A course in time series analysis:
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| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Wiley
2001
|
| Series: | Wiley Series in probability and statistics
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XVII, 460 S. graph. Darst. |
| ISBN: | 047136164X |
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| 245 | 1 | 0 | |a A course in time series analysis |c ed. by Daniel Peña ... |
| 264 | 1 | |a New York [u.a.] |b Wiley |c 2001 | |
| 300 | |a XVII, 460 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley Series in probability and statistics | |
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| adam_text | Contents
Preface
xv
About ECAS
xvi
Contributors
xvii
1.
Introduction
1
D.
Peña
and
G. C
Tiao
1.1.
Examples of time series problems,
1
1.1.1.
Stationary series,
2
1.1.2.
Nonstationary series,
3
1.1.3.
Seasonal series,
5
1.1.4.
Level shifts and outliers in time series,
7
1.1.5.
Variance changes,
7
1.1.6.
Asymmetric time series,
7
1.1.7.
Unidirectional-feedback relation between series,
9
1.1.8.
Comovement and cointegration,
10
1.2.
Overview of the book,
10
1.3.
Further reading,
19
PART I BASIC CONCEPTS IN UNIVARIATE TIME SERIES
2.
Univariate Time Series: Autocorrelation, Linear Prediction,
Spectrum, and State-Space Model
25
G. T. Wilson
2.1.
Linear time series models,
25
2.2.
The autocorrelation function,
28
2.3.
Lagged prediction and the partial autocorrelation function,
33
VÍ
CONTENTS
2.4.
Transformations to stationarity,
35
2.5.
Cycles and the
periodogram,
37
2.6.
The spectrum,
42
2.7.
Further interpretation of time series acf, pacf,
and spectrum,
46
2.8.
State-space models and the
Kalman
Filter,
48
3.
Univariate
Autoregressive
Moving-Average Models
53
G. C
Tiao
3.1.
Introduction,
53
3.1.1.
Univariate
ARMA
models,
54
3.1.2.
Outline of the chapter,
55
3.2.
Some basic properties of univariate
ARMA
models,
55
3.2.1.
The
ψ
and it weights,
56
3.2.2.
Stationarity condition and autocovariance structure
ofz/,
58
3.2.3.
The autocorrelation function,
59
3.2.4.
The partial autocorrelation function,
60
3.2.5.
The extended autocorrelaton function,
61
3.3.
Model specification strategy,
63
3.3.1.
Tentative specification,
63
3.3.2.
Tentative model specification via SEACF,
67
3.4.
Examples,
68
4.
Model Fitting and Checking, and the
Kalman
Filter
86
G. T. Wilson
4.1.
Prediction error and the estimation criterion,
86
4.2.
The likelihood of
ARMA
models,
90
4.3.
Likelihoods calculated using orthogonal errors,
94
4.4.
Properties of estimates and problems in estimation,
98
4.5.
Checking the fitted model,
101
4.6.
Estimation by fitting to the sample spectrum,
104
4.7.
Estimation of structural models by the
Kalman
filter,
105
5.
Prediction and Model Selection 111
D.
Peña
5.1.
Introduction, 111
5.2.
Properties of minimum mean-square error prediction,
112
5.2.1.
Prediction by the conditional expectation,
112
5.2.2.
Linear predictions,
113
CONTENTS
VU
5.3.
The computation of ARIMA forecasts,
114
5.4.
Interpreting the forecasts from ARIMA models,
116
5.4.1.
Nonseasonal models,
116
5.4.2.
Seasonal models,
120
5.5.
Prediction confidence intervals,
123
5.5.1.
Known parameter values,
123
5.5.2.
Unknown parameter values,
124
5.6.
Forecast updating,
125
5.6.1.
Computing updated forecasts,
125
5.6.2.
Testing model stability,
125
5.7.
The combination of forecasts,
129
5.8.
Model selection criteria,
131
5.8.1.
The FPE and AIC criteria,
131
5.8.2.
The
Schwarz
criterion,
133
5.9.
Conclusions,
133
6.
Outliers, Influential Observations, and Missing Data
136
D.
Peña
6.1.
Introduction,
136
6.2.
Types of outliers in time series,
138
6.2.1.
Additive outliers,
138
6.2.2.
Innovative outliers,
141
6.2.3.
Level shifts,
143
6.2.4.
Outliers and intervention analysis,
146
6.3.
Procedures for outlier identification and estimation,
147
6.3.1.
Estimation of outlier effects,
148
6.3.2.
Testing for outliers,
149
6.4.
Influential observations,
152
6.4.1.
Influence on time series,
152
6.4.2.
Influential observations and outliers,
153
6.5.
Multiple outliers,
154
6.5.1.
Masking effects,
154
6.5.2.
Procedures for multiple outlier identification,
156
6.6.
Missing-value estimation,
160
6.6.1.
Optimal interpolation and inverse autocorrelation
function,
160
6.6.2.
Estimation of missing values,
162
6.7.
Forecasting with outliers,
164
6.8.
Other approaches,
166
6.9.
Appendix,
166
CONTENTS
Automatic
Modeling Methods for Univariate Series
171
V.
Gómez
and A. Maravall
7.1.
Classical model identification methods,
171
7.1.1.
Subjectivity of the classical methods,
172
7.1.2.
The difficulties with mixed
ARMA
models,
173
7.2.
Automatic model identification methods,
173
7.2.1.
Unit root testing,
174
7.2.2.
Penalty function methods,
174
7.2.3.
Pattern identification methods,
175
7.2.4.
Uniqueness of the solution and the purpose of
modeling,
176
7.3.
Tools for automatic model identification,
177
7.3.1.
Test for the log-level specification,
177
7.3.2.
Regression techniques for estimating unit roots,
178
7.3.3.
The Hannan-Rissanen method,
181
7.3.4.
Liu s filtering method,
185
7.4.
Automatic modeling methods in the presence of outliers,
186
7.4.1.
Algorithms for automatic outlier detection and
correction,
186
7.4.2.
Estimation and filtering techniques to speed up the
algorithms,
190
7.4.3.
The need to robustify automatic modeling methods,
191
7.4.4.
An algorithm for automatic model identification in
the presence of outliers,
191
7.5.
An automatic procedure for the general regression-ARIMA
model in the presence of outlierw, special effects, and,
possibly, missing observations,
192
7.5.1.
Missing observations,
192
7.5.2.
Trading day and Easter effects,
193
7.5.3.
Intervention and regression effects,
194
7.6.
Examples,
194
7.7.
Tabular summary,
196
Seasonal Adjustment and Signal Extraction
Time Series
202
V.
Gómez
and A. Maravall
8.1.
Introduction,
202
8.2.
Some remarks on the evolution of seasonal adjustment
methods,
204
CONTENTS
ІХ
8.2.1. Evolution
of the methodologie
approach,
204
8.2.2.
The situation at present,
207
8.3.
The need for preadjustment,
209
8.4.
Model specification,
210
8.5.
Estimation of the components,
213
8.5.1.
Stationary case,
215
8.5.2.
Nonstationary series,
217
8.6
Historical or final estimator,
218
8.6.1.
Properties of final estimator,
218
8.6.2.
Component versus estimator,
219
8.6.3.
Covariance between estimators,
221
8.7.
Estimators for recent periods,
221
8.8.
Revisions in the estimator,
223
8.8.1.
Structure of the revision,
223
8.8.2.
Optimality of the revisions,
224
8.9.
Inference,
225
8.9.1.
Optical Forecasts of the Components,
225
8.9.2.
Estimation error,
225
8.9.3.
Growth rate precision,
226
8.9.4.
The gain from concurrent adjustment,
227
8.9.5.
Innovations in the components
(pseudoinnovations),
228
8.10.
An example,
228
8.11.
Relation with fixed filters,
235
8.12.
Short-versus long-term trends; measuring economic cycles,
236
PART II ADVANCED TOPICS IN UNIVARIATE TIME SERIES
9.
Heteroscedastic Models
249
R. S. Tsay
9.1.
The ARCH model,
250
9.1.1.
Some simple properties of ARCH models,
252
9.1.2.
Weaknesses of ARCH models,
254
9.1.3.
Building ARCH models,
254
9.1.4.
An illustrative example,
255
9.2.
The GARCH Model,
256
9.2.1.
An illustrative example,
257
9.2.2.
Remarks,
259
X
CONTENTS
9.3.
The exponential GARCH model,
260
9.3.1.
An illustrative example,
261
9.4.
The
CHARMA
model,
262
9.5.
Random coefficient
autoregressive
(RCA) model,
263
9.6.
Stochastic volatility model,
264
9.7.
Long-memory stochastic volatility model,
265
10.
Nonlinear Time Series Models: Testing and Applications
267
R. S. Tsay
10.1.
Introduction,
267
10.2.
Nonlinearity tests,
268
10.2.1.
The test,
268
10.2.2.
Comparison and application,
270
10.3.
The Tar model,
274
10.3.1.
U.S. real GNP,
275
10.3.2. Postsample
forecasts and discussion,
279
10.4.
Concluding remarks,
282
11.
Bayesian Time Series Analysis
286
R. S. Tsay
11.1.
Introduction,
286
11.2.
A general univariate time series model,
288
11.3.
Estimation,
289
11.3.1.
Gibbs sampling,
291
11.3.2.
Griddy Gibbs,
292
11.3.3.
An illustrative example,
292
11.4.
Model discrimination,
294
11.4.1.
A mixed model with switching,
295
11.4.2.
Implementation,
296
11.5.
Examples,
297
12
Nonparametric Time Series Analysis: Nonparametric
Regression, Locally Weighted Regression,
Autoregression,
and Quantiie Regression
308
S. Heiler
12.1
Introduction,
308
12.2
Nonparametric regression,
309
12.3
Kernel estimation in time series,
314
12.4
Problems of simple kernel estimation and restricted
approaches,
319
CONTENTS
ХІ
12.5
Locally weighted regression,
321
12.6
Applications of locally weighted regression to time series,
329
12.7
Parameter selection,
330
12.8
Time series decomposition with locally weighted regression,
336
13.
Neural Network Models
348
K. Hornik and F. Leisch
13.1.
Introduction,
348
13.2.
The multilayer perceptron,
349
13.3.
Autoregressive
neural network models,
354
13.3.1.
Example: Sunspot series,
355
13.4.
The recurrent perceptron,
356
13.4.1.
Examples of recurrent neural network models,
357
13.4.2.
A unifying view,
359
PART III MULTIVARIATE TIME SERIES
14.
Vector
ARMA
Models
365
G. C
Tiao
14.1.
Introduction,
365
14.2.
Transfer function or unidirectional models,
366
14.3.
The vector
ARMA
model,
368
14.3.1.
Some simple examples,
368
14.3.2.
Relationship to transfer function model,
371
14.3.3.
Cross-covariance and correlation matrices,
371
14.3.4.
The partial autoregression matrices,
372
14.4.
Model building strategy for multiple time series,
373
14.4.1.
Tentative specification,
373
14.4.2.
Estimation,
378
14.4.3.
Diagnostic checking,
379
14.5.
Analyses of three examples,
380
14.5.1.
The SCC data,
380
14.5.2.
The gas furnace data,
383
14.5.3.
The census housing data,
387
14.6.
Structural analysis of multivariate time series,
392
14.6.1.
A canonical analysis of multiple time series,
395
xii CONTENTS
14.7.
Scalar
component
models in multiple time series,
396
14.7.1.
Scalar component models,
398
14.7.2.
Exchangeable models and overparameterization,
400
14.7.3.
Model specification via canonical correlation
analysis,
402
14.7.4.
An illustrative example,
403
14.7.5.
Some further remarks,
404
15.
Cointegration
in the
VAR
Model
408
S. Johansen
15.1.
Introduction,
408
15.1.1.
Basic definitions,
409
15.2.
Solving
autoregressive
equations,
412
15.2.1.
Some examples,
412
15.2.2.
An inversion theorem for matrix polynomials,
414
15.2.3.
Granger s representation,
417
15.2.4.
Prediction,
419
15.3.
The statistical model for I(
1 )
variables,
420
15.3.1.
Hypotheses on cointegrating relations,
421
15.3.2.
Estimation of cointegrating vectors and calculation
of test statistics,
422
15.3.3.
Estimation of
β
under restrictions,
426
15.4.
Asymptotic theory,
426
15.4.1.
Asymptotic results,
427
15.4.2.
Test for cointegrating rank,
427
15.4.3.
Asymptotic distribution of
β
and test for restrictions
on
β,
429
15.5.
Various applications of the
cointegration
model,
432
15.5.1.
Rational expectations,
432
15.5.2.
Arbitrage pricing theory,
433
15.5.3.
Seasonal
cointegration,
433
16.
Identification of Linear Dynamic Multiinput/Multioutput Systems
436
M. Deistler
16.1.
Introduction and problem statement,
436
16.2.
Representations of linear systems,
438
16.2.1.
Input/output representations,
438
CONTENTS
ХІІІ
16.2.2.
Solutions of linear vector difference equations
(VDEs),
440
16.2.3.
ARMA
and state-space representations,
441
16.3.
The structure of state-space systems,
443
16.4.
The structure of
ARMA
systems,
444
16.5.
The realization of state-space systems,
445
16.5.1.
General structure,
445
16.5.2.
Echelon forms,
447
16.6.
The realization of
ARMA
systems,
448
16.7.
Parametrization,
449
16.8.
Estimation of real-valued parameters,
452
16.9.
Dynamic specification,
454
INDEX
457
New statistical methods and future
directions of research in time series
A Course in Time Scries Aadivsis demonstrates how to build time series models
for univariate and multivariate time series data. It brings together material pre¬
viously 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 world 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,
Л
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.
is Professor of Statistics,
Universidad
Carlos III
de
Madrid,
is W. Allen
Wallis
Professor of Statistics and Econometrics,
Graduate School of Business,
Universit}·
of Chicago. is H. G. B.
Alexander Professor of Statistics and Econometrics, Graduate School of Business,
Universitv of Chicago.
|
| any_adam_object | 1 |
| author2 | Peña, Daniel 1948- |
| author2_role | edt |
| author2_variant | d p dp |
| author_GND | (DE-588)141140135 |
| author_facet | Peña, Daniel 1948- |
| building | Verbundindex |
| bvnumber | BV013686204 |
| classification_rvk | QH 237 SK 845 |
| classification_tum | MAT 634f |
| ctrlnum | (OCoLC)248385458 (DE-599)BVBBV013686204 |
| dewey-full | 519.55 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.55 |
| dewey-search | 519.55 |
| dewey-sort | 3519.55 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV013686204 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:50:14Z |
| institution | BVB |
| isbn | 047136164X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009352596 |
| oclc_num | 248385458 |
| open_access_boolean | |
| owner | DE-N2 DE-703 DE-1047 DE-91 DE-BY-TUM DE-739 DE-11 DE-188 |
| owner_facet | DE-N2 DE-703 DE-1047 DE-91 DE-BY-TUM DE-739 DE-11 DE-188 |
| physical | XVII, 460 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley Series in probability and statistics |
| spelling | A course in time series analysis ed. by Daniel Peña ... New York [u.a.] Wiley 2001 XVII, 460 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley Series in probability and statistics Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Peña, Daniel 1948- (DE-588)141140135 edt Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009352596&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009352596&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | A course in time series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4067486-1 |
| title | A course in time series analysis |
| title_auth | A course in time series analysis |
| title_exact_search | A course in time series analysis |
| title_full | A course in time series analysis ed. by Daniel Peña ... |
| title_fullStr | A course in time series analysis ed. by Daniel Peña ... |
| title_full_unstemmed | A course in time series analysis ed. by Daniel Peña ... |
| title_short | A course in time series analysis |
| title_sort | a course in time series analysis |
| topic | Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009352596&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009352596&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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