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10, ISBN: 9781599420554
ID: 101159781599420554
The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the proposal of an useful tool which is to apply canonical analysis to a realisation of a Multivariate Time Series and concentrates it's attention on k-variate ARMA(p,q) models. The mult The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the proposal of an useful tool which is to apply canonical analysis to a realisation of a Multivariate Time Series and concentrates it's attention on k-variate ARMA(p,q) models. The multivariate series is partitioned into two overlapping or non-overlapping sets of different sizes. The left set is kept at lag 0 (without loss of generality) and the right set at a sequence of lags s=0,1. . The model includes the possibility that the same subset of variables belong to the left set at lag 0 and to the right set at lag s. A technique for dimension reduction is suggested. We tried to elucidate identification and the internal structure of time-dependence at several pairs of lags as a tool for identification. As the technique suggested provide a method of investigation of patterns of interrelations between two multivariate sets or subsets of variables with a joint distribution, it is an efficient tool for use in multivariate series of economic data. A review of the basic models of Multivariate Time Series is given and their canonical auto and cross correlation analysis is presented. In order to study the asymptotic distribution, several Monte Carlo experiments were necessary. We attempted to provide information through simulation about the distributional and other statistical properties for the canonical statistics obtained by our procedures. New software is provided and data experience is given. The first computer program provides us with information, graphs for the canonical auto and cross correlations, test statistics for the 'useful' canonical auto and cross correlations as well as the left and right eigenvectors, left and right intraset and interset matrices Mathematics, Science & Nature, Canonical Auto and Cross Correlations of Multivariate Time Series~~ Bulach, Marcia Woolf~~Mathematics~~Science & Nature~~9781599420554, en, Canonical Auto and Cross Correlations of Multivariate Time Series, Bulach, Marcia Woolf, 9781599420554, Dissertation.Com, 10/01/2005, , , , Dissertation.Com, 10/01/2005
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10, ISBN: 9781599420554
ID: 101159781599420554
The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the proposal of an useful tool which is to apply canonical analysis to a realisation of a Multivariate Time Series and concentrates it's attention on k-variate ARMA(p,q) models. The mult The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the proposal of an useful tool which is to apply canonical analysis to a realisation of a Multivariate Time Series and concentrates it's attention on k-variate ARMA(p,q) models. The multivariate series is partitioned into two overlapping or non-overlapping sets of different sizes. The left set is kept at lag 0 (without loss of generality) and the right set at a sequence of lags s=0,1,... . The model includes the possibility that the same subset of variables belong to the left set at lag 0 and to the right set at lag s. A technique for dimension reduction is suggested. We tried to elucidate identification and the internal structure of time-dependence at several pairs of lags as a tool for identification. As the technique suggested provide a method of investigation of patterns of interrelations between two multivariate sets or subsets of variables with a joint distribution, it is an efficient tool for use in multivariate series of economic data. A review of the basic models of Multivariate Time Series is given and their canonical auto and cross correlation analysis is presented. In order to study the asymptotic distribution, several Monte Carlo experiments were necessary. We attempted to provide information through simulation about the distributional and other statistical properties for the canonical statistics obtained by our procedures. New software is provided and data experience is given. The first computer program provides us with information, graphs for the canonical auto and cross correlations, test statistics for the 'useful' canonical auto and cross correlations as well as the left and right eigenvectors, left and right intraset and interset matrices Science & Nature, Mathematics, Canonical Auto and Cross Correlations of Multivariate Time Series~~Bulach, Marcia Woolf~~Science & Nature~~Mathematics~~9781599420554, en, Canonical Auto and Cross Correlations of Multivariate Time Series, Bulach, Marcia Woolf, 9781599420554, Dissertation.Com, 10/1/2005, , , , Dissertation.Com, 10/1/2005
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10
ISBN: 9781599420554
ID: 4019781599420554
The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the proposal of an useful tool which is to apply canonical analysis to a realisation of a Multivariate Time Series and concentrates it's attention on k-variate ARMA(p,q) models. The mult The study of Multivariate Time Series has always been more difficult at the modeling stage than the univariate case. Identification of a suitable model, questions of stability, and the difficulties of prediction are well recognised. A variety of methods appear to be worth examining. This thesis is concerned with the proposal of an useful tool which is to apply canonical analysis to a realisation of a Multivariate Time Series and concentrates it's attention on k-variate ARMA(p,q) models. The multivariate series is partitioned into two overlapping or non-overlapping sets of different sizes. The left set is kept at lag 0 (without loss of generality) and the right set at a sequence of lags s=0,1,... . The model includes the possibility that the same subset of variables belong to the left set at lag 0 and to the right set at lag s. A technique for dimension reduction is suggested. We tried to elucidate identification and the internal structure of time-dependence at several pairs of lags as a tool for identification. As the technique suggested provide a method of investigation of patterns of interrelations between two multivariate sets or subsets of variables with a joint distribution, it is an efficient tool for use in multivariate series of economic data. A review of the basic models of Multivariate Time Series is given and their canonical auto and cross correlation analysis is presented. In order to study the asymptotic distribution, several Monte Carlo experiments were necessary. We attempted to provide information through simulation about the distributional and other statistical properties for the canonical statistics obtained by our procedures. New software is provided and data experience is given. The first computer program provides us with information, graphs for the canonical auto and cross correlations, test statistics for the 'useful' canonical auto and cross correlations as well as the left and right eigenvectors, left and right intraset and interset matrices Book, , Canonical Auto and Cross Correlations of Multivariate Time Series~~Marcia Woolf Bulach~~~~, , Canonical Auto and Cross Correlations of Multivariate Time Series, Marcia Woolf Bulach, 9781599420554, Dissertation.Com, 10/1/2005, , , , Dissertation.Com, 10/1/2005
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Titel: | Canonical Auto and Cross Correlations of Multivariate Time Series |
ISBN-Nummer: | 9781599420554 |
Detailangaben zum Buch - Canonical Auto and Cross Correlations of Multivariate Time Series
EAN (ISBN-13): 9781599420554
Erscheinungsjahr: 10
Herausgeber: Dissertation.Com
Buch in der Datenbank seit 19.11.2009 08:31:05
Buch zuletzt gefunden am 18.06.2016 08:05:21
ISBN/EAN: 9781599420554
ISBN - alternative Schreibweisen:
978-1-59942-055-4
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