Time Series Analysis

With Applications in R
Author: Jonathan D. Cryer,Kung-Sik Chan
Publisher: Springer Science & Business Media
ISBN: 038775959X
Category: Mathematics
Page: 491
View: 9048

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This book has been developed for a one-semester course usually attended by students in statistics, economics, business, engineering, and quantitative social sciences. A unique feature of this edition is its integration with the R computing environment. Basic applied statistics is assumed through multiple regression. Calculus is assumed only to the extent of minimizing sums of squares but a calculus-based introduction to statistics is necessary for a thorough understanding of some of the theory. Actual time series data drawn from various disciplines are used throughout the book to illustrate the methodology.

Time Series Analysis and Its Applications

With R Examples
Author: Robert H. Shumway,David S. Stoffer
Publisher: Springer
ISBN: 3319524526
Category: Mathematics
Page: 562
View: 8148

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The fourth edition of this popular graduate textbook, like its predecessors, presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using nontrivial data illustrate solutions to problems such as discovering natural and anthropogenic climate change, evaluating pain perception experiments using functional magnetic resonance imaging, and monitoring a nuclear test ban treaty. The book is designed as a textbook for graduate level students in the physical, biological, and social sciences and as a graduate level text in statistics. Some parts may also serve as an undergraduate introductory course. Theory and methodology are separated to allow presentations on different levels. In addition to coverage of classical methods of time series regression, ARIMA models, spectral analysis and state-space models, the text includes modern developments including categorical time series analysis, multivariate spectral methods, long memory series, nonlinear models, resampling techniques, GARCH models, ARMAX models, stochastic volatility, wavelets, and Markov chain Monte Carlo integration methods. This edition includes R code for each numerical example in addition to Appendix R, which provides a reference for the data sets and R scripts used in the text in addition to a tutorial on basic R commands and R time series. An additional file is available on the book’s website for download, making all the data sets and scripts easy to load into R.

An Introduction to Statistical Learning

with Applications in R
Author: Gareth James,Daniela Witten,Trevor Hastie,Robert Tibshirani
Publisher: Springer Science & Business Media
ISBN: 1461471389
Category: Mathematics
Page: 426
View: 2714

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An Introduction to Statistical Learning provides an accessible overview of the field of statistical learning, an essential toolset for making sense of the vast and complex data sets that have emerged in fields ranging from biology to finance to marketing to astrophysics in the past twenty years. This book presents some of the most important modeling and prediction techniques, along with relevant applications. Topics include linear regression, classification, resampling methods, shrinkage approaches, tree-based methods, support vector machines, clustering, and more. Color graphics and real-world examples are used to illustrate the methods presented. Since the goal of this textbook is to facilitate the use of these statistical learning techniques by practitioners in science, industry, and other fields, each chapter contains a tutorial on implementing the analyses and methods presented in R, an extremely popular open source statistical software platform. Two of the authors co-wrote The Elements of Statistical Learning (Hastie, Tibshirani and Friedman, 2nd edition 2009), a popular reference book for statistics and machine learning researchers. An Introduction to Statistical Learning covers many of the same topics, but at a level accessible to a much broader audience. This book is targeted at statisticians and non-statisticians alike who wish to use cutting-edge statistical learning techniques to analyze their data. The text assumes only a previous course in linear regression and no knowledge of matrix algebra.

Elements of Multivariate Time Series Analysis


Author: Gregory C. Reinsel
Publisher: Springer Science & Business Media
ISBN: 146840198X
Category: Mathematics
Page: 263
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The use of methods of time series analysis in the study of multivariate time series has become of increased interest in recent years. Although the methods are rather well developed and understood for univarjate time series analysis, the situation is not so complete for the multivariate case. This book is designed to introduce the basic concepts and methods that are useful in the analysis and modeling of multivariate time series, with illustrations of these basic ideas. The development includes both traditional topics such as autocovariance and auto correlation matrices of stationary processes, properties of vector ARMA models, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and model checking diagnostics for residuals, as well as topics of more recent interest for vector ARMA models such as reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate unit-root models and cointegration structure, and state-space models and Kalman filtering techniques and applications. This book concentrates on the time-domain analysis of multivariate time series, and the important subject of spectral analysis is not considered here. For that topic, the reader is referred to the excellent books by Jenkins and Watts (1968), Hannan (1970), Priestley (1981), and others.

Introductory Time Series with R


Author: Paul S.P. Cowpertwait,Andrew V. Metcalfe
Publisher: Springer Science & Business Media
ISBN: 0387886982
Category: Mathematics
Page: 256
View: 9444

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This book gives you a step-by-step introduction to analysing time series using the open source software R. Each time series model is motivated with practical applications, and is defined in mathematical notation. Once the model has been introduced it is used to generate synthetic data, using R code, and these generated data are then used to estimate its parameters. This sequence enhances understanding of both the time series model and the R function used to fit the model to data. Finally, the model is used to analyse observed data taken from a practical application. By using R, the whole procedure can be reproduced by the reader. All the data sets used in the book are available on the website http://staff.elena.aut.ac.nz/Paul-Cowpertwait/ts/. The book is written for undergraduate students of mathematics, economics, business and finance, geography, engineering and related disciplines, and postgraduate students who may need to analyse time series as part of their taught programme or their research.

Introduction to Time Series and Forecasting


Author: Peter J. Brockwell,Richard A. Davis
Publisher: Springer
ISBN: 3319298542
Category: Mathematics
Page: 425
View: 4912

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This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering and the natural and social sciences. It assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This third edition contains detailed instructions for the use of the professional version of the Windows-based computer package ITSM2000, now available as a free download from the Springer Extras website. The logic and tools of time series model-building are developed in detail. Numerous exercises are included and the software can be used to analyze and forecast data sets of the user's own choosing. The book can also be used in conjunction with other time series packages such as those included in R. The programs in ITSM2000 however are menu-driven and can be used with minimal investment of time in the computational details. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Many additional special topics are also covered. New to this edition: A chapter devoted to Financial Time Series Introductions to Brownian motion, Lévy processes and Itô calculus An expanded section on continuous-time ARMA processes

Basic Data Analysis for Time Series with R


Author: DeWayne R. Derryberry
Publisher: John Wiley & Sons
ISBN: 1118593367
Category: Mathematics
Page: 320
View: 1283

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Written at a readily accessible level, Basic Data Analysis for Time Series with R emphasizes the mathematical importance of collaborative analysis of data used to collect increments of time or space. Balancing a theoretical and practical approach to analyzing data within the context of serial correlation, the book presents a coherent and systematic regression-based approach to model selection. The book illustrates these principles of model selection and model building through the use of information criteria, cross validation, hypothesis tests, and confidence intervals. Focusing on frequency- and time-domain and trigonometric regression as the primary themes, the book also includes modern topical coverage on Fourier series and Akaike's Information Criterion (AIC). In addition, Basic Data Analysis for Time Series with R also features: Real-world examples to provide readers with practical hands-on experience Multiple R software subroutines employed with graphical displays Numerous exercise sets intended to support readers understanding of the core concepts Specific chapters devoted to the analysis of the Wolf sunspot number data and the Vostok ice core data sets

Applied Time Series Analysis with R, Second Edition


Author: Wayne A. Woodward,Henry L. Gray,Alan C. Elliott
Publisher: CRC Press
ISBN: 1498734316
Category: Mathematics
Page: 634
View: 5692

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Virtually any random process developing chronologically can be viewed as a time series. In economics closing prices of stocks, the cost of money, the jobless rate, and retail sales are just a few examples of many. Developed from course notes and extensively classroom-tested, Applied Time Series Analysis with R, Second Edition includes examples across a variety of fields, develops theory, and provides an R-based software package to aid in addressing time series problems in a broad spectrum of fields. The material is organized in an optimal format for graduate students in statistics as well as in the natural and social sciences to learn to use and understand the tools of applied time series analysis. Features Gives readers the ability to actually solve significant real-world problems Addresses many types of nonstationary time series and cutting-edge methodologies Promotes understanding of the data and associated models rather than viewing it as the output of a "black box" Provides the R package tswge available on CRAN which contains functions and over 100 real and simulated data sets to accompany the book. Extensive help regarding the use of tswge functions is provided in appendices and on an associated website. Over 150 exercises and extensive support for instructors The second edition includes additional real-data examples, uses R-based code that helps students easily analyze data, generate realizations from models, and explore the associated characteristics. It also adds discussion of new advances in the analysis of long memory data and data with time-varying frequencies (TVF).

Bayesian Essentials with R


Author: Jean-Michel Marin,Christian P. Robert
Publisher: Springer Science & Business Media
ISBN: 1461486874
Category: Computers
Page: 296
View: 1237

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This Bayesian modeling book provides a self-contained entry to computational Bayesian statistics. Focusing on the most standard statistical models and backed up by real datasets and an all-inclusive R (CRAN) package called bayess, the book provides an operational methodology for conducting Bayesian inference, rather than focusing on its theoretical and philosophical justifications. Readers are empowered to participate in the real-life data analysis situations depicted here from the beginning. Special attention is paid to the derivation of prior distributions in each case and specific reference solutions are given for each of the models. Similarly, computational details are worked out to lead the reader towards an effective programming of the methods given in the book. In particular, all R codes are discussed with enough detail to make them readily understandable and expandable. Bayesian Essentials with R can be used as a textbook at both undergraduate and graduate levels. It is particularly useful with students in professional degree programs and scientists to analyze data the Bayesian way. The text will also enhance introductory courses on Bayesian statistics. Prerequisites for the book are an undergraduate background in probability and statistics, if not in Bayesian statistics.

Nonlinear Time Series Analysis with R


Author: Ray Huffaker,Marco Bittelli,Rodolfo Rosa
Publisher: Oxford University Press
ISBN: 0191085790
Category: Mathematics
Page: 312
View: 2122

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Nonlinear Time Series Analysis with R provides a practical guide to emerging empirical techniques allowing practitioners to diagnose whether highly fluctuating and random appearing data are most likely driven by random or deterministic dynamic forces. It joins the chorus of voices recommending 'getting to know your data' as an essential preliminary evidentiary step in modelling. Time series are often highly fluctuating with a random appearance. Observed volatility is commonly attributed to exogenous random shocks to stable real-world systems. However, breakthroughs in nonlinear dynamics raise another possibility: highly complex dynamics can emerge endogenously from astoundingly parsimonious deterministic nonlinear models. Nonlinear Time Series Analysis (NLTS) is a collection of empirical tools designed to aid practitioners detect whether stochastic or deterministic dynamics most likely drive observed complexity. Practitioners become 'data detectives' accumulating hard empirical evidence supporting their modelling approach. This book is targeted to professionals and graduate students in engineering and the biophysical and social sciences. Its major objectives are to help non-mathematicians—with limited knowledge of nonlinear dynamics—to become operational in NLTS; and in this way to pave the way for NLTS to be adopted in the conventional empirical toolbox and core coursework of the targeted disciplines. Consistent with modern trends in university instruction, the book makes readers active learners with hands-on computer experiments in R code directing them through NLTS methods and helping them understand the underlying logic. The computer code is explained in detail so that readers can adjust it for use in their own work. The book also provides readers with an explicit framework—condensed from sound empirical practices recommended in the literature—that details a step-by-step procedure for applying NLTS in real-world data diagnostics.

All of Statistics

A Concise Course in Statistical Inference
Author: Larry Wasserman
Publisher: Springer Science & Business Media
ISBN: 0387217363
Category: Mathematics
Page: 442
View: 9667

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Taken literally, the title "All of Statistics" is an exaggeration. But in spirit, the title is apt, as the book does cover a much broader range of topics than a typical introductory book on mathematical statistics. This book is for people who want to learn probability and statistics quickly. It is suitable for graduate or advanced undergraduate students in computer science, mathematics, statistics, and related disciplines. The book includes modern topics like non-parametric curve estimation, bootstrapping, and classification, topics that are usually relegated to follow-up courses. The reader is presumed to know calculus and a little linear algebra. No previous knowledge of probability and statistics is required. Statistics, data mining, and machine learning are all concerned with collecting and analysing data.

Statistical Analysis of Financial Data in R


Author: René Carmona
Publisher: Springer Science & Business Media
ISBN: 1461487889
Category: Business & Economics
Page: 588
View: 9961

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Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This textbook fills this gap by addressing some of the most challenging issues facing financial engineers. It shows how sophisticated mathematics and modern statistical techniques can be used in the solutions of concrete financial problems. Concerns of risk management are addressed by the study of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Principal component analysis (PCA), smoothing, and regression techniques are applied to the construction of yield and forward curves. Time series analysis is applied to the study of temperature options and nonparametric estimation. Nonlinear filtering is applied to Monte Carlo simulations, option pricing and earnings prediction. This textbook is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. It is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the R computing environment. They illustrate problems occurring in the commodity, energy and weather markets, as well as the fixed income, equity and credit markets. The examples, experiments and problem sets are based on the library Rsafd developed for the purpose of the text. The book should help quantitative analysts learn and implement advanced statistical concepts. Also, it will be valuable for researchers wishing to gain experience with financial data, implement and test mathematical theories, and address practical issues that are often ignored or underestimated in academic curricula. This is the new, fully-revised edition to the book Statistical Analysis of Financial Data in S-Plus. René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering, and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over one hundred articles and eight books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and of the Society for Industrial and Applied Mathematics in 2010. He is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching statistics and research in signal analysis and financial engineering. He has worked for many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leading researcher and expert in these areas.

Climate Time Series Analysis

Classical Statistical and Bootstrap Methods
Author: Manfred Mudelsee
Publisher: Springer Science & Business Media
ISBN: 9789048194827
Category: Science
Page: 474
View: 3985

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Climate is a paradigm of a complex system. Analysing climate data is an exciting challenge, which is increased by non-normal distributional shape, serial dependence, uneven spacing and timescale uncertainties. This book presents bootstrap resampling as a computing-intensive method able to meet the challenge. It shows the bootstrap to perform reliably in the most important statistical estimation techniques: regression, spectral analysis, extreme values and correlation. This book is written for climatologists and applied statisticians. It explains step by step the bootstrap algorithms (including novel adaptions) and methods for confidence interval construction. It tests the accuracy of the algorithms by means of Monte Carlo experiments. It analyses a large array of climate time series, giving a detailed account on the data and the associated climatological questions. This makes the book self-contained for graduate students and researchers.

Statistics and Data Analysis for Financial Engineering

with R examples
Author: David Ruppert,David S. Matteson
Publisher: Springer
ISBN: 1493926144
Category: Business & Economics
Page: 719
View: 6720

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The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.

The R Book


Author: Michael J. Crawley
Publisher: John Wiley & Sons
ISBN: 1118448960
Category: Mathematics
Page: 1080
View: 4821

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Hugely successful and popular text presenting an extensive and comprehensive guide for all R users The R language is recognized as one of the most powerful and flexible statistical software packages, enabling users to apply many statistical techniques that would be impossible without such software to help implement such large data sets. R has become an essential tool for understanding and carrying out research. This edition: Features full colour text and extensive graphics throughout. Introduces a clear structure with numbered section headings to help readers locate information more efficiently. Looks at the evolution of R over the past five years. Features a new chapter on Bayesian Analysis and Meta-Analysis. Presents a fully revised and updated bibliography and reference section. Is supported by an accompanying website allowing examples from the text to be run by the user. Praise for the first edition: ‘…if you are an R user or wannabe R user, this text is the one that should be on your shelf. The breadth of topics covered is unsurpassed when it comes to texts on data analysis in R.’ (The American Statistician, August 2008) ‘The High-level software language of R is setting standards in quantitative analysis. And now anybody can get to grips with it thanks to The R Book…’ (Professional Pensions, July 2007)

Time Series Analysis

Univariate and Multivariate Methods
Author: William W. S. Wei,William W. S.. Wei,David P. Reilly
Publisher: Addison-Wesley
ISBN: N.A
Category: Mathematics
Page: 478
View: 9217

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Emphasizing and providing a broad coverage of methodology, this comprehensive book is of interest to a variety of people in the applied sciences who want to know how time series can be used in their areas of research. The book provides useful examples that show the operational details and purpose of the methods. It covers methods extensively, and illustrates them with numerous figures, tables and examples using many real-life time series data sets. The book also introduces univariate and multivariate time series models and methods which are useful for analyzing, modeling, and forecasting data collected sequentially in time, and provides a balanced treatment between theory and applications. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses, and it gives extensive coverage of both univariate and multivariate time series methods, including the most recently developed techniques in the field.

An Introduction to Analysis of Financial Data with R


Author: Ruey S. Tsay
Publisher: John Wiley & Sons
ISBN: 1119013461
Category: Business & Economics
Page: 416
View: 1366

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A complete set of statistical tools for beginning financial analysts from a leading authority Written by one of the leading experts on the topic, An Introduction to Analysis of Financial Data with R explores basic concepts of visualization of financial data. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The author supplies a hands-on introduction to the analysis of financial data using the freely available R software package and case studies to illustrate actual implementations of the discussed methods. The book begins with the basics of financial data, discussing their summary statistics and related visualization methods. Subsequent chapters explore basic time series analysis and simple econometric models for business, finance, and economics as well as related topics including: Linear time series analysis, with coverage of exponential smoothing for forecasting and methods for model comparison Different approaches to calculating asset volatility and various volatility models High-frequency financial data and simple models for price changes, trading intensity, and realized volatility Quantitative methods for risk management, including value at risk and conditional value at risk Econometric and statistical methods for risk assessment based on extreme value theory and quantile regression Throughout the book, the visual nature of the topic is showcased through graphical representations in R, and two detailed case studies demonstrate the relevance of statistics in finance. A related website features additional data sets and R scripts so readers can create their own simulations and test their comprehension of the presented techniques. An Introduction to Analysis of Financial Data with R is an excellent book for introductory courses on time series and business statistics at the upper-undergraduate and graduate level. The book is also an excellent resource for researchers and practitioners in the fields of business, finance, and economics who would like to enhance their understanding of financial data and today's financial markets.

Time Series Analysis and Forecasting by Example


Author: Søren Bisgaard,Murat Kulahci
Publisher: John Wiley & Sons
ISBN: 9781118056950
Category: Mathematics
Page: 400
View: 1071

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An intuition-based approach enables you to master time series analysis with ease Time Series Analysis and Forecasting by Example provides the fundamental techniques in time series analysis using various examples. By introducing necessary theory through examples that showcase the discussed topics, the authors successfully help readers develop an intuitive understanding of seemingly complicated time series models and their implications. The book presents methodologies for time series analysis in a simplified, example-based approach. Using graphics, the authors discuss each presented example in detail and explain the relevant theory while also focusing on the interpretation of results in data analysis. Following a discussion of why autocorrelation is often observed when data is collected in time, subsequent chapters explore related topics, including: Graphical tools in time series analysis Procedures for developing stationary, non-stationary, and seasonal models How to choose the best time series model Constant term and cancellation of terms in ARIMA models Forecasting using transfer function-noise models The final chapter is dedicated to key topics such as spurious relationships, autocorrelation in regression, and multiple time series. Throughout the book, real-world examples illustrate step-by-step procedures and instructions using statistical software packages such as SAS®, JMP, Minitab, SCA, and R. A related Web site features PowerPoint slides to accompany each chapter as well as the book's data sets. With its extensive use of graphics and examples to explain key concepts, Time Series Analysis and Forecasting by Example is an excellent book for courses on time series analysis at the upper-undergraduate and graduate levels. it also serves as a valuable resource for practitioners and researchers who carry out data and time series analysis in the fields of engineering, business, and economics.

Political Analysis Using R


Author: James E. Monogan III
Publisher: Springer
ISBN: 3319234463
Category: Social Science
Page: 242
View: 3803

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This book provides a narrative of how R can be useful in the analysis of public administration, public policy, and political science data specifically, in addition to the social sciences more broadly. It can serve as a textbook and reference manual for students and independent researchers who wish to use R for the first time or broaden their skill set with the program. While the book uses data drawn from political science, public administration, and policy analyses, it is written so that students and researchers in other fields should find it accessible and useful as well. By the end of the first seven chapters, an entry-level user should be well acquainted with how to use R as a traditional econometric software program. The remaining four chapters will begin to introduce the user to advanced techniques that R offers but many other programs do not make available such as how to use contributed libraries or write programs in R. The book details how to perform nearly every task routinely associated with statistical modeling: descriptive statistics, basic inferences, estimating common models, and conducting regression diagnostics. For the intermediate or advanced reader, the book aims to open up the wide array of sophisticated methods options that R makes freely available. It illustrates how user-created libraries can be installed and used in real data analysis, focusing on a handful of libraries that have been particularly prominent in political science. The last two chapters illustrate how the user can conduct linear algebra in R and create simple programs. A key point in these chapters will be that such actions are substantially easier in R than in many other programs, so advanced techniques are more accessible in R, which will appeal to scholars and policy researchers who already conduct extensive data analysis. Additionally, the book should draw the attention of students and teachers of quantitative methods in the political disciplines.

A Course in Time Series Analysis


Author: Daniel Peña,George C. Tiao,Ruey S. Tsay
Publisher: John Wiley & Sons
ISBN: 1118031229
Category: Mathematics
Page: 496
View: 881

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New statistical methods and future directions of research in time series A Course in Time Series Analysis demonstrates how to build time series models for univariate and multivariate time series data. It brings together material previously available only in the professional literature and presents a unified view of the most advanced procedures available for time series model building. The authors begin with basic concepts in univariate time series, providing an up-to-date presentation of ARIMA models, including the Kalman filter, outlier analysis, automatic methods for building ARIMA models, and signal extraction. They then move on to advanced topics, focusing on heteroscedastic models, nonlinear time series models, Bayesian time series analysis, nonparametric time series analysis, and neural networks. Multivariate time series coverage includes presentations on vector ARMA models, cointegration, and multivariate linear systems. Special features include: Contributions from eleven of the worldâ??s leading figures in time series Shared balance between theory and application Exercise series sets Many real data examples Consistent style and clear, common notation in all contributions 60 helpful graphs and tables Requiring no previous knowledge of the subject, A Course in Time Series Analysis is an important reference and a highly useful resource for researchers and practitioners in statistics, economics, business, engineering, and environmental analysis. An Instructor's Manual presenting detailed solutions to all the problems in the book is available upon request from the Wiley editorial department.