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University of Georgia
1.
Copley, Andrew.
Price dynamics of the woody feedstocks used for wood pellet production in the US South.
Degree: MS, Forest Resources, 2015, University of Georgia
URL: http://purl.galileo.usg.edu/uga_etd/copley_andrew_201512_ms 
► The US South has recently experienced a rapid expansion in wood pellet production. The growth of this industry within the context of international export markets…
(more)
▼ The US South has recently experienced a rapid expansion in wood pellet production. The growth of this industry within the context of international export markets and the existing US fiber markets is examined. As raw material inputs represent the highest variable cost component of wood pellet production, flexibility in the strategic sourcing of woody feedstocks can hedge against volatility in the fiber markets and allow for the cost minimization of raw material inputs.
Time series modeling tools were employed to explore the various price relationships among four common woody feedstocks used in the production of wood pellets. The feedstocks were found to be cointegrated. A Vector Error Correction Model (VECM) was used to provide the structure through which impulse response functions and forecast error variance decompositions were analyzed. The results of these price dynamics indicate a production preference of residuals over pulpwood.
Advisors/Committee Members: Jacek Siry.
Subjects/Keywords: Time series
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APA (6th Edition):
Copley, A. (2015). Price dynamics of the woody feedstocks used for wood pellet production in the US South. (Masters Thesis). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/copley_andrew_201512_ms
Chicago Manual of Style (16th Edition):
Copley, Andrew. “Price dynamics of the woody feedstocks used for wood pellet production in the US South.” 2015. Masters Thesis, University of Georgia. Accessed February 26, 2020.
http://purl.galileo.usg.edu/uga_etd/copley_andrew_201512_ms.
MLA Handbook (7th Edition):
Copley, Andrew. “Price dynamics of the woody feedstocks used for wood pellet production in the US South.” 2015. Web. 26 Feb 2020.
Vancouver:
Copley A. Price dynamics of the woody feedstocks used for wood pellet production in the US South. [Internet] [Masters thesis]. University of Georgia; 2015. [cited 2020 Feb 26].
Available from: http://purl.galileo.usg.edu/uga_etd/copley_andrew_201512_ms.
Council of Science Editors:
Copley A. Price dynamics of the woody feedstocks used for wood pellet production in the US South. [Masters Thesis]. University of Georgia; 2015. Available from: http://purl.galileo.usg.edu/uga_etd/copley_andrew_201512_ms
Rutgers University
2.
Yan, Xi, 1985-.
Statistical analysis of dynamic risk neutral density, dynamic cross-sectional distribution and portfolio optimization.
Degree: PhD, Statistics and Biostatistics, 2019, Rutgers University
URL: https://rucore.libraries.rutgers.edu/rutgers-lib/62066/
► This dissertation focuses on developing new statistical methods for analyzing and modeling financial time series. The first part of this dissertation discusses modeling of functional…
(more)
▼ This dissertation focuses on developing new statistical methods for analyzing and modeling financial time series. The first part of this dissertation discusses modeling of functional and distributional time series, assuming the series are driven by a finite dimensional underlying feature process. Functional time series are commonly observed in finance and difficult to model mainly due to high dimensionality. We instead focus on a low-dimensional latent feature process and connect it with the original functional time series through generalized state-space models. A state-space model assumes that observations are driven by an underlying dynamic state process and is widely used in many fields. We propose a generalized two-stage Sequential Monte Carlo (SMC) joint estimation framework to model functional time series driven by its feature process through state-space models and perform on-line estimations and predictions. In order to improve computation efficiency, we also implement parallel computing and re-design computation algorithms to integrate with non-linear optimization and SMC calculations.
Two financial applications are presented to demonstrate the robustness and efficiency of our proposed framework. The first application aims to extract and model the daily implied risk neutral densities from observed call option prices. We view the underlying risk neutral density as a functional time series driven by its feature process and model it with a parametric mixed log-normal distribution through a state-space model. We conduct both simulation and empirical studies and compare prediction performance of our models with that of random walk models. Empirically, the proposed models improves prediction performance significantly. The second financial application studies daily cross-sectional distribution of 1000 largest market capitalization stock returns from year 1991 to year 2002. Similarly we view cross-sectional distribution as a functional time series driven by its feature process and model it with a four-parameter generalized skewed t-distribution. Using proposed two-stage SMC joint estimation framework, we build models separately for different market conditions, including the dot-com crisis. In both bearish and bullish markets, prediction performances of our models gain substantial improvement comparing with random walk models.
The second part of dissertation presents a new portfolio optimization strategy for minimum variance portfolios with constraints on short-sale and transaction costs. Unlike traditional mean-variance theory, our method minimizes only the portfolio risk and uses analysts' consensus ratings to pre-screen stocks. An empirical study of S&P 500 stocks from year 1990 to year 2009 is conducted to demonstrate effectiveness. We show that portfolios constructed and optimized using our strategy deliver considerable improvement of performance in terms of Sharpe ratio comparing with benchmark portfolios and portfolios in past literatures.
Advisors/Committee Members: Chen, Rong (chair), Xiao, Han (internal member), Tan, Zhiqiang (internal member), Lin, Ming (outside member), School of Graduate Studies.
Subjects/Keywords: Functional time series; Time-series analysis
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APA (6th Edition):
Yan, Xi, 1. (2019). Statistical analysis of dynamic risk neutral density, dynamic cross-sectional distribution and portfolio optimization. (Doctoral Dissertation). Rutgers University. Retrieved from https://rucore.libraries.rutgers.edu/rutgers-lib/62066/
Chicago Manual of Style (16th Edition):
Yan, Xi, 1985-. “Statistical analysis of dynamic risk neutral density, dynamic cross-sectional distribution and portfolio optimization.” 2019. Doctoral Dissertation, Rutgers University. Accessed February 26, 2020.
https://rucore.libraries.rutgers.edu/rutgers-lib/62066/.
MLA Handbook (7th Edition):
Yan, Xi, 1985-. “Statistical analysis of dynamic risk neutral density, dynamic cross-sectional distribution and portfolio optimization.” 2019. Web. 26 Feb 2020.
Vancouver:
Yan, Xi 1. Statistical analysis of dynamic risk neutral density, dynamic cross-sectional distribution and portfolio optimization. [Internet] [Doctoral dissertation]. Rutgers University; 2019. [cited 2020 Feb 26].
Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/62066/.
Council of Science Editors:
Yan, Xi 1. Statistical analysis of dynamic risk neutral density, dynamic cross-sectional distribution and portfolio optimization. [Doctoral Dissertation]. Rutgers University; 2019. Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/62066/
Texas A&M University
3.
Jeong, Jae Sik.
Some applications of wavelets to time series data.
Degree: 2009, Texas A&M University
URL: http://hdl.handle.net/1969.1/ETD-TAMU-3074
► The objective of this dissertation is to develop a suitable statistical methodology for parameter estimation in long memory process. Time series data with complex covariance…
(more)
▼ The objective of this dissertation is to develop a suitable statistical methodology for parameter
estimation in long memory process.
Time series data with complex covariance
structure are shown up in various fields such as finance, computer network, and econometrics.
Many researchers suggested the various methodologies defined in different domains:
frequency domain and
time domain. However, many traditional statistical methods are not
working well in complicated case, for example, nonstationary process. The development of
the robust methodologies against nonstationarity is the main focus of my dissertation. We
suggest a wavelet-based Bayesian method which shares good properties coming from both
wavelet-based method and Bayesian approach. To check the robustness of the method, we
consider ARFIMA(0, d, 0) with linear trend. Also, we compare the result of the method
with that of several existing methods, which are defined in different domains, i.e.
time
domain estimators, frequency domain estimators. Also, we apply the method to functional
magnetic resonance imaging (fMRI) data to find some connection between brain activity
and long memory parameter.
Another objective of this dissertation is to develop a wavelet-based denoising technique
when there is heterogeneous variance noise in high throughput data, especially protein
mass spectrometry data. Since denoising technique pretty much depends on threshold
value, it is very important to get a proper threshold value which involves estimate of standard deviation. To this end, we detect variance change point first and get suitable threshold
values in each segment. After that, we apply local wavelet thresholding to each segment,
respectively. For comparison, we consider several existing global thresholding methods.
Advisors/Committee Members: Dahl, David B. (advisor), Vannucci, Marina (advisor), Liang, Faming (committee member), Tsai, Jerry (committee member).
Subjects/Keywords: wavelets; time series
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Manager
APA (6th Edition):
Jeong, J. S. (2009). Some applications of wavelets to time series data. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/ETD-TAMU-3074
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Jeong, Jae Sik. “Some applications of wavelets to time series data.” 2009. Thesis, Texas A&M University. Accessed February 26, 2020.
http://hdl.handle.net/1969.1/ETD-TAMU-3074.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Jeong, Jae Sik. “Some applications of wavelets to time series data.” 2009. Web. 26 Feb 2020.
Vancouver:
Jeong JS. Some applications of wavelets to time series data. [Internet] [Thesis]. Texas A&M University; 2009. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/1969.1/ETD-TAMU-3074.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Jeong JS. Some applications of wavelets to time series data. [Thesis]. Texas A&M University; 2009. Available from: http://hdl.handle.net/1969.1/ETD-TAMU-3074
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Hong Kong
4.
朱倩倩; Zhu, Qianqian.
On quantile inference for conditional heteroscedastic
models.
Degree: PhD, 2017, University of Hong Kong
URL: http://hdl.handle.net/10722/249880
► In this thesis, three conditional heteroscedatic models are investigated under a quantile regression framework. Among these three models, two are first proposed as new conditional…
(more)
▼ In this thesis, three conditional heteroscedatic
models are investigated under a quantile regression framework.
Among these three models, two are first proposed as new conditional
heteroscedatic models while the remaining one is considered from a
new perspective of quantile estimation.
First, this thesis
proposes a new linear double autoregression model which is
compatible with the quantile regression. The existence of strictly
stationary solutions is discussed, and a necessary and sufficient
condition is established. A doubly weighted conditional quantile
estimation is introduced, where the first set of weights ensures
the asymptotic normality of the estimators, and the second improves
its efficiency through balancing individual conditional quantile
estimators across multiple quantile levels. Moreover,
goodness-of-fit tests based on the quantile autocorrelation
function are suggested for checking the adequacy of the fitted
models.
Simulation studies indicate that the proposed inference
tools perform well in finite samples, and an empirical example
illustrates the usefulness of the new model.
Secondly, this
thesis introduces a novel quantile double autoregression model
which is driven by functionally dependent autoregressive
coefficients. A simple but nontrivial transformation is employed to
the scale part, which removes positive restrictions on the scale
functional coefficients. The strict stationarity is discussed under
mild conditions, and a global self-weighted conditional quantile
estimator is considered. The strong consistency and asymptotic
normality of the proposed estimator are established with only
fractional moments on the process, which allows the model to handle
heavy-tailed data. Simulation results demonstrate the finite sample
performance of the proposed methodology, and an empirical example
is presented to illustrate the usefulness of the new model.
Finally, this thesis considers a regression model with ARCH or
GARCH errors. Traditionally the conditional quantiles are estimated
using a two-step procedure: first, the conditional mean is
estimated, and in the second step, the conditional quantile is
estimated by a quantile regression on the estimated regression
residuals from the first step. The efficiency and limiting
distributions of these two-step quantile regression estimates are
affected by the first-step preliminary estimation. Moreover, the
two-step quantile regression may suffer from the efficiency loss
due to the conditional heteroscedasticity. In this thesis, a joint
estimation approach, where both the conditional mean and the ARCH
or GARCH error structure are incorporated in the conditional
quantile estimation, is proposed.
The joint estimation procedure
is expected to be more efficient than the conventional two-step
approach based on the estimated residuals. Meanwhile, additional
efficiency gain can be achieved from the weighted quantile
regression. Asymptotic properties are developed for the joint
weighted estimator and its resulting conditional quantile
predictor. Simulation…
Advisors/Committee Members: Li, G.
Subjects/Keywords: Time-series analysis
Record Details
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
朱倩倩; Zhu, Q. (2017). On quantile inference for conditional heteroscedastic
models. (Doctoral Dissertation). University of Hong Kong. Retrieved from http://hdl.handle.net/10722/249880
Chicago Manual of Style (16th Edition):
朱倩倩; Zhu, Qianqian. “On quantile inference for conditional heteroscedastic
models.” 2017. Doctoral Dissertation, University of Hong Kong. Accessed February 26, 2020.
http://hdl.handle.net/10722/249880.
MLA Handbook (7th Edition):
朱倩倩; Zhu, Qianqian. “On quantile inference for conditional heteroscedastic
models.” 2017. Web. 26 Feb 2020.
Vancouver:
朱倩倩; Zhu Q. On quantile inference for conditional heteroscedastic
models. [Internet] [Doctoral dissertation]. University of Hong Kong; 2017. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/10722/249880.
Council of Science Editors:
朱倩倩; Zhu Q. On quantile inference for conditional heteroscedastic
models. [Doctoral Dissertation]. University of Hong Kong; 2017. Available from: http://hdl.handle.net/10722/249880
University of Hong Kong
5.
Lo, Pak-hang.
On a buffered conditional volatility process.
Degree: M. Phil., 2014, University of Hong Kong
URL: Lo,
P.
[勞柏衡].
(2014).
On
a
buffered
conditional
volatility
process.
(Thesis).
University
of
Hong
Kong,
Pokfulam,
Hong
Kong
SAR.
Retrieved
from
http://dx.doi.org/10.5353/th_b5177344
;
http://dx.doi.org/10.5353/th_b5177344
;
http://hdl.handle.net/10722/196446
► The traditional threshold time series model is famous for its capability in capturing asymmetry. Regime switching takes place immediately when a certain variable crosses the…
(more)
▼ The traditional threshold time series model is
famous for its capability in capturing asymmetry. Regime switching
takes place immediately when a certain variable crosses the
threshold. However, this type of model may not be suitable for data
which have no clear cut between regimes. A new generation of
threshold type model, buffered time series model, is modified from
the traditional threshold time series model. A buffer zone is
introduced to replace the role of the threshold; regime switching
will not take place within the buffer zone. The regime switching
mechanism mimicks a climatological example and the buffered model
may be suitable for data in which there is a region where the
probabilistic structure of the data is insensitive to changes.
Self-exciting buffered generalized autoregressive conditional
heteroscedasticity (buffered GARCH) model is considered.
Quasi-maximum likelihood is employed for parameter estimation.
Strong consistency and asymptotic distributions are derived.
Simulation experiments are carried out to verify the properties of
the estimators. The buffered GARCH model is applied to two currency
exchange rate data sets, US dollar to Moroccan dirham exchange rate
and US dollar to Israeli new shekel exchange rate. At the same
time, threshold GARCH model is also applied to the data sets in
order to have comparison between the buffered GARCH model and
threshold GARCH model. It is found that the buffered GARCH model
beats the threshold GARCH model in terms of one information
criterion, revealing that the buffered GARCH model may have
advantage over the threshold GARCH model.
published_or_final_version
Statistics and Actuarial Science
Master
Master of Philosophy
Advisors/Committee Members: Yu, PLH, Li, WK.
Subjects/Keywords: Time-series analysis
Record Details
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Record Details
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Lo, P. (2014). On a buffered conditional volatility process. (Masters Thesis). University of Hong Kong. Retrieved from Lo, P. [勞柏衡]. (2014). On a buffered conditional volatility process. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5177344 ; http://dx.doi.org/10.5353/th_b5177344 ; http://hdl.handle.net/10722/196446
Chicago Manual of Style (16th Edition):
Lo, Pak-hang. “On a buffered conditional volatility process.” 2014. Masters Thesis, University of Hong Kong. Accessed February 26, 2020.
Lo, P. [勞柏衡]. (2014). On a buffered conditional volatility process. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5177344 ; http://dx.doi.org/10.5353/th_b5177344 ; http://hdl.handle.net/10722/196446.
MLA Handbook (7th Edition):
Lo, Pak-hang. “On a buffered conditional volatility process.” 2014. Web. 26 Feb 2020.
Vancouver:
Lo P. On a buffered conditional volatility process. [Internet] [Masters thesis]. University of Hong Kong; 2014. [cited 2020 Feb 26].
Available from: Lo, P. [勞柏衡]. (2014). On a buffered conditional volatility process. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5177344 ; http://dx.doi.org/10.5353/th_b5177344 ; http://hdl.handle.net/10722/196446.
Council of Science Editors:
Lo P. On a buffered conditional volatility process. [Masters Thesis]. University of Hong Kong; 2014. Available from: Lo, P. [勞柏衡]. (2014). On a buffered conditional volatility process. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5177344 ; http://dx.doi.org/10.5353/th_b5177344 ; http://hdl.handle.net/10722/196446
University of Hong Kong
6.
劉釗; Liu, Zhao.
On mixture double autoregressive time series
models.
Degree: M. Phil., 2013, University of Hong Kong
URL: Liu,
Z.
[劉釗].
(2013).
On
mixture
double
autoregressive
time
series
models.
(Thesis).
University
of
Hong
Kong,
Pokfulam,
Hong
Kong
SAR.
Retrieved
from
http://dx.doi.org/10.5353/th_b5177350
;
http://dx.doi.org/10.5353/th_b5177350
;
http://hdl.handle.net/10722/196465
► Conditional heteroscedastic models are one important type of time series models which have been widely investigated and brought out continuously by scholars in time series…
(more)
▼ Conditional heteroscedastic models are one
important type of time series models which have been widely
investigated and brought out continuously by scholars in time
series analysis. Those models play an important role in depicting
the characteristics of the real world phenomenon, e.g. the
behaviour of _nancial market. This thesis proposes a mixture double
autoregressive model by adopting the exibility of mixture models to
the double autoregressive model, a novel conditional
heteroscedastic model recently proposed by Ling (2004).
Probabilistic properties including strict stationarity and higher
order moments are derived for this new model and, to make it more
exible, a logistic mixture double autoregressive model is further
introduced to take into account the time varying mixing
proportions. Inference tools including the maximum likelihood
estimation, an EM algorithm for searching the estimator and an
information criterion for model selection are carefully studied for
the logistic mixture double autoregressive model. We notice that
the shape changing characteristics of the multimodal conditional
distributions is an important feature of this new type of model.
The conditional heteroscedasticity of time series is also well
depicted. Monte Carlo experiments give further support to these two
new models, and the analysis of an empirical example based on our
new models as well as other mainstream ones is also
reported.
published_or_final_version
Statistics and Actuarial Science
Master
Master of Philosophy
Advisors/Committee Members: Li, G, Wang, JJ.
Subjects/Keywords: Time-series analysis
Record Details
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Record Details
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❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
劉釗; Liu, Z. (2013). On mixture double autoregressive time series
models. (Masters Thesis). University of Hong Kong. Retrieved from Liu, Z. [劉釗]. (2013). On mixture double autoregressive time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5177350 ; http://dx.doi.org/10.5353/th_b5177350 ; http://hdl.handle.net/10722/196465
Chicago Manual of Style (16th Edition):
劉釗; Liu, Zhao. “On mixture double autoregressive time series
models.” 2013. Masters Thesis, University of Hong Kong. Accessed February 26, 2020.
Liu, Z. [劉釗]. (2013). On mixture double autoregressive time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5177350 ; http://dx.doi.org/10.5353/th_b5177350 ; http://hdl.handle.net/10722/196465.
MLA Handbook (7th Edition):
劉釗; Liu, Zhao. “On mixture double autoregressive time series
models.” 2013. Web. 26 Feb 2020.
Vancouver:
劉釗; Liu Z. On mixture double autoregressive time series
models. [Internet] [Masters thesis]. University of Hong Kong; 2013. [cited 2020 Feb 26].
Available from: Liu, Z. [劉釗]. (2013). On mixture double autoregressive time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5177350 ; http://dx.doi.org/10.5353/th_b5177350 ; http://hdl.handle.net/10722/196465.
Council of Science Editors:
劉釗; Liu Z. On mixture double autoregressive time series
models. [Masters Thesis]. University of Hong Kong; 2013. Available from: Liu, Z. [劉釗]. (2013). On mixture double autoregressive time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5177350 ; http://dx.doi.org/10.5353/th_b5177350 ; http://hdl.handle.net/10722/196465
University of Hong Kong
7.
Guan, Bo.
On some new threshold-type time series models.
Degree: PhD, 2013, University of Hong Kong
URL: Guan,
B.
[关博].
(2013).
On
some
new
threshold-type
time
series
models.
(Thesis).
University
of
Hong
Kong,
Pokfulam,
Hong
Kong
SAR.
Retrieved
from
http://dx.doi.org/10.5353/th_b5053385
;
http://dx.doi.org/10.5353/th_b5053385
;
http://hdl.handle.net/10722/188266
► The subject of time series analysis has drawn significant attentions in recent years, since it is of tremendous interest to practitioners, as well as to…
(more)
▼ The subject of time series analysis has drawn
significant attentions in recent years, since it is of tremendous
interest to practitioners, as well as to academic researchers, to
make statistical inferences and forecasts of future values of the
interested variables. To do forecasting, parametric models are
often required to describe the patterns of the observed data set.
In order to describe data adequately, such statistical models
should be established based on fundamental principles.
Two
threshold-type time series models, the buffered threshold
autoregressive (BAR) model and the threshold moving-average (TMA)
model are studied in this thesis.
The most important
contribution of this thesis is the extension of the classical
threshold models via regime switching mechanisms that exhibit
hysteresis to a new model called the buffered threshold model. For
this type of new models, there is a buffer zone for the regime
switching mechanism. The self-exciting buffered threshold
autoregressive model has been thoroughly studied: a sufficient
condition is given for the geometric ergodicity of the two-regime
BAR process; the conditional least squares estimation is considered
for the parameter estimation of the BAR model, and asymptotic
properties including strong consistency and asymptotic
distributions of the least square estimators are also derived.
Monte Carlo experiments are conducted to give further support to
the methodology developed for the new model. Two empirical examples
are used to demonstrate the importance of the BAR model. Potential
extensions for the basic buffer processes are discussed as well.
Such extensions are expected to follow the development of classical
threshold model and are motivated by their relationships with
phenomena in the physical sciences.
The proposed buffer process
is more general than the classical threshold model, and it should
be able to capture more nonlinear features exhibited by this
nonlinear world than its predecessor. Although the theoretical
understanding of the model is still at its infancy, it is believed
that the buffer process will provide both researchers and
practitioners with a useful tool to understand the nonlinear
world.
Moreover, some statistical properties of the threshold
moving-average models are studied. Computer simulations have been
extensively used, and some mathematical interpretation is attempted
in the light of some existing research works. The model-building
procedure for the TMA models is also reviewed. The effectiveness of
some classical information criteria in selecting the correct TMA
model is studied. A goodness-of-fit test is derived which would be
useful in diagnostic checking the fitted TMA
models.
published_or_final_version
Statistics and Actuarial Science
Doctoral
Doctor of Philosophy
Advisors/Committee Members: Yu, PLH, Ching, WK, Li, WK.
Subjects/Keywords: Time series analysis.
Record Details
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Record Details
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❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Guan, B. (2013). On some new threshold-type time series models. (Doctoral Dissertation). University of Hong Kong. Retrieved from Guan, B. [关博]. (2013). On some new threshold-type time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5053385 ; http://dx.doi.org/10.5353/th_b5053385 ; http://hdl.handle.net/10722/188266
Chicago Manual of Style (16th Edition):
Guan, Bo. “On some new threshold-type time series models.” 2013. Doctoral Dissertation, University of Hong Kong. Accessed February 26, 2020.
Guan, B. [关博]. (2013). On some new threshold-type time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5053385 ; http://dx.doi.org/10.5353/th_b5053385 ; http://hdl.handle.net/10722/188266.
MLA Handbook (7th Edition):
Guan, Bo. “On some new threshold-type time series models.” 2013. Web. 26 Feb 2020.
Vancouver:
Guan B. On some new threshold-type time series models. [Internet] [Doctoral dissertation]. University of Hong Kong; 2013. [cited 2020 Feb 26].
Available from: Guan, B. [关博]. (2013). On some new threshold-type time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5053385 ; http://dx.doi.org/10.5353/th_b5053385 ; http://hdl.handle.net/10722/188266.
Council of Science Editors:
Guan B. On some new threshold-type time series models. [Doctoral Dissertation]. University of Hong Kong; 2013. Available from: Guan, B. [关博]. (2013). On some new threshold-type time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5053385 ; http://dx.doi.org/10.5353/th_b5053385 ; http://hdl.handle.net/10722/188266
University of Hong Kong
8.
李源; Li, Yuan.
On mixed portmanteau statistics for the diagnostic
checking of time series models using Gaussian quasi-maximum
likelihood approach.
Degree: M. Phil., 2012, University of Hong Kong
URL: Li,
Y.
[李源].
(2012).
On
mixed
portmanteau
statistics
for
the
diagnostic
checking
of
time
series
models
using
Gaussian
quasi-maximum
likelihood
approach.
(Thesis).
University
of
Hong
Kong,
Pokfulam,
Hong
Kong
SAR.
Retrieved
from
http://dx.doi.org/10.5353/th_b4833006
;
http://dx.doi.org/10.5353/th_b4833006
;
http://hdl.handle.net/10722/173876
► This thesis aims at investigating different forms of residuals from a general time series model with conditional mean and conditional variance fitted by the Gaussian…
(more)
▼ This thesis aims at investigating different forms
of residuals from a general time series model with conditional mean
and conditional variance fitted by the Gaussian quasi-maximum
likelihood method. We investigated the limiting distributions of
autocorrelation and partial autocorrelation functions under
different forms of residuals. Based on them we devised some
individual portmanteau tests and two mixed portmanteau tests. We
started by exploring the asymptotic normalities of the residual
autocorrelation functions, the squared residual autocorrelation
functions and absolute residual autocorrelation functions from the
fitted time series model. This leads to three individual
portmanteau tests. Then we generalized them to their counterparts
of partial autocorrelation functions, and this results in another
three individual portmanteau tests. We carried out simulations
studies to compare the six individual portmanteau tests and find
that some tests are sensitive to mis-specification in the
conditional mean while other tests are effective to detect
mis-specification in the conditional variance. However, for the
case that the mis-specifications happen in both conditional mean
and variance, none of these individual portmanteau tests present
remarkable power. Based on this, we continued to investigate the
joint limiting distributions of the residual autocorrelation
functions and absolute residual autocorrelation functions of the
fitted model since the former one is powerful to identify
mis-specification in the conditional mean and the latter one works
well when the conditional variance is mis-specified. This leads to
two mixed portmanteau tests for diagnostic checking of the fitted
model. Simulation studies are carried out to check the asymptotic
theory and to assess the performance of the mixed portmanteau
tests. It shows that the mixed portmanteau tests have the power to
detect mis-specification in the conditional mean and conditional
variance respectively while it is feasible to detect both of
them.
published_or_final_version
Statistics and Actuarial Science
Master
Master of Philosophy
Advisors/Committee Members: Li, G, Li, WK.
Subjects/Keywords: Time-series analysis.
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APA (6th Edition):
李源; Li, Y. (2012). On mixed portmanteau statistics for the diagnostic
checking of time series models using Gaussian quasi-maximum
likelihood approach. (Masters Thesis). University of Hong Kong. Retrieved from Li, Y. [李源]. (2012). On mixed portmanteau statistics for the diagnostic checking of time series models using Gaussian quasi-maximum likelihood approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4833006 ; http://dx.doi.org/10.5353/th_b4833006 ; http://hdl.handle.net/10722/173876
Chicago Manual of Style (16th Edition):
李源; Li, Yuan. “On mixed portmanteau statistics for the diagnostic
checking of time series models using Gaussian quasi-maximum
likelihood approach.” 2012. Masters Thesis, University of Hong Kong. Accessed February 26, 2020.
Li, Y. [李源]. (2012). On mixed portmanteau statistics for the diagnostic checking of time series models using Gaussian quasi-maximum likelihood approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4833006 ; http://dx.doi.org/10.5353/th_b4833006 ; http://hdl.handle.net/10722/173876.
MLA Handbook (7th Edition):
李源; Li, Yuan. “On mixed portmanteau statistics for the diagnostic
checking of time series models using Gaussian quasi-maximum
likelihood approach.” 2012. Web. 26 Feb 2020.
Vancouver:
李源; Li Y. On mixed portmanteau statistics for the diagnostic
checking of time series models using Gaussian quasi-maximum
likelihood approach. [Internet] [Masters thesis]. University of Hong Kong; 2012. [cited 2020 Feb 26].
Available from: Li, Y. [李源]. (2012). On mixed portmanteau statistics for the diagnostic checking of time series models using Gaussian quasi-maximum likelihood approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4833006 ; http://dx.doi.org/10.5353/th_b4833006 ; http://hdl.handle.net/10722/173876.
Council of Science Editors:
李源; Li Y. On mixed portmanteau statistics for the diagnostic
checking of time series models using Gaussian quasi-maximum
likelihood approach. [Masters Thesis]. University of Hong Kong; 2012. Available from: Li, Y. [李源]. (2012). On mixed portmanteau statistics for the diagnostic checking of time series models using Gaussian quasi-maximum likelihood approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4833006 ; http://dx.doi.org/10.5353/th_b4833006 ; http://hdl.handle.net/10722/173876
9.
Gorrostieta, Cristina.
Dependence in Complex Multivariate Time Series.
Degree: PhD, Biostatistics, 2012, Brown University
URL: https://repository.library.brown.edu/studio/item/bdr:297536/
► In this dissertation work, I develop novel extensions of two classical techniques for the statistical analysis of dependencies in multivariate time series, namely vector autoregressive…
(more)
▼ In this dissertation work, I develop novel extensions
of two classical techniques for the statistical analysis of
dependencies in multivariate
time series, namely vector
autoregressive model (VAR) and coherence analysis. I demonstrate
the utility of these methods to brain signals.
I generalize the vector autoregressive model by embedding it
in a mixed-effects framework to account for variability between
subjects. The traditional VAR approach for exploring brain
connectivity assumes that brain signals dependencies are identical
across all subjects. Thus, it does not provide a proper framework
to identify connectivity structures common across a group nor
connectivity structures with high variability between subjects. My
proposed mixed-effects VAR model overcomes these limitations.
To generalize the coherence analysis, I developed the lagged
coherence measure. In the signal processing literature, the notion
of dual frequency coherence has been developed to explore
oscillatory relationships between different frequencies across
signals. I extended this concept of dual frequency coherence to
lagged coherence. Using lagged coherence, I explored oscillatory
relationships between different frequencies, at lagged
time
intervals between the components of
time series. My proposed method
can be utilized to investigate how brain oscillatory activity, at
certain frequency in the current period of
time, may predict brain
oscillatory activity at another frequency, in the future period of
time.
Advisors/Committee Members: Gatsonis, Constantine (Director), Kim, Eunhee (Reader), Dickstein, Daniel (Reader), Ombao, Hernando (Reader).
Subjects/Keywords: Multivariate Time Series
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APA (6th Edition):
Gorrostieta, C. (2012). Dependence in Complex Multivariate Time Series. (Doctoral Dissertation). Brown University. Retrieved from https://repository.library.brown.edu/studio/item/bdr:297536/
Chicago Manual of Style (16th Edition):
Gorrostieta, Cristina. “Dependence in Complex Multivariate Time Series.” 2012. Doctoral Dissertation, Brown University. Accessed February 26, 2020.
https://repository.library.brown.edu/studio/item/bdr:297536/.
MLA Handbook (7th Edition):
Gorrostieta, Cristina. “Dependence in Complex Multivariate Time Series.” 2012. Web. 26 Feb 2020.
Vancouver:
Gorrostieta C. Dependence in Complex Multivariate Time Series. [Internet] [Doctoral dissertation]. Brown University; 2012. [cited 2020 Feb 26].
Available from: https://repository.library.brown.edu/studio/item/bdr:297536/.
Council of Science Editors:
Gorrostieta C. Dependence in Complex Multivariate Time Series. [Doctoral Dissertation]. Brown University; 2012. Available from: https://repository.library.brown.edu/studio/item/bdr:297536/
Addis Ababa University
10.
Tesfaye, Alemayehu.
Determinant of tax revenue in Ethiopia
.
Degree: 2015, Addis Ababa University
URL: http://etd.aau.edu.et/dspace/handle/123456789/6819
► The focus of paper is to identify determinants of tax revenue in Ethiopia by using a secondary data and multiple variables regression model. The objective…
(more)
▼ The focus of paper is to identify determinants of tax revenue in Ethiopia by using a secondary
data and multiple variables regression model. The objective of the study was to identify
determinants of tax revenue such sectors of economy like agriculture, industry and service, FDI,
inflation rate, interest rate, per capita income and trade openness. A study is important to
identify significant variables affecting tax revenue. The research approach adopted in this thesis
includes
series data set that consists of fifteen years. The
time period covered was 1999/00 to
2013/14; this is primarily due to unavailability of organized data before the indicated period.
Both descriptive statistics and econometric tools were employed to analyze and present
the obtained data. The findings from this research provide evidence that, foreign direct
investment to GDP percentage regression result shows negative significant, Industry sector in
percentage of GDP positive and significant, Inflation negative but not significant, Per capita
income has the positive sign which is significant, and saving interest rate have positive
insignificant impact on tax revenue. The main conclusions drawn from this study are, foreign
direct investment to GDP, Industry sector in percentage of GDP and Per capita income have
significant impact on tax revenue. This paper recommends that inflation rate and saving interest
rate are in significant variables affecting tax revenue.
Advisors/Committee Members: Laxmikantham.p (PhD.) (advisor).
Subjects/Keywords: Tax;
Time series
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APA (6th Edition):
Tesfaye, A. (2015). Determinant of tax revenue in Ethiopia
. (Thesis). Addis Ababa University. Retrieved from http://etd.aau.edu.et/dspace/handle/123456789/6819
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Tesfaye, Alemayehu. “Determinant of tax revenue in Ethiopia
.” 2015. Thesis, Addis Ababa University. Accessed February 26, 2020.
http://etd.aau.edu.et/dspace/handle/123456789/6819.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Tesfaye, Alemayehu. “Determinant of tax revenue in Ethiopia
.” 2015. Web. 26 Feb 2020.
Vancouver:
Tesfaye A. Determinant of tax revenue in Ethiopia
. [Internet] [Thesis]. Addis Ababa University; 2015. [cited 2020 Feb 26].
Available from: http://etd.aau.edu.et/dspace/handle/123456789/6819.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Tesfaye A. Determinant of tax revenue in Ethiopia
. [Thesis]. Addis Ababa University; 2015. Available from: http://etd.aau.edu.et/dspace/handle/123456789/6819
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
The Ohio State University
11.
Michel, Jonathan R.
Essays in Nonlinear Time Series Analysis.
Degree: PhD, Economics, 2019, The Ohio State University
URL: http://rave.ohiolink.edu/etdc/view?acc_num=osu1555001297904158
► This dissertation consists of six papers. Each of these papers are on a different aspect of statistical analysis of nonlinear time series. In the first…
(more)
▼ This dissertation consists of six papers. Each of
these papers are on a different aspect of statistical analysis of
nonlinear
time series. In the first paper, we study the behavior of
a nonstationary
time series which has different behavior for
``high" and ``low" levels. This consists of the introduction of a
new nonlinear
time series model, a mathematical analysis of the
functional limit theorem for this model, a statistical test for
behavior similar to this new model, and a proposed technique for
robust cointegration in the presence of this new model. The second
paper consists of an extension of this idea into volatility
modeling.The third paper considers experimental design and sampling
of Markov chains. In particular, it focuses on how to feasibly
optimally sample a continuous two-state Markov chain.The fourth
paper is on integer valued
time series. The focus here is on
studying the properties of the INGARCH(1,1) model in the
nonstationary case. This consists of applying mathematical
machinery rarely used in econometrics. Additionally, in this paper
extensions towards stationarity tests are considered.The fifth
paper studies the dynamic Tobit, a
time series model often used
when data is censored below. In this paper, weak dependence and
mixing properties are shown to hold, which is relevant for studying
the statistical properties of estimation for this model.The sixth
paper studies the reciprocal of the random walk. This is relevant
in
time series econometrics as such a process is a possible model
for
time series with a stochastic diminishing trend.
Advisors/Committee Members: de Jong, Robert (Advisor).
Subjects/Keywords: Economics; Time Series Analysis, Nonstationary time series, Mixing,
Nonlinear Time Series
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MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Michel, J. R. (2019). Essays in Nonlinear Time Series Analysis. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1555001297904158
Chicago Manual of Style (16th Edition):
Michel, Jonathan R. “Essays in Nonlinear Time Series Analysis.” 2019. Doctoral Dissertation, The Ohio State University. Accessed February 26, 2020.
http://rave.ohiolink.edu/etdc/view?acc_num=osu1555001297904158.
MLA Handbook (7th Edition):
Michel, Jonathan R. “Essays in Nonlinear Time Series Analysis.” 2019. Web. 26 Feb 2020.
Vancouver:
Michel JR. Essays in Nonlinear Time Series Analysis. [Internet] [Doctoral dissertation]. The Ohio State University; 2019. [cited 2020 Feb 26].
Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1555001297904158.
Council of Science Editors:
Michel JR. Essays in Nonlinear Time Series Analysis. [Doctoral Dissertation]. The Ohio State University; 2019. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1555001297904158
University of Leicester
12.
Boonyasana, Kwanruetai.
World electricity co-operation.
Degree: PhD, 2013, University of Leicester
URL: http://hdl.handle.net/2381/27793
► This thesis evaluates the effect of electricity co-operation regarding import and export on electricity prices for OECD countries and on CO2 emissions for the world.…
(more)
▼ This thesis evaluates the effect of electricity co-operation regarding import and export on electricity prices for OECD countries and on CO2 emissions for the world. In addition, the study investigates which kinds of renewable energies provide the best economic future for Canada and the U.S. There are three main sections to the thesis. Firstly, panel data analysis determines the electricity price functions, using 29 OECD countries’ yearly data from 1980 to 2007. Membership of the European Union, used to investigate effect of high level co-operation on price, is seen to decrease household and industry prices, but is not significant for household price. The effect of electricity trading in OECD countries is not found to deliver cheaper electricity suggesting that these countries need to co-operate more closely to increase competition and improve efficiency in electricity markets. Secondly, panel data analysis determines parameters of the CO2 emissions function, using 131 countries’ yearly data from 1971 to 2007. The world results show that electricity co-operation is highly significant in decreasing CO2 emissions per unit of generation, thus supporting the hypothesis. At the continent level, Asia shows the highest CO2 decrease from electricity import, with the lowest decrease being for Africa. Electricity export for North America, Latin America and Europe is found to be highly significant in decreasing CO2 emissions. Finally, time series analysis of yearly data for Canada and the U.S. from 1978 to 2009 is used to determine the electricity price functions. For Canada, electricity import is found to be highly significant in decreasing household electricity price, but not so for the U.S. Renewable energies such as wind and hydro are seen to be the future of electricity generation for Canada, but the results for the U.S. indicate that no type of renewable energy can reduce electricity price.
Subjects/Keywords: 333.793; panel data; time series
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APA (6th Edition):
Boonyasana, K. (2013). World electricity co-operation. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/27793
Chicago Manual of Style (16th Edition):
Boonyasana, Kwanruetai. “World electricity co-operation.” 2013. Doctoral Dissertation, University of Leicester. Accessed February 26, 2020.
http://hdl.handle.net/2381/27793.
MLA Handbook (7th Edition):
Boonyasana, Kwanruetai. “World electricity co-operation.” 2013. Web. 26 Feb 2020.
Vancouver:
Boonyasana K. World electricity co-operation. [Internet] [Doctoral dissertation]. University of Leicester; 2013. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/2381/27793.
Council of Science Editors:
Boonyasana K. World electricity co-operation. [Doctoral Dissertation]. University of Leicester; 2013. Available from: http://hdl.handle.net/2381/27793
University of Georgia
13.
Vaughan, Amy.
Statistical inferences and visualization based on a scale-space approach.
Degree: PhD, Statistics, 2009, University of Georgia
URL: http://purl.galileo.usg.edu/uga_etd/vaughan_amy_g_200912_phd
► SiZer (SIgnificant ZERo crossing of the derivatives) is a scale-space visualization tool for statistical inferences. In this paper we introduce a graphical device, which is…
(more)
▼ SiZer (SIgnificant ZERo crossing of the derivatives) is a scale-space visualization tool for
statistical inferences. In this paper we introduce a graphical device, which is based on SiZer, for the test of the equality of the mean of two
time series. The estimation of the quantile in a confidence interval is theoretically justified by advanced distribution theory. The extension of the proposed method to the comparison of more than two
time series is also done using residual analysis. A broad numerical study is conducted to demonstrate the sample performance of the proposed tool. In addition, asymptotic properties of SiZer for the comparison of two
time series are investigated.
Advisors/Committee Members: Cheolwoo Park.
Subjects/Keywords: Comparison of multiple time series
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Vaughan, A. (2009). Statistical inferences and visualization based on a scale-space approach. (Doctoral Dissertation). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/vaughan_amy_g_200912_phd
Chicago Manual of Style (16th Edition):
Vaughan, Amy. “Statistical inferences and visualization based on a scale-space approach.” 2009. Doctoral Dissertation, University of Georgia. Accessed February 26, 2020.
http://purl.galileo.usg.edu/uga_etd/vaughan_amy_g_200912_phd.
MLA Handbook (7th Edition):
Vaughan, Amy. “Statistical inferences and visualization based on a scale-space approach.” 2009. Web. 26 Feb 2020.
Vancouver:
Vaughan A. Statistical inferences and visualization based on a scale-space approach. [Internet] [Doctoral dissertation]. University of Georgia; 2009. [cited 2020 Feb 26].
Available from: http://purl.galileo.usg.edu/uga_etd/vaughan_amy_g_200912_phd.
Council of Science Editors:
Vaughan A. Statistical inferences and visualization based on a scale-space approach. [Doctoral Dissertation]. University of Georgia; 2009. Available from: http://purl.galileo.usg.edu/uga_etd/vaughan_amy_g_200912_phd
University of Georgia
14.
Qu, Junfeng.
Time series data mining of structure changes using dynamic systems.
Degree: PhD, Computer Science, 2006, University of Georgia
URL: http://purl.galileo.usg.edu/uga_etd/qu_junfeng_200605_phd
► This research emphasizes discovery of important changes in structure of time series data. These structural changes imply the loss of customary patterns and the appearance…
(more)
▼ This research emphasizes discovery of important changes in structure of
time series data. These structural changes imply the loss of customary patterns and the appearance of a novel pattern that has not been experienced previously. Most previous work in this area has been concentrated on identifying previously known or predefined patterns. The major distinction of my research is that the framework offers the ability to discover internal structural changes of
time series online dynamically without statistical assumptions about data. The internal structure within
time series can be used to improve solutions and provide important insights into the problem domains. Analysis of structured
time series data is widely used for many applications, such as economic forecasting, stock market analysis, and networks, etc. This dissertation introduces our research on high-precision modeling, prediction, similarity matching of
time series data with consideration of internal structures of data. Our objectives include: (i) formulating a framework for online dynamic gray modeling of
time series data streams, (ii) analyzing and characterize the structure of
time series stream data using reference and test models, (iii) developing real-
time prediction methods based on the online modeling results of corresponding internal structure, and (iv) developing a real-
time online similarity matching method that considers the identified internal structures of the
time series. We have developed an integrated online structural changes mining (SCM) framework to achieve these objectives. The framework is composed of (a) a dynamic gray model (DGM) that captures the internal structure of
time series data online, (b) an algorithm that whitens the incoming data into structures based on a reference model and a test model according to the underlying DGM, (c) a set of analytical methods for data analysis, including online subsequence matching, which generates dynamic query subsequences, defines new subsequence similarity measures, and performs similarity matching with consideration of the internal structures of
time series data. This framework is very useful for real-
time systems where response
time is critical. We have applied the framework to multiple problem domains, such as financial data analysis and network traffic analysis.
Advisors/Committee Members: Hamid R. Arabnia.
Subjects/Keywords: time series
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Manager
APA (6th Edition):
Qu, J. (2006). Time series data mining of structure changes using dynamic systems. (Doctoral Dissertation). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/qu_junfeng_200605_phd
Chicago Manual of Style (16th Edition):
Qu, Junfeng. “Time series data mining of structure changes using dynamic systems.” 2006. Doctoral Dissertation, University of Georgia. Accessed February 26, 2020.
http://purl.galileo.usg.edu/uga_etd/qu_junfeng_200605_phd.
MLA Handbook (7th Edition):
Qu, Junfeng. “Time series data mining of structure changes using dynamic systems.” 2006. Web. 26 Feb 2020.
Vancouver:
Qu J. Time series data mining of structure changes using dynamic systems. [Internet] [Doctoral dissertation]. University of Georgia; 2006. [cited 2020 Feb 26].
Available from: http://purl.galileo.usg.edu/uga_etd/qu_junfeng_200605_phd.
Council of Science Editors:
Qu J. Time series data mining of structure changes using dynamic systems. [Doctoral Dissertation]. University of Georgia; 2006. Available from: http://purl.galileo.usg.edu/uga_etd/qu_junfeng_200605_phd
University of Georgia
15.
Park, Jin-Hong.
Dimension reduction in time series.
Degree: PhD, Statistics, 2007, University of Georgia
URL: http://purl.galileo.usg.edu/uga_etd/park_jin-hong_200708_phd
► We develop a new theory of dimension reduction in time series, which provides an initial phase when an adequate parsimoniously parameterized time series model is…
(more)
▼ We develop a new theory of dimension reduction in
time series, which provides an initial phase when an adequate parsimoniously parameterized
time series model is not yet available. In this thesis, we define a notion of
Time Series Central Subspace and
Time Series Central Mean Subspace, and estimate them using newly developed methods, when the lag of the
series and minimum dimension are known. The estimators are shown to be strongly consistent. In addition, we also discuss estimation of the minimum dimension and the lag. The theory of dimension reduction in
time series poses many challenges, but a variety of encouraging results presented through extensive simulations and real data analysis seem to suggest that our method has a great potential for providing a viable and meaningful alternative to traditional
time series analysis. In fact, superior performance of our nonlinear or linear
time series models for several real data sets serve as a testament that our methods are very useful in
time series analysis. We believe that the ideas and methods presented here are of interest to
time series analyst in fields such as Economics, Business, Climatology, among others. We hope that this work will stimulate a new way of analyzing
time series data.
Advisors/Committee Members: Xiangrong Yin.
Subjects/Keywords: Time series central subspace
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to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Park, J. (2007). Dimension reduction in time series. (Doctoral Dissertation). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/park_jin-hong_200708_phd
Chicago Manual of Style (16th Edition):
Park, Jin-Hong. “Dimension reduction in time series.” 2007. Doctoral Dissertation, University of Georgia. Accessed February 26, 2020.
http://purl.galileo.usg.edu/uga_etd/park_jin-hong_200708_phd.
MLA Handbook (7th Edition):
Park, Jin-Hong. “Dimension reduction in time series.” 2007. Web. 26 Feb 2020.
Vancouver:
Park J. Dimension reduction in time series. [Internet] [Doctoral dissertation]. University of Georgia; 2007. [cited 2020 Feb 26].
Available from: http://purl.galileo.usg.edu/uga_etd/park_jin-hong_200708_phd.
Council of Science Editors:
Park J. Dimension reduction in time series. [Doctoral Dissertation]. University of Georgia; 2007. Available from: http://purl.galileo.usg.edu/uga_etd/park_jin-hong_200708_phd
University of Alberta
16.
Mueller, David A.
Time Series Discords.
Degree: MS, Department of Computing Science, 2013, University of Alberta
URL: https://era.library.ualberta.ca/files/g445cd805
► Time series discords, as introduced in by Keogh et al. [5] is described as the subsequence in the time series which is maximally different from…
(more)
▼ Time series discords, as introduced in by Keogh et al.
[5] is described as the subsequence in the time series which is
maximally different from the rest of the subsequences. Discovery of
time series discords has been applied to several diverse domains
including space shuttle telemetry, industry, and medicine [5] to
detect anomalies in the data which can identify equipment failure,
unusual patterns of activity and health problems. In this thesis we
will examine the problem of finding time series discords, with
detailed analysis of the problem and analysis of the effectiveness
of prior work. Three different areas of discord discovery will be
examined: Top Discord, Variable Length Discords, and Top-K
Discords. In each of these areas, we strive to reduce the number or
ease the selection of input parameters required by the end user.
Emphasis is also placed on improved runtime and scalability of
discord discovery methods.
Subjects/Keywords: Anomaly Detection; Discord; Time Series
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APA (6th Edition):
Mueller, D. A. (2013). Time Series Discords. (Masters Thesis). University of Alberta. Retrieved from https://era.library.ualberta.ca/files/g445cd805
Chicago Manual of Style (16th Edition):
Mueller, David A. “Time Series Discords.” 2013. Masters Thesis, University of Alberta. Accessed February 26, 2020.
https://era.library.ualberta.ca/files/g445cd805.
MLA Handbook (7th Edition):
Mueller, David A. “Time Series Discords.” 2013. Web. 26 Feb 2020.
Vancouver:
Mueller DA. Time Series Discords. [Internet] [Masters thesis]. University of Alberta; 2013. [cited 2020 Feb 26].
Available from: https://era.library.ualberta.ca/files/g445cd805.
Council of Science Editors:
Mueller DA. Time Series Discords. [Masters Thesis]. University of Alberta; 2013. Available from: https://era.library.ualberta.ca/files/g445cd805
Texas A&M University
17.
Fang, Lu.
Three Essays on Time Series Analysis of Chinese Financial Markets.
Degree: 2017, Texas A&M University
URL: http://hdl.handle.net/1969.1/161318
► This dissertation studies three important issues in Chinese financial markets. The interdependence structure and information transmission among Chinese cross-listed stocks in Shanghai, Hong Kong and…
(more)
▼ This dissertation studies three important issues in Chinese financial markets. The interdependence structure and information transmission among Chinese cross-listed stocks in Shanghai, Hong Kong and New York is examined. Results indicate that the home bias hypothesis, which suggests the dominant role of home market in pricing information transmission, is strongly supported in contemporaneous
time, modestly supported at the short horizon and not supported at the long horizon. The Shanghai market as the home market is highly exogenous at all horizons. Moreover, the Hong Kong market leads the New York market in contemporaneous
time.
Whether interest rates help to forecast stock returns in China is studied using the prequential approach. With respect to calibration (reliability), it is found that including interest rates in the model improves the model?s ability to issue realistic probability forecasts of stock returns ? a model of stock returns that does not include interest rates as an explanatory variable is not as well calibrated as a model that does include interest rates in the stock returns equation. With regard to sorting (resolution), results suggest that the model that includes interest rates performs better in distinguishing stock returns that actually occur and stock returns that do not occur when compared to a model that does not include interest rates in the stock returns equation. Overall, the interest rates help in forecasting stock returns in China in terms of both calibration and sorting.
Two factor analysis methods are investigated through forecasting Chinese interest rate based on a factor-augmented vector autoregression (FAVAR). Factors are estimated from 288 Chinese security
series to reflect the common forces that drive the movements and dynamics in the Chinese equity market. As a result, the factor estimation method by Lam and Yao outperforms the traditional principal components analysis (PCA) in terms of forecasting accuracy, especially at the short horizons.
Advisors/Committee Members: Bessler, David (advisor), Wu, Ximing (committee member), Bryant, Henry (committee member), Leatham, David (committee member).
Subjects/Keywords: Time series; Chinese financial markets
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APA (6th Edition):
Fang, L. (2017). Three Essays on Time Series Analysis of Chinese Financial Markets. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/161318
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Fang, Lu. “Three Essays on Time Series Analysis of Chinese Financial Markets.” 2017. Thesis, Texas A&M University. Accessed February 26, 2020.
http://hdl.handle.net/1969.1/161318.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Fang, Lu. “Three Essays on Time Series Analysis of Chinese Financial Markets.” 2017. Web. 26 Feb 2020.
Vancouver:
Fang L. Three Essays on Time Series Analysis of Chinese Financial Markets. [Internet] [Thesis]. Texas A&M University; 2017. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/1969.1/161318.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Fang L. Three Essays on Time Series Analysis of Chinese Financial Markets. [Thesis]. Texas A&M University; 2017. Available from: http://hdl.handle.net/1969.1/161318
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Texas A&M University
18.
Geng, Jun.
Time series study of urban rainfall suppression during clean-up periods.
Degree: 2009, Texas A&M University
URL: http://hdl.handle.net/1969.1/ETD-TAMU-2079
► The effect on urban rainfall of pollution aerosols is studied both by data analysis and computational simulation. Our study examines data for urban areas undergoing…
(more)
▼ The effect on urban rainfall of pollution aerosols is studied both by data analysis
and computational simulation. Our study examines data for urban areas undergoing
decadal clean-up. We compare the annual precipitation between polluted sites and
relatively clean sites through the
time range before and during their clean-up periods to
see how the air quality may affect the precipitation amount. By comparing the annual
precipitation amount between two polluted sites with different elevations we demonstrate
the role that elevation may play in rainfall suppression. Based on the data we collected,
we built a model to analyze the relationship between air pollution aerosols and
precipitation. Finally, we used a model of
time dependent condensational aerosol growth
to numerically study the relationship of air pollution aerosols and precipitation amount.
Based on these results, we found a negative relationship of precipitation amount and air
pollution amount; also, the simulation results clearly demonstrated that too many air
pollution particles will deplete the water vapor and suppress further growth of condensation nuclei (CN) toward cloud condensation nuclei (CNN). This study
supported the theoretical explanation on why air pollution could suppress urban rainfall.
Advisors/Committee Members: Marlow, William H. (advisor), Brooks, Sarah (committee member), Hassan, Yassin (committee member).
Subjects/Keywords: rainfall supprssion; time series study
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Chicago ·
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CSE |
Export
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Manager
APA (6th Edition):
Geng, J. (2009). Time series study of urban rainfall suppression during clean-up periods. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/ETD-TAMU-2079
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Geng, Jun. “Time series study of urban rainfall suppression during clean-up periods.” 2009. Thesis, Texas A&M University. Accessed February 26, 2020.
http://hdl.handle.net/1969.1/ETD-TAMU-2079.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Geng, Jun. “Time series study of urban rainfall suppression during clean-up periods.” 2009. Web. 26 Feb 2020.
Vancouver:
Geng J. Time series study of urban rainfall suppression during clean-up periods. [Internet] [Thesis]. Texas A&M University; 2009. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/1969.1/ETD-TAMU-2079.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Geng J. Time series study of urban rainfall suppression during clean-up periods. [Thesis]. Texas A&M University; 2009. Available from: http://hdl.handle.net/1969.1/ETD-TAMU-2079
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Hong Kong
19.
鄭遙; Zheng, Yao.
Robust methods and quantile inference for econometric
models.
Degree: PhD, 2017, University of Hong Kong
URL: http://hdl.handle.net/10722/249918
► This thesis studies the robust diagnostic checking, quantile inference, and the least absolute deviations (LAD) estimation for some time series models. Some new inference tools…
(more)
▼ This thesis studies the robust diagnostic checking,
quantile inference, and the least absolute deviations (LAD)
estimation for some
time series models. Some new inference tools
are developed which might shed new light on our understanding of
financial and economic
time series.
While the estimation for
time series models with heavy-tailed innovations has been widely
discussed in the literature, the corresponding robust
goodness-of-fit tests are still lacking. A major problem is that
the commonly used autocorrelation function in constructing
goodness-of-fit tests necessarily imposes certain moment conditions
on the innovations. Using the fact that a bounded random variable
has finite moments of all orders, this thesis addresses this
problem by first transforming the (absolute) residuals with a
bounded function. Specifically, this thesis considers the widely
used generalized autoregressive conditional heteroscedastic (GARCH)
model. By transforming the absolute residuals with their
corresponding empirical distribution function, robust
goodness-of-fit test is constructed based on the sample
autocorrelation function of the transformed residuals sequence.
Apart from the diagnostic checking problem, this thesis also
studies the quantile inference for the GARCH model. Quantile-based
risk measures, such as the Value-at-Risk, are widely used by
financial firms and regulators nowadays. The GARCH model is
arguably the most widely used conditional heteroscedastic
time
series models in financial applications. It has proved highly
successful in capturing the volatility dynamics of asset returns,
and thus has great potential in the quantile inference for
financial
time series. However, so far feasible quantile regression
methods for conditional heteroscedastic
time series models have
been confined to a variant of the GARCH model, the linear GARCH
model, owing to its tractable conditional quantile structure. This
thesis develops an easy-to-implement conditional quantile
estimation procedure for the GARCH model, based on a simple yet
nontrivial transformation. A new bootstrapping procedure is
proposed to approximate the asymptotic distribution of the quantile
regression estimator, and diagnostic tools based on the residual
quantile autocorrelation function are constructed to check the
adequacy of the fitted conditional quantiles.
For nonstationary
vector autoregressive (AR)
time series models with pure unit roots,
this thesis considers the panel unit root tests based on the LAD
estimation. The motivation is twofold. First, the vector AR
modeling is a way to allow cross-sectional dependence in the panel
data. Second, the LAD estimation is a robust complement to the
ordinary least squares method for heavy-tailed
time series. To
approximate the complicated asymptotic distribution of the LAD
estimator, a novel bootstrap method is proposed, which is a hybrid
of the wild bootstrap and the randomly weighted bootstrap method.
Based on the proposed LAD estimation and bootstrap method, three
bootstrapping panel unit root tests are…
Advisors/Committee Members: Li, WK, Li, G.
Subjects/Keywords: GARCH model; Time-series analysis
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
鄭遙; Zheng, Y. (2017). Robust methods and quantile inference for econometric
models. (Doctoral Dissertation). University of Hong Kong. Retrieved from http://hdl.handle.net/10722/249918
Chicago Manual of Style (16th Edition):
鄭遙; Zheng, Yao. “Robust methods and quantile inference for econometric
models.” 2017. Doctoral Dissertation, University of Hong Kong. Accessed February 26, 2020.
http://hdl.handle.net/10722/249918.
MLA Handbook (7th Edition):
鄭遙; Zheng, Yao. “Robust methods and quantile inference for econometric
models.” 2017. Web. 26 Feb 2020.
Vancouver:
鄭遙; Zheng Y. Robust methods and quantile inference for econometric
models. [Internet] [Doctoral dissertation]. University of Hong Kong; 2017. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/10722/249918.
Council of Science Editors:
鄭遙; Zheng Y. Robust methods and quantile inference for econometric
models. [Doctoral Dissertation]. University of Hong Kong; 2017. Available from: http://hdl.handle.net/10722/249918
University of Hong Kong
20.
馬世晟; Ma, Sai-shing.
On the long memory autoregressive conditional duration
models.
Degree: M. Phil., 2014, University of Hong Kong
URL: Ma,
S.
[馬世晟].
(2014).
On
the
long
memory
autoregressive
conditional
duration
models.
(Thesis).
University
of
Hong
Kong,
Pokfulam,
Hong
Kong
SAR.
Retrieved
from
http://dx.doi.org/10.5353/th_b5185908
;
http://dx.doi.org/10.5353/th_b5185908
;
http://hdl.handle.net/10722/197101
► In financial markets, transaction durations refer to the duration time between two consecutive trades. It is common that more frequent trades are expected to be…
(more)
▼ In financial markets, transaction durations refer
to the duration time between two consecutive trades. It is common
that more frequent trades are expected to be followed by shorter
durations between consecutive transactions, while less frequent
trades are expected to be followed by longer durations.
Autoregressive conditional duration (ACD) model was developed to
model transaction durations, based on the assumption that the
expected average duration is dependent on the past durations.
Empirically, transaction durations possess much longer memory than
expected. The autocorrelation functions of durations decay slowly
and are still significant after a large number of lags. Therefore,
the fractionally integrated autoregressive conditional duration
(FIACD) model was proposed to model this kind of long memory
behavior.
The ACD model possesses short memory as the dependence
of the past durations will die out exponentially. The FIACD model
possesses much longer memory as the dependence of the past
durations will decay hyperbolically. However, the modeling result
would be misleading if the actual dependence of the past durations
decays between exponential rate and hyperbolic rate. Neither of
these models can truly reveal the memory properties in this case.
This thesis proposes a new duration model, named as the
hyperbolic autoregressive conditional duration (HYACD) model, which
combines the ACD model and the FIACD model into one. It possesses
both short memory and long memory properties and allows the
dependence of the past durations to decay between the exponential
rate and the hyperbolic rate. It also indicates whether the
dependence is close to short memory or long memory. The model is
applied to the transaction data of AT&T and McDonald stocks
traded on NYSE and statistically positive results are obtained when
it is compared to the ACD model and the FIACD
model.
published_or_final_version
Statistics and Actuarial Science
Master
Master of Philosophy
Advisors/Committee Members: Yu, PLH, Li, WK.
Subjects/Keywords: Autoregression (Statistics); Time-series analysis
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APA ·
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Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
馬世晟; Ma, S. (2014). On the long memory autoregressive conditional duration
models. (Masters Thesis). University of Hong Kong. Retrieved from Ma, S. [馬世晟]. (2014). On the long memory autoregressive conditional duration models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5185908 ; http://dx.doi.org/10.5353/th_b5185908 ; http://hdl.handle.net/10722/197101
Chicago Manual of Style (16th Edition):
馬世晟; Ma, Sai-shing. “On the long memory autoregressive conditional duration
models.” 2014. Masters Thesis, University of Hong Kong. Accessed February 26, 2020.
Ma, S. [馬世晟]. (2014). On the long memory autoregressive conditional duration models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5185908 ; http://dx.doi.org/10.5353/th_b5185908 ; http://hdl.handle.net/10722/197101.
MLA Handbook (7th Edition):
馬世晟; Ma, Sai-shing. “On the long memory autoregressive conditional duration
models.” 2014. Web. 26 Feb 2020.
Vancouver:
馬世晟; Ma S. On the long memory autoregressive conditional duration
models. [Internet] [Masters thesis]. University of Hong Kong; 2014. [cited 2020 Feb 26].
Available from: Ma, S. [馬世晟]. (2014). On the long memory autoregressive conditional duration models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5185908 ; http://dx.doi.org/10.5353/th_b5185908 ; http://hdl.handle.net/10722/197101.
Council of Science Editors:
馬世晟; Ma S. On the long memory autoregressive conditional duration
models. [Masters Thesis]. University of Hong Kong; 2014. Available from: Ma, S. [馬世晟]. (2014). On the long memory autoregressive conditional duration models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5185908 ; http://dx.doi.org/10.5353/th_b5185908 ; http://hdl.handle.net/10722/197101
University of Hong Kong
21.
Li, Yang.
Statistical inference for some econometric time series
models.
Degree: PhD, 2014, University of Hong Kong
URL: Li,
Y.
[李杨].
(2014).
Statistical
inference
for
some
econometric
time
series
models.
(Thesis).
University
of
Hong
Kong,
Pokfulam,
Hong
Kong
SAR.
Retrieved
from
http://dx.doi.org/10.5353/th_b5153693
;
http://dx.doi.org/10.5353/th_b5153693
;
http://hdl.handle.net/10722/195984
► With the increasingly economic activities, people have more and more interest in econometric models. There are two mainstream econometric models which are very popular in…
(more)
▼ With the increasingly economic activities, people
have more and more interest in econometric models. There are two
mainstream econometric models which are very popular in recent
decades. One is quantile autoregressive (QAR) model which allows
varying-coefficients in linear
time series and greatly promotes the
ranges of regression research. The first topic of this thesis is to
focus on the modeling of QAR model. We propose two important
measures, quantile correlation (QCOR) and quantile partial
correlation (QPCOR). We then apply them to QAR models, and
introduce two valuable quantities, the quantile autocorrelation
function (QACF) and the quantile partial autocorrelation function
(QPACF). This allows us to extend the Box-Jenkins three-stage
procedure (model identification, model parameter estimation, and
model diagnostic checking) from classical autoregressive models to
quantile autoregressive models. Specifically, the QPACF of an
observed
time series can be employed to identify the autoregressive
order, while the QACF of residuals obtained from the model can be
used to assess the model adequacy. We not only demonstrate the
asymptotic properties of QCOR, QPCOR, QACF and PQACF, but also show
the large sample results of the QAR estimates and the quantile
version of the Ljung- Box test. Moreover, we obtain the bootstrap
approximations to the distributions of parameter estimators and
proposed measures. Simulation studies indicate that the proposed
methods perform well in finite samples, and an empirical example is
presented to illustrate the usefulness of QAR model.
The other
important econometric model is autoregressive conditional duration
(ACD) model which is developed with the purpose of depicting ultra
high frequency (UHF) financial
time series data. The second topic
of this thesis is designed to incorporate ACD model with one of the
extreme value distributions, i.e. Fréchet distribution. We apply
the maximum likelihood estimation (MLE) to Fréchet ACD models and
derive its generalized residuals for model adequacy checking. It is
noteworthy that simulations show a relative greater sensitiveness
in the linear parameters to sampling errors. This phenomenon
successfully reflects the skewness of the Fréchet distribution and
suggests a method to practitioners in proceeding model accuracy.
Furthermore, we present the empirical sizes and powers for
Box-Pierce, Ljung-Box and modified Box-Pierce statistics as
comparisons of the proposed portmanteau statistic.
In addition to
the Fréchet ACD, we also systematically analyze theWeibull ACD,
where the Weibull distribution is the other nonnegative extreme
value distribution. The last topic of the thesis explains the
estimation and diagnostic checking the Weibull ACD model. By
investigating the MLE in this model, there exhibits a slight
sensitiveness in linear parameters. However, there is an obvious
phenomenon on the trade-off between the skewness of Weibull
distribution and the sampling error when the simulations are
conducted. Moreover, the asymptotic properties are also studied…
Advisors/Committee Members: Li, G.
Subjects/Keywords: Econometrics; Time-series analysis
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Li, Y. (2014). Statistical inference for some econometric time series
models. (Doctoral Dissertation). University of Hong Kong. Retrieved from Li, Y. [李杨]. (2014). Statistical inference for some econometric time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153693 ; http://dx.doi.org/10.5353/th_b5153693 ; http://hdl.handle.net/10722/195984
Chicago Manual of Style (16th Edition):
Li, Yang. “Statistical inference for some econometric time series
models.” 2014. Doctoral Dissertation, University of Hong Kong. Accessed February 26, 2020.
Li, Y. [李杨]. (2014). Statistical inference for some econometric time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153693 ; http://dx.doi.org/10.5353/th_b5153693 ; http://hdl.handle.net/10722/195984.
MLA Handbook (7th Edition):
Li, Yang. “Statistical inference for some econometric time series
models.” 2014. Web. 26 Feb 2020.
Vancouver:
Li Y. Statistical inference for some econometric time series
models. [Internet] [Doctoral dissertation]. University of Hong Kong; 2014. [cited 2020 Feb 26].
Available from: Li, Y. [李杨]. (2014). Statistical inference for some econometric time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153693 ; http://dx.doi.org/10.5353/th_b5153693 ; http://hdl.handle.net/10722/195984.
Council of Science Editors:
Li Y. Statistical inference for some econometric time series
models. [Doctoral Dissertation]. University of Hong Kong; 2014. Available from: Li, Y. [李杨]. (2014). Statistical inference for some econometric time series models. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153693 ; http://dx.doi.org/10.5353/th_b5153693 ; http://hdl.handle.net/10722/195984
University of Johannesburg
22.
Human, Johannes Urbanus.
Some aspects of harmonic time series analysis.
Degree: PhD, 2012, University of Johannesburg
URL: http://hdl.handle.net/10210/4275
► Harmonic time series are often used to describe the periodic nature of a time series, for example the periodic nature of a variable star’s observed…
(more)
▼ Harmonic time series are often used to describe the periodic nature of a time series, for example the periodic nature of a variable star’s observed light curve. Statistical methods for determining the number of harmonic components to include in harmonic time series are limited. In this thesis a stepwise bootstrap procedure based on a F-type statistic is suggested. The performance of the stepwise procedure is compared to that of Schwartz’s Bayesian Criterion (SBC) and a procedure based on a statistic described by Siegel (1980). Harmonic series with correlated noise terms and irregularly spaced observations are also considered. Tests to detect changes in harmonic parameters are also derived in this thesis. A cumulative sum statistic to test for constant amplitude is derived. It is shown that testing for constant amplitude is equivalent to testing for constant slope in simple linear regression. We also derive a likelihood ratio statistic to test for constant amplitude. It is shown that the latter likelihood ratio statistic is asymptotically equivalent to the cumulative sum statistic. These statistics are compared to a quadratic form statistic used by Koen (2009). Likelihood ratio tests are also derived for detecting changes in the frequency or phase of harmonic time series. Graphical devices to aid in diagnostic checking are suggested.
Subjects/Keywords: Harmonic analysis; Time-series analysis
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to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Human, J. U. (2012). Some aspects of harmonic time series analysis. (Doctoral Dissertation). University of Johannesburg. Retrieved from http://hdl.handle.net/10210/4275
Chicago Manual of Style (16th Edition):
Human, Johannes Urbanus. “Some aspects of harmonic time series analysis.” 2012. Doctoral Dissertation, University of Johannesburg. Accessed February 26, 2020.
http://hdl.handle.net/10210/4275.
MLA Handbook (7th Edition):
Human, Johannes Urbanus. “Some aspects of harmonic time series analysis.” 2012. Web. 26 Feb 2020.
Vancouver:
Human JU. Some aspects of harmonic time series analysis. [Internet] [Doctoral dissertation]. University of Johannesburg; 2012. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/10210/4275.
Council of Science Editors:
Human JU. Some aspects of harmonic time series analysis. [Doctoral Dissertation]. University of Johannesburg; 2012. Available from: http://hdl.handle.net/10210/4275
Addis Ababa University
23.
Tewodros, Gebru.
The Determinants of Economic Growth in Ethiopia: A Time Series Analysis
.
Degree: 2015, Addis Ababa University
URL: http://etd.aau.edu.et/dspace/handle/123456789/6821
► The main objective of this study is to investigate the determinants of economic growth in Ethiopia during the period 1974-2013. The Autoregressive Distributed Lag (ARDL)…
(more)
▼ The main objective of this study is to investigate the determinants of economic growth in
Ethiopia during the period 1974-2013. The Autoregressive Distributed Lag (ARDL) Approach to
Co-integration and Error Correction Model are applied in order to investig ate the long-run and
short run relationship between the dependent variable (real GDP) and its determinants. The
finding of the Bounds test shows that there is a stable long run relationship between real GDP,
Physical capital, human capital, export, aid, external debt and inflation.
The empirical results reveal that both physical capital and human capital are found to have
positive impact on economic growth while debt affects economic growth negatively and statically
significant at 1 percent. However, the study found out that export of goods and service, foreign
aid and inflation have statistically insignificant impact on economic growth in the long run. This
study has also an important policy implication. The findings of this study imply that economic
growth can be improved significantly when the physical capital and human capital increases.
Hence policy makers and /or the government should strive to increase capital formation
(investment) which is believed as a back bone of growth and has allocate adequate finance for
human capital, which will help to work on quality of education and providing basic health
services to the society. In addition to its effort, there should be a close monitoring and consistent
debt management strategies, which is used to avoid misallocation and mismanagement of
external debt problem.
Advisors/Committee Members: Dr. Fantu Guta (advisor).
Subjects/Keywords: Economic Growth;
Time Series
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APA (6th Edition):
Tewodros, G. (2015). The Determinants of Economic Growth in Ethiopia: A Time Series Analysis
. (Thesis). Addis Ababa University. Retrieved from http://etd.aau.edu.et/dspace/handle/123456789/6821
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Tewodros, Gebru. “The Determinants of Economic Growth in Ethiopia: A Time Series Analysis
.” 2015. Thesis, Addis Ababa University. Accessed February 26, 2020.
http://etd.aau.edu.et/dspace/handle/123456789/6821.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Tewodros, Gebru. “The Determinants of Economic Growth in Ethiopia: A Time Series Analysis
.” 2015. Web. 26 Feb 2020.
Vancouver:
Tewodros G. The Determinants of Economic Growth in Ethiopia: A Time Series Analysis
. [Internet] [Thesis]. Addis Ababa University; 2015. [cited 2020 Feb 26].
Available from: http://etd.aau.edu.et/dspace/handle/123456789/6821.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Tewodros G. The Determinants of Economic Growth in Ethiopia: A Time Series Analysis
. [Thesis]. Addis Ababa University; 2015. Available from: http://etd.aau.edu.et/dspace/handle/123456789/6821
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Nelson Mandela Metropolitan University
24.
Mlambo, Farai Fredric.
Good's casualty for time series: a regime-switching framework.
Degree: Faculty of Science, 2014, Nelson Mandela Metropolitan University
URL: http://hdl.handle.net/10948/6018
► Causal analysis is a significant role-playing field in the applied sciences such as statistics, econometrics, and technometrics. Particularly, probability-raising models have warranted significant research interest.…
(more)
▼ Causal analysis is a significant role-playing field in the applied sciences such as statistics, econometrics, and technometrics. Particularly, probability-raising models have warranted significant research interest. Most of the discussions in this area are philosophical in nature. Contemporarily, the econometric causality theory, developed by C.J.W. Granger, is popular in practical, time series causal applications. While this type of causality technique has many strong features, it has serious limitations. The processes studied, in particular, should be stationary and causal relationships are restricted to be linear. However, we cannot classify regime-switching processes as linear and stationary. I.J. Good proposed a probabilistic, event-type explication of causality that circumvents some of the limitations of Granger’s methodology. This work uses the probability raising causality ideology, as postulated by Good, to propose some causal analysis methodology applicable in a stochastic, non-stationary domain. There is a proposal made for a Good’s causality test, by transforming the originally specified probabilistic causality theory from random events to a stochastic, regime-switching framework. The researcher performed methodological validation via causality simulations for a Markov, regime-switching model. The proposed test can be used to detect whether none stochastic process is causal to the observed behaviour of another, probabilistically. In particular, the regime-switch causality explication proposed herein is pivotal to the results articulated. This research also examines the power of the proposed test by using simulations, and outlines some steps that one may take in using the test in a practical setting.
Subjects/Keywords: Time-series analysis; Econometrics
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MLA ·
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APA (6th Edition):
Mlambo, F. F. (2014). Good's casualty for time series: a regime-switching framework. (Thesis). Nelson Mandela Metropolitan University. Retrieved from http://hdl.handle.net/10948/6018
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Mlambo, Farai Fredric. “Good's casualty for time series: a regime-switching framework.” 2014. Thesis, Nelson Mandela Metropolitan University. Accessed February 26, 2020.
http://hdl.handle.net/10948/6018.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Mlambo, Farai Fredric. “Good's casualty for time series: a regime-switching framework.” 2014. Web. 26 Feb 2020.
Vancouver:
Mlambo FF. Good's casualty for time series: a regime-switching framework. [Internet] [Thesis]. Nelson Mandela Metropolitan University; 2014. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/10948/6018.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Mlambo FF. Good's casualty for time series: a regime-switching framework. [Thesis]. Nelson Mandela Metropolitan University; 2014. Available from: http://hdl.handle.net/10948/6018
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
McMaster University
25.
Barrows, Dexter.
A Comparative Study of Techniques for Estimation and Inference of Nonlinear Stochastic Time Series.
Degree: MSc, 2016, McMaster University
URL: http://hdl.handle.net/11375/19103
► Forecasting tools play an important role in public response to epidemics. Despite this, limited work has been done in comparing best-in-class techniques across the broad…
(more)
▼ Forecasting tools play an important role in public response to epidemics. Despite this, limited work has been done in comparing best-in-class techniques across the broad spectrum of time series forecasting methodologies. Forecasting frameworks were developed that utilised three methods designed to work with nonlinear dynamics: Iterated Filtering (IF) 2, Hamiltonian MCMC (HMC), and S-mapping. These were compared in several forecasting scenarios including a seasonal epidemic and a spatiotemporal epidemic. IF2 combined with parametric bootstrapping produced superior predictions in all scenarios. S-mapping combined with Dewdrop Regression produced forecasts slightly less-accurate than IF2 and HMC, but demonstrated vastly reduced running times. Hence, S-mapping with or without Dewdrop Regression should be used to glean initial insight into future epidemic behaviour, while IF2 and parametric bootstrapping should be used to refine forecast estimates in time.
Thesis
Master of Science (MSc)
Advisors/Committee Members: Bolker, Benjamin, Mathematics and Statistics.
Subjects/Keywords: Forecasting; Time series; Estimation; Fitting
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
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Manager
APA (6th Edition):
Barrows, D. (2016). A Comparative Study of Techniques for Estimation and Inference of Nonlinear Stochastic Time Series. (Masters Thesis). McMaster University. Retrieved from http://hdl.handle.net/11375/19103
Chicago Manual of Style (16th Edition):
Barrows, Dexter. “A Comparative Study of Techniques for Estimation and Inference of Nonlinear Stochastic Time Series.” 2016. Masters Thesis, McMaster University. Accessed February 26, 2020.
http://hdl.handle.net/11375/19103.
MLA Handbook (7th Edition):
Barrows, Dexter. “A Comparative Study of Techniques for Estimation and Inference of Nonlinear Stochastic Time Series.” 2016. Web. 26 Feb 2020.
Vancouver:
Barrows D. A Comparative Study of Techniques for Estimation and Inference of Nonlinear Stochastic Time Series. [Internet] [Masters thesis]. McMaster University; 2016. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/11375/19103.
Council of Science Editors:
Barrows D. A Comparative Study of Techniques for Estimation and Inference of Nonlinear Stochastic Time Series. [Masters Thesis]. McMaster University; 2016. Available from: http://hdl.handle.net/11375/19103
University of Illinois – Chicago
26.
Amornbunchornvej, Chainarong.
Inference of Leadership of Coordinated Activity in Time Series.
Degree: 2018, University of Illinois – Chicago
URL: http://hdl.handle.net/10027/23252
► When a group of people decides to move somewhere together, who is the initiator who starts moving and everyone follows? Do the group members follow…
(more)
▼ When a group of people decides to move somewhere together, who is the initiator who starts moving and everyone follows? Do the group members follow friends around them or do they prefer to follow specific individuals? These questions are about leadership. Leadership plays a key role in social animals', including humans', decision-making and coalescence in coordinated activities such as hunting, migration, sport, diplomatic negotiation, etc. In these coordinated activities, leadership is a process which organizes interactions among members to make a group achieve collective goals. Understanding initiation of coordinated activities allows scientists to gain more insight into social species' behaviors. However, by using only the data on
time series of activities, inferring leadership, as manifested by the initiation of coordinated activities, faces many challenging issues. First, there is no fundamental concept to describe these activities computationally. Second, coordinated activities are dynamic. Third, several different coordinated activities may occur simultaneously among subgroups. To fill these remaining gaps in leadership inference, we formalize several computational leadership problems and propose methodologies to solve them.
We evaluate and demonstrate the performance of the proposed frameworks in both simulated and real-world datasets, such as baboon trajectories,
time series of fish movement as well as
time series of closing price of stock market. The frameworks perform better than non-trivial baselines in both simulated and real-world datasets. Our problem formalization and frameworks enable opportunities for scientists to analyze coordinated activities and generate scientific hypotheses about collective behaviors that can be tested statistically and in the field.
Advisors/Committee Members: Berger-Wolf, Tanya Y. (advisor), Zheleva, Elena (committee member), Ziebart, Brian (committee member), Turan, Gyorgy (committee member), Keogh, Eamonn (committee member), Berger-Wolf, Tanya Y. (chair).
Subjects/Keywords: Leadership; Coordination; Time series; Inference
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APA ·
Chicago ·
MLA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Amornbunchornvej, C. (2018). Inference of Leadership of Coordinated Activity in Time Series. (Thesis). University of Illinois – Chicago. Retrieved from http://hdl.handle.net/10027/23252
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Amornbunchornvej, Chainarong. “Inference of Leadership of Coordinated Activity in Time Series.” 2018. Thesis, University of Illinois – Chicago. Accessed February 26, 2020.
http://hdl.handle.net/10027/23252.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Amornbunchornvej, Chainarong. “Inference of Leadership of Coordinated Activity in Time Series.” 2018. Web. 26 Feb 2020.
Vancouver:
Amornbunchornvej C. Inference of Leadership of Coordinated Activity in Time Series. [Internet] [Thesis]. University of Illinois – Chicago; 2018. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/10027/23252.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Amornbunchornvej C. Inference of Leadership of Coordinated Activity in Time Series. [Thesis]. University of Illinois – Chicago; 2018. Available from: http://hdl.handle.net/10027/23252
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Mississippi State University
27.
Wang, Jingjing.
Different steimations of time series models and application for foreign exchange in emerging markets.
Degree: MS, Mathematics and Statistics, 2016, Mississippi State University
URL: http://sun.library.msstate.edu/ETD-db/theses/available/etd-06292016-121204/
;
► Time series models have been widely used in simulating financial data sets. Finding a nice way to estimate the parameters is really important. One…
(more)
▼ Time series models have been widely used in simulating financial data sets. Finding a nice way to estimate the parameters is really important. One of the traditional ways is to use maximum likelihood estimation to make an approach. However, when the error terms dont have normality, MLE would be less efficient. Quasi maximum likelihood estimation, also regarded as Gaussian MLE, would be more efficient. Considering the heavy-tailed financial data sets, we can use non-Gaussian quasi maximum likelihood, which needs less assumptions and conditions. We use real financial data sets to compare these estimators.
Advisors/Committee Members: Tung-Lung Wu (committee member).
Subjects/Keywords: emerging markets; time series
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Wang, J. (2016). Different steimations of time series models and application for foreign exchange in emerging markets. (Masters Thesis). Mississippi State University. Retrieved from http://sun.library.msstate.edu/ETD-db/theses/available/etd-06292016-121204/ ;
Chicago Manual of Style (16th Edition):
Wang, Jingjing. “Different steimations of time series models and application for foreign exchange in emerging markets.” 2016. Masters Thesis, Mississippi State University. Accessed February 26, 2020.
http://sun.library.msstate.edu/ETD-db/theses/available/etd-06292016-121204/ ;.
MLA Handbook (7th Edition):
Wang, Jingjing. “Different steimations of time series models and application for foreign exchange in emerging markets.” 2016. Web. 26 Feb 2020.
Vancouver:
Wang J. Different steimations of time series models and application for foreign exchange in emerging markets. [Internet] [Masters thesis]. Mississippi State University; 2016. [cited 2020 Feb 26].
Available from: http://sun.library.msstate.edu/ETD-db/theses/available/etd-06292016-121204/ ;.
Council of Science Editors:
Wang J. Different steimations of time series models and application for foreign exchange in emerging markets. [Masters Thesis]. Mississippi State University; 2016. Available from: http://sun.library.msstate.edu/ETD-db/theses/available/etd-06292016-121204/ ;
University of Melbourne
28.
Ma, Mei.
Multi-resolution indexing method for time series.
Degree: 2010, University of Melbourne
URL: http://hdl.handle.net/11343/35340
► Time series datasets are useful in a wide range of diverse real world applications. Retrieving or querying from a collection of time series is a…
(more)
▼ Time series datasets are useful in a wide range of diverse real world applications. Retrieving or querying from a collection of time series is a fundamental task, with a key example being the similarity query. A similarity query returns all time series from the collection that are similar to a given reference time series. This type of query is particularly useful in prediction and forecasting applications.
A key challenge for similarity queries is efficiency and for large datasets, it is important to develop efficient indexing techniques. Existing approaches in this area are mainly based on the Generic Multimedia Indexing Method (GEMINI), which is a framework that uses spatial indexes such as the R-tree to index reduced time series. For processing a similarity query, the index is first used to prune candidate time series using a lower bounding distance. Then, all remaining time series are compared using the original similarity measure, to derive the query result. Performance within this framework depends on the tightness of the lower bounding distance with respect to the similarity measure. Indeed much work has been focused on representation and dimensionality reduction, in order to provide a tighter lower bounding distance.
Existing work, however, has not used employed dimensionality reduction in a flexible way, requiring all time series to be reduced to have the same dimension. In contrast, in this thesis, we investigate the possibility of allowing a variable dimension reduction. To this end, we develop a new and more flexible tree based indexing structure called the Multi-Resolution Index (MR-Index), which allows dimensionality to vary across different levels of the tree. We provide efficient algorithms for querying, building and maintaining this structure. Through an experimental analysis, we show that the MR-Index can deliver improved query efficiency compared to the traditional R-tree index, using both the Euclidean and dynamic time warping similarity measures.
Subjects/Keywords: multi-resolution; indexing; time series
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APA ·
Chicago ·
MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Ma, M. (2010). Multi-resolution indexing method for time series. (Masters Thesis). University of Melbourne. Retrieved from http://hdl.handle.net/11343/35340
Chicago Manual of Style (16th Edition):
Ma, Mei. “Multi-resolution indexing method for time series.” 2010. Masters Thesis, University of Melbourne. Accessed February 26, 2020.
http://hdl.handle.net/11343/35340.
MLA Handbook (7th Edition):
Ma, Mei. “Multi-resolution indexing method for time series.” 2010. Web. 26 Feb 2020.
Vancouver:
Ma M. Multi-resolution indexing method for time series. [Internet] [Masters thesis]. University of Melbourne; 2010. [cited 2020 Feb 26].
Available from: http://hdl.handle.net/11343/35340.
Council of Science Editors:
Ma M. Multi-resolution indexing method for time series. [Masters Thesis]. University of Melbourne; 2010. Available from: http://hdl.handle.net/11343/35340
NSYSU
29.
Kau, Wei-Hao.
Time series prediction using LSTM Network Models.
Degree: Master, Applied Mathematics, 2018, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0612118-160809
► As recent computing hardware technology has undergone rapid and significant advances, complex methods that require a lot of computing power have been realized, which has…
(more)
▼ As recent computing hardware technology has undergone rapid and significant advances, complex methods that require a lot of computing power have been realized, which has led to the development of more machine learning methods and neural network models. This paper discusses the Long short-term memory (LSTM) network model of recurrent neural networks. The first part of this paper introduces the basic concept of LSTM and its training method. The second part discusses short- and long-term prediction, and compares their differences with the conventional
time series model. The third part compares the prediction performance of the conventional
time series model and LSTM by analysing simulated data. In the empirical study, a Long short-term memory network model is fitted for bicycle rental data in Kaohsiung, and predictive analysis is performed.
Advisors/Committee Members: Mong-Na Lo Huang (chair), Mei-Hui Guo (committee member), Chung Chang (chair), Huang, Shih-Feng (chair), Liang-Ching Lin (chair).
Subjects/Keywords: prediction; LSTM; time series model
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APA ·
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Export
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APA (6th Edition):
Kau, W. (2018). Time series prediction using LSTM Network Models. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0612118-160809
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Kau, Wei-Hao. “Time series prediction using LSTM Network Models.” 2018. Thesis, NSYSU. Accessed February 26, 2020.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0612118-160809.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Kau, Wei-Hao. “Time series prediction using LSTM Network Models.” 2018. Web. 26 Feb 2020.
Vancouver:
Kau W. Time series prediction using LSTM Network Models. [Internet] [Thesis]. NSYSU; 2018. [cited 2020 Feb 26].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0612118-160809.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Kau W. Time series prediction using LSTM Network Models. [Thesis]. NSYSU; 2018. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0612118-160809
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
UCLA
30.
Meade, Christopher.
Improving Automated Time Series Forecasting with the use of Model Ensembles.
Degree: Statistics, 2019, UCLA
URL: http://www.escholarship.org/uc/item/91q598s7
► There currently exist several “black box” software libraries for the automatic forecasting of time series. Popular among these are the 'forecast' and 'bsts' packages for…
(more)
▼ There currently exist several “black box” software libraries for the automatic forecasting of time series. Popular among these are the 'forecast' and 'bsts' packages for R, which havefunctions to automatically fit several common classes of time series models, such as theautoregressive integrated moving average (ARIMA) and the family of exponential smoothingmodels, among others. It is often the case that what one gains from the ease in fitting theseautomatic methods comes at the cost of predictive performance. In this paper, we proposeseveral methods to improve the prediction accuracy of automatic time series forecasting, all ofwhich relate to creating ensembles of models automatically fit from these packages. Weexplore different ways that one can construct these ensembles and evaluate each on abenchmark time series dataset. In addition, we provide the R code used to construct these ensembles.
Subjects/Keywords: Statistics; ensembles; forecasting; time series
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APA ·
Chicago ·
MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
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APA (6th Edition):
Meade, C. (2019). Improving Automated Time Series Forecasting with the use of Model Ensembles. (Thesis). UCLA. Retrieved from http://www.escholarship.org/uc/item/91q598s7
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Meade, Christopher. “Improving Automated Time Series Forecasting with the use of Model Ensembles.” 2019. Thesis, UCLA. Accessed February 26, 2020.
http://www.escholarship.org/uc/item/91q598s7.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Meade, Christopher. “Improving Automated Time Series Forecasting with the use of Model Ensembles.” 2019. Web. 26 Feb 2020.
Vancouver:
Meade C. Improving Automated Time Series Forecasting with the use of Model Ensembles. [Internet] [Thesis]. UCLA; 2019. [cited 2020 Feb 26].
Available from: http://www.escholarship.org/uc/item/91q598s7.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Meade C. Improving Automated Time Series Forecasting with the use of Model Ensembles. [Thesis]. UCLA; 2019. Available from: http://www.escholarship.org/uc/item/91q598s7
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
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Open Access Theses and Dissertations