Advances in Time Series Methods and Applications : The A. by Wai Keung Li, David A. Stanford, Hao Yu

Posted by

By Wai Keung Li, David A. Stanford, Hao Yu

This quantity reports and summarizes a few of A. I. McLeod's major contributions to time sequence research. It additionally comprises unique contributions to the sphere and to similar parts by means of contributors of the festschrift held in June 2014 and associates of Dr. McLeod. protecting a various diversity of cutting-edge subject matters, this quantity good balances utilized and theoretical examine throughout fourteen contributions through specialists within the box. it is going to be of curiosity to researchers and practitioners in time sequence, econometricians, and graduate scholars in time sequence or econometrics, in addition to environmental statisticians, info scientists, statisticians drawn to graphical versions, and researchers in quantitative danger management.

Show description

Read or Download Advances in Time Series Methods and Applications : The A. Ian McLeod Festschrift PDF

Similar econometrics books

Hard-to-Measure Goods and Services: Essays in Honor of Zvi Griliches

The prestigious economist Zvi Griliches’s whole occupation might be considered as an try to improve the reason for accuracy in financial dimension. His curiosity within the reasons and outcomes of technical growth resulted in his pathbreaking paintings on cost hedonics, now the vital analytical method on hand to account for alterations in product caliber.

Complex Systems in Finance and Econometrics

Complicated platforms in Finance and Econometrics is an authoritative connection with the fundamental instruments and ideas of complexity and structures conception as utilized to an figuring out of advanced, financial-based enterprise and social structures. Fractals, nonlinear time sequence modeling, mobile automata, online game conception, community concept and statistical physics are one of the crucial instruments and methods for predicting, tracking, comparing, handling, and decision-making in a variety of fields from wellbeing and fitness care, poverty relief, and effort and the surroundings, to production and caliber coverage, version construction, organizational studying.

Research in the History of Economic Thought and Methodology, Volume 25A: A Research Annual (Research in the History of Economic Thought and Methodology) ... History of Economic Thought and Methodology)

The sequence provides fabrics in fields, the heritage of financial suggestion, and the method of economics, either generally thought of. the most annual volumes current articles akin to what one could locate in a magazine, other than that lengthy items are welcome. additionally offered are evaluate essays on new works within the fields, a few of that are a number of experiences; plus occasional mini-symposia.

The Gini Methodology: A Primer on a Statistical Methodology

Gini's suggest distinction (GMD) used to be first brought by means of Corrado Gini in 1912 as a substitute degree of variability. GMD and the parameters that are derived from it (such because the Gini coefficient or the focus ratio) were in use within the sector of source of revenue distribution for nearly a century. In perform, using GMD as a degree of variability is justified at any time when the investigator isn't really able to impose, with no wondering, the handy international of normality.

Extra info for Advances in Time Series Methods and Applications : The A. Ian McLeod Festschrift

Sample text

T and fixed h da L Output: The daLASSO estimator Φ T 1 Start: Set up a grid G = γ0 × γ1 × γ2 with G = |G |. 2 for g ← 1 to G do 5 hK2 j=1 Output End da L ΦT ← : ∀g = 1, . . , G . Φ T (Λ∗T ). 6 Monte Carlo Study We use Monte Carlo to investigate the sampling properties of the PLAC-weighted adaptive LASSO estimator for VAR models. Specifically, we would like to assess its performance in terms of order identification, the parameter estimation, and subset The Doubly Adaptive LASSO for Vector Autoregressive Models 33 selection.

Chan, K. (2011). Subset ARMA selection via the adaptive Lasso. Statistics and Its Interface, 4, 197–205. 8. Donoho, D. , & Temlyakov, V. N. (2006). Stable recovery of sparse overcomplete representations in the presence of noise. IEEE Transactions on Iinformation Theory, 52(1), 6–18. 9. Durbin, J. (1960). The fitting of time series models. Review of the Institute of International Statistics, 28, 233–244. 10. , & Tibshirani, R. (2004). Least angle regression. Annals of Statistics, 32(2), 407–499.

For an m × n matrix A, its entrywise p-norm, denoted as A A p = vec(A) p = m n i=1 j=1 |ai j | p 1/ p p, is defined as . The Frobenius norm, which is the special case p = 2, is defined as A F = m n i=1 j=1 |ai j |2 Definition 3 (The PLAC-weighted adaptive LASSO) The PLAC-weighted adaptive da L LASSO or doubly adaptive LASSO (daLASSO) estimator φˆ T for φ ∗ is defined as φˆ da L = arg min φ ⎧ ⎨ ⎩ h y − X ⊗ IK φ 2 K K wˆ i j,k φi j,k + λT k=1 i=1 j=1 ⎫ ⎬ ⎭ , (14) The Doubly Adaptive LASSO for Vector Autoregressive Models where wˆ i j,k = 1 φ˜ i j,k γ1 h P(s) s=k γ0 γ0 h Ak = P(s) γ2 = γ0 γ0 , 27 1 φ˜ i j,k γ1 γ Ak 2 , (15) (16) s=k φ˜ i j,k is the ordinary least squares estimate or any other consistent estimate for φi j,k , P(s) γ0 = K i=1 K j=1 | Pi j (s)|γ0 1/γ0 is the entrywise γ0 -norm of the sample par- tial lag autocorrelation matrix P(s) at lag s, and γ0 > 0, γ1 ≥ 0, and γ2 ≥ 0 are some fixed constants, and h is the fixed maximum lag set initially.

Download PDF sample

Rated 4.98 of 5 – based on 43 votes