonlinear Time Series Analysis
Robust and Nonlinear Time Series Analysis

Author: J. Franke

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 297

ISBN-13: 1461578213

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Classical time series methods are based on the assumption that a particular stochastic process model generates the observed data. The, most commonly used assumption is that the data is a realization of a stationary Gaussian process. However, since the Gaussian assumption is a fairly stringent one, this assumption is frequently replaced by the weaker assumption that the process is wide~sense stationary and that only the mean and covariance sequence is specified. This approach of specifying the probabilistic behavior only up to "second order" has of course been extremely popular from a theoretical point of view be cause it has allowed one to treat a large variety of problems, such as prediction, filtering and smoothing, using the geometry of Hilbert spaces. While the literature abounds with a variety of optimal estimation results based on either the Gaussian assumption or the specification of second-order properties, time series workers have not always believed in the literal truth of either the Gaussian or second-order specifica tion. They have none-the-less stressed the importance of such optimali ty results, probably for two main reasons: First, the results come from a rich and very workable theory. Second, the researchers often relied on a vague belief in a kind of continuity principle according to which the results of time series inference would change only a small amount if the actual model deviated only a small amount from the assum ed model.

Stochasticity, Nonlinearity and Forecasting of Streamflow Processes
Stochasticity, Nonlinearity and Forecasting of Streamflow Processes

Author: Wen Wang

Publisher: IOS Press

Published: 2006

Total Pages: 220

ISBN-13: 9781586036218

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Streamflow forecasting is of great importance to water resources management and flood defense. On the other hand, a better understanding of the streamflow process is fundamental for improving the skill of streamflow forecasting. The methods for forecasting streamflows may fall into two general classes: process-driven methods and data-driven methods. Equivalently, methods for understanding streamflow processes may also be broken into two categories: physically-based methods and mathematically-based methods. This thesis focuses on using mathematically-based methods to analyze stochasticity and nonlinearity of streamflow processes based on univariate historic streamflow records, and presents data-driven models that are also mainly based on univariate streamflow time series. Six streamflow processes of five rivers in different geological regions are investigated for stochasticity and nonlinearity at several characteristic timescales.

Recent Advances in Estimating Nonlinear Models
Recent Advances in Estimating Nonlinear Models

Author: Jun Ma

Publisher: Springer Science & Business Media

Published: 2013-09-24

Total Pages: 308

ISBN-13: 1461480604

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Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.

Nonlinear Time Series Analysis: Methods And Applications
Nonlinear Time Series Analysis: Methods And Applications

Author: Cees Diks

Publisher: World Scientific

Published: 1999-08-16

Total Pages: 222

ISBN-13: 9814496006

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Methods of nonlinear time series analysis are discussed from a dynamical systems perspective on the one hand, and from a statistical perspective on the other. After giving an informal overview of the theory of dynamical systems relevant to the analysis of deterministic time series, time series generated by nonlinear stochastic systems and spatio-temporal dynamical systems are considered. Several statistical methods for the analysis of nonlinear time series are presented and illustrated with applications to physical and physiological time series.

Proceedings of the First US/Japan Conference on the Frontiers of Statistical Modeling: An Informational Approach
Proceedings of the First US/Japan Conference on the Frontiers of Statistical Modeling: An Informational Approach

Author: H. Bozdogan

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 356

ISBN-13: 9401108544

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These three volumes comprise the proceedings of the US/Japan Conference, held in honour of Professor H. Akaike, on the `Frontiers of Statistical Modeling: an Informational Approach'. The major theme of the conference was the implementation of statistical modeling through an informational approach to complex, real-world problems. Volume 1 contains papers which deal with the Theory and Methodology of Time Series Analysis. Volume 1 also contains the text of the Banquet talk by E. Parzen and the keynote lecture of H. Akaike. Volume 2 is devoted to the general topic of Multivariate Statistical Modeling, and Volume 3 contains the papers relating to Engineering and Scientific Applications. For all scientists whose work involves statistics.

Artificial Neural Networks and Machine Learning – ICANN 2019: Workshop and Special Sessions
Artificial Neural Networks and Machine Learning – ICANN 2019: Workshop and Special Sessions

Author: Igor V. Tetko

Publisher: Springer Nature

Published: 2019-09-10

Total Pages: 872

ISBN-13: 3030304930

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The proceedings set LNCS 11727, 11728, 11729, 11730, and 11731 constitute the proceedings of the 28th International Conference on Artificial Neural Networks, ICANN 2019, held in Munich, Germany, in September 2019. The total of 277 full papers and 43 short papers presented in these proceedings was carefully reviewed and selected from 494 submissions. They were organized in 5 volumes focusing on theoretical neural computation; deep learning; image processing; text and time series; and workshop and special sessions.

Self-Organizing Neural Networks
Self-Organizing Neural Networks

Author: Udo Seiffert

Publisher: Springer Science & Business Media

Published: 2001-09-25

Total Pages: 296

ISBN-13: 9783790814170

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The Self-Organizing Map (SOM) is one of the most frequently used architectures for unsupervised artificial neural networks. Introduced by Teuvo Kohonen in the 1980s, SOMs have been developed as a very powerful method for visualization and unsupervised classification tasks by an active and innovative community of interna tional researchers. A number of extensions and modifications have been developed during the last two decades. The reason is surely not that the original algorithm was imperfect or inad equate. It is rather the universal applicability and easy handling of the SOM. Com pared to many other network paradigms, only a few parameters need to be arranged and thus also for a beginner the network leads to useful and reliable results. Never theless there is scope for improvements and sophisticated new developments as this book impressively demonstrates. The number of published applications utilizing the SOM appears to be unending. As the title of this book indicates, the reader will benefit from some of the latest the oretical developments and will become acquainted with a number of challenging real-world applications. Our aim in producing this book has been to provide an up to-date treatment of the field of self-organizing neural networks, which will be ac cessible to researchers, practitioners and graduated students from diverse disciplines in academics and industry. We are very grateful to the father of the SOMs, Professor Teuvo Kohonen for sup porting this book and contributing the first chapter.