Introduction to Time Series Modeling

Introduction to Time Series Modeling

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Description

In time series modeling, the behavior of a certain phenomenon is expressed in relation to the past values of itself and other covariates. Since many important phenomena in statistical analysis are actually time series and the identification of conditional distribution of the phenomenon is an essential part of the statistical modeling, it is very important and useful to learn fundamental methods of time series modeling. Illustrating how to build models for time series using basic methods, Introduction to Time Series Modeling covers numerous time series models and the various tools for handling them. The book employs the state-space model as a generic tool for time series modeling and presents convenient recursive filtering and smoothing methods, including the Kalman filter, the non-Gaussian filter, and the sequential Monte Carlo filter, for the state-space models. Taking a unified approach to model evaluation based on the entropy maximization principle advocated by Dr. Akaike, the author derives various methods of parameter estimation, such as the least squares method, the maximum likelihood method, recursive estimation for state-space models, and model selection by the Akaike information criterion (AIC). Along with simulation methods, he also covers standard stationary time series models, such as AR and ARMA models, as well as nonstationary time series models, including the locally stationary AR model, the trend model, the seasonal adjustment model, and the time-varying coefficient AR model. With a focus on the description, modeling, prediction, and signal extraction of times series, this book provides basic tools for analyzing time series that arise in real-world problems. It encourages readers to build models for their own real-life problems.show more

Product details

  • Electronic book text | 296 pages
  • Taylor & Francis Ltd
  • Chapman & Hall/CRC
  • London, United Kingdom
  • English
  • NEW C/R PAGE must have - translated by ,etc; 20 Tables, black and white; 80 Illustrations, black and white
  • 1584889225
  • 9781584889229

Table of contents

Introduction and Preparatory AnalysisTime Series Data Classification of Time Series Objectives of Time Series Analysis Preprocessing of Time SeriesOrganization of This Book The Covariance Function The Distribution of Time Series and Stationarity The Autocovariance Function of Stationary Time Series Estimation of the Autocovariance FunctionMultivariate Time Series and Scatterplots Cross-Covariance Function and Cross-Correlation Function The Power Spectrum and the Periodogram The Power Spectrum The Periodogram Averaging and Smoothing of the Periodogram Computational Method of Periodogram Computation of the Periodogram by Fast Fourier Transform Statistical ModelingProbability Distributions and Statistical ModelsK-L Information and the Entropy Maximization PrincipleEstimation of the K-L Information and Log-Likelihood Estimation of Parameters by the Maximum Likelihood MethodAkaike Information Criterion (AIC)Transformation of Data The Least Squares MethodRegression Models and the Least Squares Method Householder Transformation Method Selection of Order by AIC Addition of Data and Successive Householder ReductionVariable Selection by AIC Analysis of Time Series Using ARMA Models ARMA Model The Impulse Response Function The Autocovariance Function The Relation between AR Coefficients and the PARCORThe Power Spectrum of the ARMA Process The Characteristic Equation The Multivariate AR Model Estimation of an AR Model Fitting an AR Model Yule-Walker Method and Levinson's Algorithm Estimation of an AR Model by the Least Squares Method Estimation of an AR Model by the PARCOR Method Large Sample Distribution of the Estimates Yule-Walker Method for MAR ModelLeast Squares Method for MAR Model The Locally Stationary AR ModelLocally Stationary AR Model Automatic Partitioning of the Time Interval Precise Estimation of a Change Point Analysis of Time Series with a State-Space Model The State-Space Model State Estimation via the Kalman FilterSmoothing Algorithms Increasing Horizon Prediction of the State Prediction of Time Series Likelihood Computation and Parameter Estimation for a Time Series Model Interpolation of Missing Observations Estimation of the ARMA Model State-Space Representation of the ARMA Model Initial State of an ARMA Model Maximum Likelihood Estimate of an ARMA Model Initial Estimates of Parameters Estimation of Trends The Polynomial Trend Model Trend Component Model-Model for Probabilistic Structural Changes Trend Model The Seasonal Adjustment ModelSeasonal Component ModelStandard Seasonal Adjustment ModelDecomposition Including an AR Component Decomposition Including a Trading-Day Effect Time-Varying Coefficient AR ModelTime-Varying Variance Model Time-Varying Coefficient AR Model Estimation of the Time-Varying Spectrum The Assumption on System Noise for the Time-Varying Coefficient AR Model Abrupt Changes of Coefficients Non-Gaussian State-Space ModelNecessity of Non-Gaussian ModelsNon-Gaussian State-Space Models and State EstimationNumerical Computation of the State Estimation FormulaNon-Gaussian Trend ModelA Time-Varying Variance ModelApplications of Non-Gaussian State-Space Model The Sequential Monte Carlo FilterThe Nonlinear Non-Gaussian State-Space Model and Approximations of Distributions Monte Carlo FilterMonte Carlo Smoothing MethodNonlinear Smoothing SimulationGeneration of Uniform Random Numbers Generation of Gaussian White Noise Simulation Using a State-Space Model Simulation with Non-Gaussian Model Appendix A: Algorithms for Nonlinear OptimizationAppendix B: Derivation of Levinson's AlgorithmAppendix C: Derivation of the Kalman Filter and Smoother AlgorithmsAppendix D: Algorithm for the Monte Carlo Filter Bibliographyshow more

About Genshiro Kitagawa

Genshiro Kitagawa is the Director-General of the Institute of Statistical Mathematics in Tokyo, Japan.show more

Review quote

My first reaction before opening this book was if there is a market for yet another book on the subject. However, my skepticism disappeared fast once I started reading the book. ... The content of the book is well chosen ... I would strongly recommend this book for readers who want to have a first glance to the notion of time series analysis and modelling. It is also a valuable book for teaching a first course on time series modelling both for graduate and/or undergraduate students.-Journal of Time Series Analysis, Volume 32, May 2011 This book provides an introduction to time series analysis with emphasis on the state space approach. It reflects the extensive experience and significant contributions of the author to non-linear and non-Gaussian modeling. ... The material from Chapter 8 on is worth reading by anybody wishing to extend their range of time series tools. ... This is a valuable book, especially with its broad and accessible introduction of models in the state space framework.-Statistics in Medicine, 2011, 30 ... What distinguishes this book from comparable introductory texts is the use of state space modeling. Along with this come a number of valuable tools for recursive filtering and smoothing including the Kalman filter, as well as non-Gaussian and sequential Monte Carlo filters. ... a useful reference for the application of state space modeling to time series.-MAA Reviews, October 2010show more