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An Introduction to Discrete-Valued Time Series

Author: Christian H. Weiss

Publisher: John Wiley & Sons

Published: 2018-02-05

Total Pages: 300

ISBN-13: 1119096960

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A much-needed introduction to the field of discrete-valued time series, with a focus on count-data time series Time series analysis is an essential tool in a wide array of fields, including business, economics, computer science, epidemiology, finance, manufacturing and meteorology, to name just a few. Despite growing interest in discrete-valued time series—especially those arising from counting specific objects or events at specified times—most books on time series give short shrift to that increasingly important subject area. This book seeks to rectify that state of affairs by providing a much needed introduction to discrete-valued time series, with particular focus on count-data time series. The main focus of this book is on modeling. Throughout numerous examples are provided illustrating models currently used in discrete-valued time series applications. Statistical process control, including various control charts (such as cumulative sum control charts), and performance evaluation are treated at length. Classic approaches like ARMA models and the Box-Jenkins program are also featured with the basics of these approaches summarized in an Appendix. In addition, data examples, with all relevant R code, are available on a companion website. Provides a balanced presentation of theory and practice, exploring both categorical and integer-valued series Covers common models for time series of counts as well as for categorical time series, and works out their most important stochastic properties Addresses statistical approaches for analyzing discrete-valued time series and illustrates their implementation with numerous data examples Covers classical approaches such as ARMA models, Box-Jenkins program and how to generate functions Includes dataset examples with all necessary R code provided on a companion website An Introduction to Discrete-Valued Time Series is a valuable working resource for researchers and practitioners in a broad range of fields, including statistics, data science, machine learning, and engineering. It will also be of interest to postgraduate students in statistics, mathematics and economics.

Book Synopsis An Introduction to Discrete-Valued Time Series by : Christian H. Weiss

Download or read book An Introduction to Discrete-Valued Time Series written by Christian H. Weiss and published by John Wiley & Sons. This book was released on 2018-02-05 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: A much-needed introduction to the field of discrete-valued time series, with a focus on count-data time series Time series analysis is an essential tool in a wide array of fields, including business, economics, computer science, epidemiology, finance, manufacturing and meteorology, to name just a few. Despite growing interest in discrete-valued time series—especially those arising from counting specific objects or events at specified times—most books on time series give short shrift to that increasingly important subject area. This book seeks to rectify that state of affairs by providing a much needed introduction to discrete-valued time series, with particular focus on count-data time series. The main focus of this book is on modeling. Throughout numerous examples are provided illustrating models currently used in discrete-valued time series applications. Statistical process control, including various control charts (such as cumulative sum control charts), and performance evaluation are treated at length. Classic approaches like ARMA models and the Box-Jenkins program are also featured with the basics of these approaches summarized in an Appendix. In addition, data examples, with all relevant R code, are available on a companion website. Provides a balanced presentation of theory and practice, exploring both categorical and integer-valued series Covers common models for time series of counts as well as for categorical time series, and works out their most important stochastic properties Addresses statistical approaches for analyzing discrete-valued time series and illustrates their implementation with numerous data examples Covers classical approaches such as ARMA models, Box-Jenkins program and how to generate functions Includes dataset examples with all necessary R code provided on a companion website An Introduction to Discrete-Valued Time Series is a valuable working resource for researchers and practitioners in a broad range of fields, including statistics, data science, machine learning, and engineering. It will also be of interest to postgraduate students in statistics, mathematics and economics.

Discrete Time Series, Processes, and Applications in Finance

Author: Gilles Zumbach

Publisher: Springer Science & Business Media

Published: 2012-10-04

Total Pages: 326

ISBN-13: 3642317421

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Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.

Book Synopsis Discrete Time Series, Processes, and Applications in Finance by : Gilles Zumbach

Download or read book Discrete Time Series, Processes, and Applications in Finance written by Gilles Zumbach and published by Springer Science & Business Media. This book was released on 2012-10-04 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.

Handbook of Discrete-Valued Time Series

Author: Richard A. Davis

Publisher: CRC Press

Published: 2016-01-06

Total Pages: 484

ISBN-13: 1466577746

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Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed ca

Book Synopsis Handbook of Discrete-Valued Time Series by : Richard A. Davis

Download or read book Handbook of Discrete-Valued Time Series written by Richard A. Davis and published by CRC Press. This book was released on 2016-01-06 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed ca

Discrete Mathematics

Author: Amanda Chetwynd

Publisher: Elsevier

Published: 1995-09-17

Total Pages: 224

ISBN-13: 0080928609

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As an introduction to discrete mathematics, this text provides a straightforward overview of the range of mathematical techniques available to students. Assuming very little prior knowledge, and with the minimum of technical complication, it gives an account of the foundations of modern mathematics: logic; sets; relations and functions. It then develops these ideas in the context of three particular topics: combinatorics (the mathematics of counting); probability (the mathematics of chance) and graph theory (the mathematics of connections in networks). Worked examples and graded exercises are used throughout to develop ideas and concepts. The format of this book is such that it can be easily used as the basis for a complete modular course in discrete mathematics.

Book Synopsis Discrete Mathematics by : Amanda Chetwynd

Download or read book Discrete Mathematics written by Amanda Chetwynd and published by Elsevier. This book was released on 1995-09-17 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: As an introduction to discrete mathematics, this text provides a straightforward overview of the range of mathematical techniques available to students. Assuming very little prior knowledge, and with the minimum of technical complication, it gives an account of the foundations of modern mathematics: logic; sets; relations and functions. It then develops these ideas in the context of three particular topics: combinatorics (the mathematics of counting); probability (the mathematics of chance) and graph theory (the mathematics of connections in networks). Worked examples and graded exercises are used throughout to develop ideas and concepts. The format of this book is such that it can be easily used as the basis for a complete modular course in discrete mathematics.

Mathematics Into the Twenty-first Century

Author: American Mathematical Society

Publisher: American Mathematical Soc.

Published: 1992

Total Pages: 514

ISBN-13: 9780821801673

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In the summer of 1988 in Providence, the AMS celebrated its centennial with a wide range of mathematical activities. Among those was a symposium, Mathematics into the Twenty-first Century, which brought together a number of the top research mathematicians who will likely have a significant impact on the mathematics of this century. This book contains the lectures presented by 16 of the 18 individuals who spoke during the symposium. Written by some of the major international figures in mathematical research, this group of articles covers a panorama of the vital areas of mathematics at the turn of the 21st century and gives the general mathematical reader a broad perspective on some of the major trends in research.

Book Synopsis Mathematics Into the Twenty-first Century by : American Mathematical Society

Download or read book Mathematics Into the Twenty-first Century written by American Mathematical Society and published by American Mathematical Soc.. This book was released on 1992 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the summer of 1988 in Providence, the AMS celebrated its centennial with a wide range of mathematical activities. Among those was a symposium, Mathematics into the Twenty-first Century, which brought together a number of the top research mathematicians who will likely have a significant impact on the mathematics of this century. This book contains the lectures presented by 16 of the 18 individuals who spoke during the symposium. Written by some of the major international figures in mathematical research, this group of articles covers a panorama of the vital areas of mathematics at the turn of the 21st century and gives the general mathematical reader a broad perspective on some of the major trends in research.

Harmonic Analysis on Reductive Groups

Author: W. Barker

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 395

ISBN-13: 1461204550

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A conference on Harmonic Analysis on Reductive Groups was held at Bowdoin College in Brunswick, Maine from July 31 to August 11, 1989. The stated goal of the conference was to explore recent advances in harmonic analysis on both real and p-adic groups. It was the first conference since the AMS Summer Sym posium on Harmonic Analysis on Homogeneous Spaces, held at Williamstown, Massachusetts in 1972, to cover local harmonic analysis on reductive groups in such detail and to such an extent. While the Williamstown conference was longer (three weeks) and somewhat broader (nilpotent groups, solvable groups, as well as semisimple and reductive groups), the structure and timeliness of the two meetings was remarkably similar. The program of the Bowdoin Conference consisted of two parts. First, there were six major lecture series, each consisting of several talks addressing those topics in harmonic analysis on real and p-adic groups which were the focus of intensive research during the previous decade. These lectures began at an introductory level and advanced to the current state of research. Sec ond, there was a series of single lectures in which the speakers presented an overview of their latest research.

Book Synopsis Harmonic Analysis on Reductive Groups by : W. Barker

Download or read book Harmonic Analysis on Reductive Groups written by W. Barker and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: A conference on Harmonic Analysis on Reductive Groups was held at Bowdoin College in Brunswick, Maine from July 31 to August 11, 1989. The stated goal of the conference was to explore recent advances in harmonic analysis on both real and p-adic groups. It was the first conference since the AMS Summer Sym posium on Harmonic Analysis on Homogeneous Spaces, held at Williamstown, Massachusetts in 1972, to cover local harmonic analysis on reductive groups in such detail and to such an extent. While the Williamstown conference was longer (three weeks) and somewhat broader (nilpotent groups, solvable groups, as well as semisimple and reductive groups), the structure and timeliness of the two meetings was remarkably similar. The program of the Bowdoin Conference consisted of two parts. First, there were six major lecture series, each consisting of several talks addressing those topics in harmonic analysis on real and p-adic groups which were the focus of intensive research during the previous decade. These lectures began at an introductory level and advanced to the current state of research. Sec ond, there was a series of single lectures in which the speakers presented an overview of their latest research.

Methods for the Summation of Series

Author: Tian-Xiao He

Publisher: CRC Press

Published: 2022-01-26

Total Pages: 458

ISBN-13: 1000534332

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This book presents methods for the summation of infinite and finite series and the related identities and inversion relations. The summation includes the column sums and row sums of lower triangular matrices. The convergence of the summation of infinite series is considered. The author’s focus is on symbolic methods and the Riordan array approach. In addition, this book contains hundreds summation formulas and identities, which can be used as a handbook for people working in computer science, applied mathematics, and computational mathematics, particularly, combinatorics, computational discrete mathematics, and computational number theory. The exercises at the end of each chapter help deepen understanding. Much of the materials in this book has never appeared before in textbook form. This book can be used as a suitable textbook for advanced courses for high lever undergraduate and lower lever graduate students. It is also an introductory self-study book for re- searchers interested in this field, while some materials of the book can be used as a portal for further research.

Book Synopsis Methods for the Summation of Series by : Tian-Xiao He

Download or read book Methods for the Summation of Series written by Tian-Xiao He and published by CRC Press. This book was released on 2022-01-26 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents methods for the summation of infinite and finite series and the related identities and inversion relations. The summation includes the column sums and row sums of lower triangular matrices. The convergence of the summation of infinite series is considered. The author’s focus is on symbolic methods and the Riordan array approach. In addition, this book contains hundreds summation formulas and identities, which can be used as a handbook for people working in computer science, applied mathematics, and computational mathematics, particularly, combinatorics, computational discrete mathematics, and computational number theory. The exercises at the end of each chapter help deepen understanding. Much of the materials in this book has never appeared before in textbook form. This book can be used as a suitable textbook for advanced courses for high lever undergraduate and lower lever graduate students. It is also an introductory self-study book for re- searchers interested in this field, while some materials of the book can be used as a portal for further research.

Noncompact Semisimple Lie Algebras and Groups

Author: Vladimir K. Dobrev

Publisher: Walter de Gruyter GmbH & Co KG

Published: 2016-09-12

Total Pages: 421

ISBN-13: 311042780X

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With applications in quantum field theory, elementary particle physics and general relativity, this two-volume work studies invariance of differential operators under Lie algebras, quantum groups, superalgebras including infinite-dimensional cases, Schrödinger algebras, applications to holography. This first volume covers the general aspects of Lie algebras and group theory supplemented by many concrete examples for a great variety of noncompact semisimple Lie algebras and groups. Contents: Introduction Lie Algebras and Groups Real Semisimple Lie Algebras Invariant Differential Operators Case of the Anti-de Sitter Group Conformal Case in 4D Kazhdan–Lusztig Polynomials, Subsingular Vectors, and Conditionally Invariant Equations Invariant Differential Operators for Noncompact Lie Algebras Parabolically Related to Conformal Lie Algebras Multilinear Invariant Differential Operators from New Generalized Verma Modules Bibliography Author Index Subject Index

Book Synopsis Noncompact Semisimple Lie Algebras and Groups by : Vladimir K. Dobrev

Download or read book Noncompact Semisimple Lie Algebras and Groups written by Vladimir K. Dobrev and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-09-12 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: With applications in quantum field theory, elementary particle physics and general relativity, this two-volume work studies invariance of differential operators under Lie algebras, quantum groups, superalgebras including infinite-dimensional cases, Schrödinger algebras, applications to holography. This first volume covers the general aspects of Lie algebras and group theory supplemented by many concrete examples for a great variety of noncompact semisimple Lie algebras and groups. Contents: Introduction Lie Algebras and Groups Real Semisimple Lie Algebras Invariant Differential Operators Case of the Anti-de Sitter Group Conformal Case in 4D Kazhdan–Lusztig Polynomials, Subsingular Vectors, and Conditionally Invariant Equations Invariant Differential Operators for Noncompact Lie Algebras Parabolically Related to Conformal Lie Algebras Multilinear Invariant Differential Operators from New Generalized Verma Modules Bibliography Author Index Subject Index

Relative Aspects in Representation Theory, Langlands Functoriality and Automorphic Forms

Author: Volker Heiermann

Publisher: Springer

Published: 2018-10-01

Total Pages: 364

ISBN-13: 3319952315

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This volume presents a panorama of the diverse activities organized by V. Heiermann and D. Prasad in Marseille at the CIRM for the Chaire Morlet event during the first semester of 2016. It assembles together expository articles on topics which previously could only be found in research papers. Starting with a very detailed article by P. Baumann and S. Riche on the geometric Satake correspondence, the book continues with three introductory articles on distinguished representations due to P. Broussous, F. Murnaghan, and O. Offen; an expository article of I. Badulescu on the Jacquet–Langlands correspondence; a paper of J. Arthur on functoriality and the trace formula in the context of "Beyond Endoscopy", taken from the Simons Proceedings; an article of W-W. Li attempting to generalize Godement–Jacquet theory; and a research paper of C. Moeglin and D. Renard, applying the trace formula to the local Langlands classification for classical groups. The book should be of interest to students as well as professional researchers working in the broad area of number theory and representation theory.

Book Synopsis Relative Aspects in Representation Theory, Langlands Functoriality and Automorphic Forms by : Volker Heiermann

Download or read book Relative Aspects in Representation Theory, Langlands Functoriality and Automorphic Forms written by Volker Heiermann and published by Springer. This book was released on 2018-10-01 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a panorama of the diverse activities organized by V. Heiermann and D. Prasad in Marseille at the CIRM for the Chaire Morlet event during the first semester of 2016. It assembles together expository articles on topics which previously could only be found in research papers. Starting with a very detailed article by P. Baumann and S. Riche on the geometric Satake correspondence, the book continues with three introductory articles on distinguished representations due to P. Broussous, F. Murnaghan, and O. Offen; an expository article of I. Badulescu on the Jacquet–Langlands correspondence; a paper of J. Arthur on functoriality and the trace formula in the context of "Beyond Endoscopy", taken from the Simons Proceedings; an article of W-W. Li attempting to generalize Godement–Jacquet theory; and a research paper of C. Moeglin and D. Renard, applying the trace formula to the local Langlands classification for classical groups. The book should be of interest to students as well as professional researchers working in the broad area of number theory and representation theory.

Bivariate Discrete Distributions

Author: Kocherlakota

Publisher: CRC Press

Published: 1992-05-18

Total Pages: 392

ISBN-13: 9780824787028

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This book provides a comprehensive study of the bivariate discrete distributions and details the computer simulation techniques for the distributions. It develops distributions using sampling schemes, explores the role of compounding, and covers Waring distribution for use in accident theory.

Book Synopsis Bivariate Discrete Distributions by : Kocherlakota

Download or read book Bivariate Discrete Distributions written by Kocherlakota and published by CRC Press. This book was released on 1992-05-18 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive study of the bivariate discrete distributions and details the computer simulation techniques for the distributions. It develops distributions using sampling schemes, explores the role of compounding, and covers Waring distribution for use in accident theory.