Diagnostic Methods in Time Series

Diagnostic Methods in Time Series

Author: Fumiya Akashi

Publisher: Springer Nature

Published: 2021-06-08

Total Pages: 117

ISBN-13: 9811622647

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This book contains new aspects of model diagnostics in time series analysis, including variable selection problems and higher-order asymptotics of tests. This is the first book to cover systematic approaches and widely applicable results for nonstandard models including infinite variance processes. The book begins by introducing a unified view of a portmanteau-type test based on a likelihood ratio test, useful to test general parametric hypotheses inherent in statistical models. The conditions for the limit distribution of portmanteau-type tests to be asymptotically pivotal are given under general settings, and very clear implications for the relationships between the parameter of interest and the nuisance parameter are elucidated in terms of Fisher-information matrices. A robust testing procedure against heavy-tailed time series models is also constructed in the context of variable selection problems. The setting is very reasonable in the context of financial data analysis and econometrics, and the result is applicable to causality tests of heavy-tailed time series models. In the last two sections, Bartlett-type adjustments for a class of test statistics are discussed when the parameter of interest is on the boundary of the parameter space. A nonlinear adjustment procedure is proposed for a broad range of test statistics including the likelihood ratio, Wald and score statistics.


Book Synopsis Diagnostic Methods in Time Series by : Fumiya Akashi

Download or read book Diagnostic Methods in Time Series written by Fumiya Akashi and published by Springer Nature. This book was released on 2021-06-08 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains new aspects of model diagnostics in time series analysis, including variable selection problems and higher-order asymptotics of tests. This is the first book to cover systematic approaches and widely applicable results for nonstandard models including infinite variance processes. The book begins by introducing a unified view of a portmanteau-type test based on a likelihood ratio test, useful to test general parametric hypotheses inherent in statistical models. The conditions for the limit distribution of portmanteau-type tests to be asymptotically pivotal are given under general settings, and very clear implications for the relationships between the parameter of interest and the nuisance parameter are elucidated in terms of Fisher-information matrices. A robust testing procedure against heavy-tailed time series models is also constructed in the context of variable selection problems. The setting is very reasonable in the context of financial data analysis and econometrics, and the result is applicable to causality tests of heavy-tailed time series models. In the last two sections, Bartlett-type adjustments for a class of test statistics are discussed when the parameter of interest is on the boundary of the parameter space. A nonlinear adjustment procedure is proposed for a broad range of test statistics including the likelihood ratio, Wald and score statistics.

Diagnostic Checks in Time Series

Diagnostic Checks in Time Series

Author: Wai Keung Li

Publisher: CRC Press

Published: 2003-12-29

Total Pages: 216

ISBN-13: 1135441154

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Diagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks. Diagnostic Checks in Time Series helps to fill that


Book Synopsis Diagnostic Checks in Time Series by : Wai Keung Li

Download or read book Diagnostic Checks in Time Series written by Wai Keung Li and published by CRC Press. This book was released on 2003-12-29 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks. Diagnostic Checks in Time Series helps to fill that

Diagnostic Checks in Time Series

Diagnostic Checks in Time Series

Author: Wai Keung Li

Publisher: CRC Press

Published: 2003-12-29

Total Pages: 211

ISBN-13: 0203485602

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Diagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks. Diagnostic Checks in Time Series helps to fill that


Book Synopsis Diagnostic Checks in Time Series by : Wai Keung Li

Download or read book Diagnostic Checks in Time Series written by Wai Keung Li and published by CRC Press. This book was released on 2003-12-29 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diagnostic checking is an important step in the modeling process. But while the literature on diagnostic checks is quite extensive and many texts on time series modeling are available, it still remains difficult to find a book that adequately covers methods for performing diagnostic checks. Diagnostic Checks in Time Series helps to fill that

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.


Book Synopsis Forecasting: principles and practice by : Rob J Hyndman

Download or read book Forecasting: principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

An Introduction to State Space Time Series Analysis

An Introduction to State Space Time Series Analysis

Author: Jacques J. F. Commandeur

Publisher: OUP Oxford

Published: 2007-07-19

Total Pages: 192

ISBN-13: 0191607800

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Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.


Book Synopsis An Introduction to State Space Time Series Analysis by : Jacques J. F. Commandeur

Download or read book An Introduction to State Space Time Series Analysis written by Jacques J. F. Commandeur and published by OUP Oxford. This book was released on 2007-07-19 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.

Statistical Methods in Diagnostic Medicine

Statistical Methods in Diagnostic Medicine

Author: Xiao-Hua Zhou

Publisher: John Wiley & Sons

Published: 2014-08-21

Total Pages: 597

ISBN-13: 1118626044

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Praise for the First Edition " . . . the book is a valuable addition to the literature in the field, serving as a much-needed guide for both clinicians and advanced students."—Zentralblatt MATH A new edition of the cutting-edge guide to diagnostic tests in medical research In recent years, a considerable amount of research has focused on evolving methods for designing and analyzing diagnostic accuracy studies. Statistical Methods in Diagnostic Medicine, Second Edition continues to provide a comprehensive approach to the topic, guiding readers through the necessary practices for understanding these studies and generalizing the results to patient populations. Following a basic introduction to measuring test accuracy and study design, the authors successfully define various measures of diagnostic accuracy, describe strategies for designing diagnostic accuracy studies, and present key statistical methods for estimating and comparing test accuracy. Topics new to the Second Edition include: Methods for tests designed to detect and locate lesions Recommendations for covariate-adjustment Methods for estimating and comparing predictive values and sample size calculations Correcting techniques for verification and imperfect standard biases Sample size calculation for multiple reader studies when pilot data are available Updated meta-analysis methods, now incorporating random effects Three case studies thoroughly showcase some of the questions and statistical issues that arise in diagnostic medicine, with all associated data provided in detailed appendices. A related web site features Fortran, SAS®, and R software packages so that readers can conduct their own analyses. Statistical Methods in Diagnostic Medicine, Second Edition is an excellent supplement for biostatistics courses at the graduate level. It also serves as a valuable reference for clinicians and researchers working in the fields of medicine, epidemiology, and biostatistics.


Book Synopsis Statistical Methods in Diagnostic Medicine by : Xiao-Hua Zhou

Download or read book Statistical Methods in Diagnostic Medicine written by Xiao-Hua Zhou and published by John Wiley & Sons. This book was released on 2014-08-21 with total page 597 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the First Edition " . . . the book is a valuable addition to the literature in the field, serving as a much-needed guide for both clinicians and advanced students."—Zentralblatt MATH A new edition of the cutting-edge guide to diagnostic tests in medical research In recent years, a considerable amount of research has focused on evolving methods for designing and analyzing diagnostic accuracy studies. Statistical Methods in Diagnostic Medicine, Second Edition continues to provide a comprehensive approach to the topic, guiding readers through the necessary practices for understanding these studies and generalizing the results to patient populations. Following a basic introduction to measuring test accuracy and study design, the authors successfully define various measures of diagnostic accuracy, describe strategies for designing diagnostic accuracy studies, and present key statistical methods for estimating and comparing test accuracy. Topics new to the Second Edition include: Methods for tests designed to detect and locate lesions Recommendations for covariate-adjustment Methods for estimating and comparing predictive values and sample size calculations Correcting techniques for verification and imperfect standard biases Sample size calculation for multiple reader studies when pilot data are available Updated meta-analysis methods, now incorporating random effects Three case studies thoroughly showcase some of the questions and statistical issues that arise in diagnostic medicine, with all associated data provided in detailed appendices. A related web site features Fortran, SAS®, and R software packages so that readers can conduct their own analyses. Statistical Methods in Diagnostic Medicine, Second Edition is an excellent supplement for biostatistics courses at the graduate level. It also serves as a valuable reference for clinicians and researchers working in the fields of medicine, epidemiology, and biostatistics.

Time Series Analysis Univariate and Multivariate Methods

Time Series Analysis Univariate and Multivariate Methods

Author: William W. S. Wei

Publisher: Pearson

Published: 2018-03-14

Total Pages: 648

ISBN-13: 9780134995366

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With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses of univariate and multivariate time series methods, with coverage of the most recently developed techniques in the field.


Book Synopsis Time Series Analysis Univariate and Multivariate Methods by : William W. S. Wei

Download or read book Time Series Analysis Univariate and Multivariate Methods written by William W. S. Wei and published by Pearson. This book was released on 2018-03-14 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses of univariate and multivariate time series methods, with coverage of the most recently developed techniques in the field.

Time Series Analysis: Methods and Applications

Time Series Analysis: Methods and Applications

Author: Tata Subba Rao

Publisher: Elsevier

Published: 2012-06-26

Total Pages: 778

ISBN-13: 0444538585

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'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.


Book Synopsis Time Series Analysis: Methods and Applications by : Tata Subba Rao

Download or read book Time Series Analysis: Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.

Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

Author: Leena Kalliovirta

Publisher:

Published: 2009

Total Pages: 0

ISBN-13: 9789521053436

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Book Synopsis Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models by : Leena Kalliovirta

Download or read book Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models written by Leena Kalliovirta and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Diagnostic Measurement

Diagnostic Measurement

Author: Andr? A. Rupp

Publisher: Guilford Press

Published: 2010-04-09

Total Pages: 369

ISBN-13: 1606235281

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This book provides a comprehensive introduction to the theory and practice of diagnostic classification models (DCMs), which are useful for statistically driven diagnostic decision making. DCMs can be employed in a wide range of disciplines, including educational assessment and clinical psychology. For the first time in a single volume, the authors present the key conceptual underpinnings and methodological foundations for applying these models in practice. Specifically, they discuss a unified approach to DCMs, the mathematical structure of DCMs and their relationship to other latent variable models, and the implementation and estimation of DCMs using Mplus. The book's highly accessible language, real-world applications, numerous examples, and clearly annotated equations will encourage professionals and students to explore the utility and statistical properties of DCMs in their own projects. This book will appeal to professionals in the testing industry; professors and students in educational, school, clinical, and cognitive psychology. It will also serve as a useful text in doctoral-level courses in diagnostic testing, cognitive diagnostic assessment, test validity, diagnostic assessment, advanced educational measurement, psychometrics, and item response theory


Book Synopsis Diagnostic Measurement by : Andr? A. Rupp

Download or read book Diagnostic Measurement written by Andr? A. Rupp and published by Guilford Press. This book was released on 2010-04-09 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive introduction to the theory and practice of diagnostic classification models (DCMs), which are useful for statistically driven diagnostic decision making. DCMs can be employed in a wide range of disciplines, including educational assessment and clinical psychology. For the first time in a single volume, the authors present the key conceptual underpinnings and methodological foundations for applying these models in practice. Specifically, they discuss a unified approach to DCMs, the mathematical structure of DCMs and their relationship to other latent variable models, and the implementation and estimation of DCMs using Mplus. The book's highly accessible language, real-world applications, numerous examples, and clearly annotated equations will encourage professionals and students to explore the utility and statistical properties of DCMs in their own projects. This book will appeal to professionals in the testing industry; professors and students in educational, school, clinical, and cognitive psychology. It will also serve as a useful text in doctoral-level courses in diagnostic testing, cognitive diagnostic assessment, test validity, diagnostic assessment, advanced educational measurement, psychometrics, and item response theory