Applications of Computer Aided Time Series Modeling
Applications of Computer Aided Time Series Modeling

Author: Masanao Aoki

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 335

ISBN-13: 1461222524

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This book consists of three parts: Part One is composed of two introductory chapters. The first chapter provides an instrumental varible interpretation of the state space time series algorithm originally proposed by Aoki (1983), and gives an introductory account for incorporating exogenous signals in state space models. The second chapter, by Havenner, gives practical guidance in apply ing this algorithm by one of the most experienced practitioners of the method. Havenner begins by summarizing six reasons state space methods are advanta geous, and then walks the reader through construction and evaluation of a state space model for four monthly macroeconomic series: industrial production in dex, consumer price index, six month commercial paper rate, and money stock (Ml). To single out one of the several important insights in modeling that he shares with the reader, he discusses in Section 2ii the effects of sampling er rors and model misspecification on successful modeling efforts. He argues that model misspecification is an important amplifier of the effects of sampling error that may cause symplectic matrices to have complex unit roots, a theoretical impossibility. Correct model specifications increase efficiency of estimators and often eliminate this finite sample problem. This is an important insight into the positive realness of covariance matrices; positivity has been emphasized by system engineers to the exclusion of other methods of reducing sampling error and alleviating what is simply a finite sample problem. The second and third parts collect papers that describe specific applications.

Time Series Modelling with Unobserved Components
Time Series Modelling with Unobserved Components

Author: Matteo M. Pelagatti

Publisher: CRC Press

Published: 2015-07-28

Total Pages: 275

ISBN-13: 1482225018

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Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical o

Data Fusion and Data Mining for Power System Monitoring
Data Fusion and Data Mining for Power System Monitoring

Author: Arturo Román Messina

Publisher: CRC Press

Published: 2020-06-03

Total Pages: 170

ISBN-13: 1000065936

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Data Fusion and Data Mining for Power System Monitoring provides a comprehensive treatment of advanced data fusion and data mining techniques for power system monitoring with focus on use of synchronized phasor networks. Relevant statistical data mining techniques are given, and efficient methods to cluster and visualize data collected from multiple sensors are discussed. Both linear and nonlinear data-driven mining and fusion techniques are reviewed, with emphasis on the analysis and visualization of massive distributed data sets. Challenges involved in realistic monitoring, visualization, and analysis of observation data from actual events are also emphasized, supported by examples of relevant applications. Features Focuses on systematic illustration of data mining and fusion in power systems Covers issues of standards used in the power industry for data mining and data analytics Applications to a wide range of power networks are provided including distribution and transmission networks Provides holistic approach to the problem of data mining and data fusion using cutting-edge methodologies and technologies Includes applications to massive spatiotemporal data from simulations and actual events

Forecasting: principles and practice
Forecasting: principles and practice

Author: Rob J Hyndman

Publisher: OTexts

Published: 2018-05-08

Total Pages: 380

ISBN-13: 0987507117

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Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.

SAS for Forecasting Time Series, Third Edition
SAS for Forecasting Time Series, Third Edition

Author: John C. Brocklebank, Ph.D.

Publisher: SAS Institute

Published: 2018-03-14

Total Pages: 616

ISBN-13: 1629605441

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To use statistical methods and SAS applications to forecast the future values of data taken over time, you need only follow this thoroughly updated classic on the subject. With this third edition of SAS for Forecasting Time Series, intermediate-to-advanced SAS users—such as statisticians, economists, and data scientists—can now match the most sophisticated forecasting methods to the most current SAS applications. Starting with fundamentals, this new edition presents methods for modeling both univariate and multivariate data taken over time. From the well-known ARIMA models to unobserved components, methods that span the range from simple to complex are discussed and illustrated. Many of the newer methods are variations on the basic ARIMA structures. Completely updated, this new edition includes fresh, interesting business situations and data sets, and new sections on these up-to-date statistical methods: ARIMA models Vector autoregressive models Exponential smoothing models Unobserved component and state-space models Seasonal adjustment Spectral analysis Focusing on application, this guide teaches a wide range of forecasting techniques by example. The examples provide the statistical underpinnings necessary to put the methods into practice. The following up-to-date SAS applications are covered in this edition: The ARIMA procedure The AUTOREG procedure The VARMAX procedure The ESM procedure The UCM and SSM procedures The X13 procedure The SPECTRA procedure SAS Forecast Studio Each SAS application is presented with explanation of its strengths, weaknesses, and best uses. Even users of automated forecasting systems will benefit from this knowledge of what is done and why. Moreover, the accompanying examples can serve as templates that you easily adjust to fit your specific forecasting needs. This book is part of the SAS Press program.

The Structural Econometric Time Series Analysis Approach
The Structural Econometric Time Series Analysis Approach

Author: Arnold Zellner

Publisher: Cambridge University Press

Published: 2004-10-21

Total Pages: 736

ISBN-13: 9781139453431

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Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.