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2 edition of Bootstrap methods and parameter estimation in time series threshold modelling. found in the catalog.

Bootstrap methods and parameter estimation in time series threshold modelling.

Mohammed M. Mekaiel

Bootstrap methods and parameter estimation in time series threshold modelling.

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  • 24 Currently reading

Published by University of Salford in Salford .
Written in English


Edition Notes

PhD thesis, Mathematics and Computer Science.

ID Numbers
Open LibraryOL21516152M

Time series autoregressive-based decomposition: arf3DS4: Activated Region Fitting, fMRI data analysis (3D) arfima: Fractional ARIMA (and Other Long Memory) Time Series Modeling: ArfimaMLM: Arfima-MLM Estimation For Repeated Cross-Sectional Data: argosfilter: Argos locations filter: argparse: Command line optional and positional argument parser. Bollerslev, Tim, "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages , ng, Tilmann & Ranjan, Roopesh, "Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules," Journal of Business & Economic Statistics, American . General GLM estimation engine may be used to estimate several of these models, with the option to include robust covariances. Panel Data/Pooled Time Series, Cross-Sectional Data. Linear and nonlinear estimation with additive cross-section and period fixed or random effects. A Combinatorial Approach to Piecewise Linear Time Series Estimation. Journal of Computational and Graphical Statistics, 11, (PDF version) Over recent years, several nonlinear time series models have been proposed in the literature. One model that has found a large number of successful applications is the threshold autoregressive model.

tion, optimization, risk evaluation, maximum likelihood and moment methods for parameter estima-tion, kernel based estimation methods, nonlinear filters for filtering and prediction, bootstrap methods FMSN30/MASM Linear and Logistic Regression, ECTS .


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Bootstrap methods and parameter estimation in time series threshold modelling. by Mohammed M. Mekaiel Download PDF EPUB FB2

Frequentist time series analyses especially use nonparametric methods [Fan and Yao,Wasserman, ] including a variety of bootstrap methods, computer-intensive resampling techniques.

Frequentist time series analyses especially use nonparametric methods [Fan andYao,Wasserman, ] including a variety of bootstrap methods, computer-intensive resampling techniques. Numerical Issues in Threshold Autoregressive Modeling of Time Series Article in Journal of Economic Dynamics and Control 27() February with 31 Reads How we measure 'reads'.

The Bootstrap in Threshold Regression. A threshold mixed count time series model: Estimation and application. Article. and apply to a broad class of bootstrap methods with exchangeable. A much-needed introduction to the field of discrete-valued time series, with a focus on count-data time series.

Time series analysis is an essential tool in a wide array of fields, including. This book provides a general framework for specifying, estimating and testing time series econometric models.

Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalised method of moments estimation, nonparametric estimation and estimation by by: Econometric Modelling With Time Series Themes In Modern Econometrics.

Welcome,you are looking at books for reading, the Econometric Modelling With Time Series Themes In Modern Econometrics, you will able to read or download in Pdf or ePub books and notice some of author may have lock the live Bootstrap methods and parameter estimation in time series threshold modelling.

book for some of ore it need a FREE signup process to obtain the book. His science focuses on climate extremes, time series analysis and mathematical simulation methods.

He has authored over 50 peer-reviewed articles. In his Nature paper, Mudelsee introduced the bootstrap method to flood risk analysis. Inhe founded the company Climate Risk Analysis.

Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and Bootstrap methods and parameter estimation in time series threshold modelling.

book communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully nonparametric models and methods. The best example of the plug-in principle, the bootstrapping method.

Bootstrapping is a statistical method for estimating the sampling distribution of an estimator by sampling with replacement from the original sample, most often with the purpose of deriving robust estimates of standard errors and confidence intervals of a population parameter like a mean, median, proportion, odds ratio.

"Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models," Computational Statistics & Data Analysis, Elsevier, vol.

Bootstrap methods and parameter estimation in time series threshold modelling. book 51(2), pagesNovember. JAMES G. MacKINNON, "Bootstrap Methods in Econometrics," The Economic Record, The Economic Society of Australia, vol.

82(s1), pagesSeptember. We apply the local linear regression technique for estimation of functional-coefficient regression models for time series data. The models include threshold autoregressive models (Tong ) and functional-coefficient autoregressive models (Chen and Tsay ) as special cases but with the added advantages such as depicting finer structure of the underlying dynamics and better post-sample.

A time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average.

This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse Bootstrap methods and parameter estimation in time series threshold modelling.

book data observed at high frequencies and to the long memory characteristics found in financial time by: Nowadays, there exists a variety of bootstrap techniques for time series (Bühlman,Politis,Härdle et al., ) among which the model-based method called sieve bootstrap is especially popular, in view of its minimal computational requirements and fast convergence rates (Bühlman, ).Cited by: Robust statistics are statistics with good performance for data drawn from a wide range of probability distributions, especially for distributions that are not statistical methods have been developed for many common problems, such as estimating location, scale, and regression motivation is to produce statistical methods that are not unduly affected by outliers.

The publication Time Series Analysis: Forecasting and Control by Box and Jenkins () 3 integrated the existing knowledge. Moreover, these authors developed a coherent, versatile three-stage iterative cycle for time series identification, estimation, and verification Cited by: Boryana Bogdanova and Ivan Ivanov, A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe, Journal of Applied Statistics, /, 43, 4, (), ().Cited by: Miscellaneous: ltsa contains methods for linear time series analysis, timsac for time series analysis and control.

Frequency analysis Spectral density estimation is provided by spectrum() in the stats package, including the periodogram, smoothed periodogram and AR estimates. This is the “peaks over threshold (POT)” approach. A large number of D/E procedures (Distribution D, with method of parameter estimation E) for analyzing annual maximum series (AMS), and POT series, have been proposed.

However, their insufficient physical justification has often led to some confusion among by: 1. Nonparametric density estimation is usually done by a Gaussian kernel estimator, the asymptotic properties of which are well established for independent identically distributed (i.i.d.) data and for time series data; see for example Silverman (), Pagan and Ullah (), Fan and Yao () and Li and Racine () for textbook details Cited by: Rob J Hyndman, Yeasmin Khandakar () Automatic time series forecasting: the forecast package for R.

Journal of Statistical Software 27(3). Abstract pdf Rob J Hyndman, Md. Akram, Blyth Archibald () The admissible parameter space for exponential smoothing models. Techniques used to analyze exceedances over a high threshold are in great demand for research in economics, environmental science, and other fields.

The generalized Pareto distribution (GPD) has been widely used to fit observations exceeding the tail threshold in the peaks over threshold (POT) framework.

Parameter estimation and threshold selection are two critical issues for threshold-based Cited by: 2. Various statistical methods have been developed to test if price transmissions in a given market are asymmetric.1 All approaches based on historical times series are faced with the problem that price series usually follow non-stationary processes.

We distinguish in the literature between short-run asymmetry referring to asymmetries in the reaction to transitory price movements and long-run Author: Karl-Heinz Schild, Karsten Schweikert. Time Series Analysis: Methods and Applications, () The Assessment of Performance of Correlation Estimates in Discrete Bivariate Distributions Using Bootstrap Methodology.

Communications in Statistics - Theory and MethodsCited by: on the resampling technique for parametric estimation known as the Jackknife procedure. To outline the usefulness of the method and its place in the general class of statistical resampling techniques, I will quickly delineate two similar resampling methods: the bootstrap and the permutation test.

Other Sampling Methods: The BootstrapFile Size: KB. Mathematical Statistics students` perception of versus performance in statistical threshold concepts within their curriculum Methods of parameter estimation for a partially linear accelerated f ailure time (AFT) models Model selection Modelling the accelerated dependent.

Causal network reconstruction from time series is an emerging topic in many fields of science. Beyond inferring directionality between two time series, the goal of causal network reconstruction or causal discovery is to distinguish direct from indirect dependencies and common drivers among multiple time by: Welcome to STAT.

The objective of this course is to learn and apply statistical methods for the analysis of data that have been observed over time. Our challenge in this course is to account for the correlation between measurements that are close in time.

Downloadable (with restrictions). This paper considers four methods for obtaining bootstrap prediction intervals (BPIs) for the self-exciting threshold autoregressive (SETAR) model. Method 1 ignores the sampling variability of the threshold parameter estimator. Method 2 corrects the finite sample biases of the autoregressive coefficient estimators before constructing BPIs.

Advances in Econometrics is essential reading for academics, researchers and practitioners who are involved in applied economic, business or social science research, and eager to keep up with the latest methodological tools.

The series: Disseminates new ideas in a style that is more extensive and self-contained than journal articles, with many papers including supplementary computer code and.

Methodological objectives. In this paper, we show how computer-intensive methods, such as bootstrapping (Efron, ; Efron and Tibshirani, ) and Monte Carlo simulations, can be used to assess the significance of penalized regression coefficients in neuroimaging illustrate our proposed method, we use real neuroimaging data to predict individual differences on a self Cited by: 6.

Computes the Bai and Ng (, JBES) time-series normality test. (Note this is now part of the Normtest Add-in). TVAR: /10/ Estimates a Threshold VAR. Note R and the tsDyn package are required for this add-in.

Forum: tvpuni* /01/ Time Varying Parameter estimation for OLS models using Flexible Least Squares. TVSVAR* /03/ 1. Introduction. Model calibration is the process of adjusting model parameter values to get the best estimate of the observations (see e.g.

Vaze et al. () and references therein). Virtually all hydrological models must be calibrated to produce reliable simulations because there has been little evidence of strong links between physical characteristics of catchments and the parameters of Cited by: 2. Hydrological modelling.

The bias adjusted time series were used as input to the HBV hydrological model (Sælthun, ), previously calibrated using observed precipitation and temperature series for each of the catchments.

The observed time series used in the calibration are the same as those used for the bias correction of climate Author: Deborah Lawrence. Two theoretically justified models of extremes are applied to dry spell (DS) series: the generalized Pareto distribution is applied to peak-over-threshold data (POT-GP), and the generalized extreme value distribution is applied to the annual maxima (AM-GEV).

DS data are categorized according to three precipitation-per-day limits (1, 5 and 10 mm).Cited by: 2. Recent advances in fMRI research highlight the use of multivariate methods for examining whole-brain connectivity.

Complementary data-driven methods are needed for determining the subset of predictors related to individual differences. Although commonly used for this purpose, ordinary least squares (OLS) regression may not be ideal due to multi-collinearity and over-fitting by: 6.

Gustavsson, Magnus & Osterholm, Par, "The informational value of unemployment statistics: A note on the time series properties of participation rates," Economics Letters, Elsevier, vol. 92(3), pagesnios, George & Shin, Yongcheol & Snell, Andy, "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol.

(2), pages. The parameter δ rather increases modeling flexibility for the central part of the distribution. This parameter could be interpreted as a “threshold tuning parameter” that has to be estimated from the data at hand. Regarding the behavior of f(x; ξ, σ, δ) near zero, we can immediately notice from (9) Cited by: The book begins by outlining the basic tools of modelling and simulation, including a discussion of the Monte Carlo method and its use.

Part II deals with general insurance and Part III Cited by: 9. The pdf method uses the individual level time series estimates of the parameters to form threshold variables.

The problem of parameter heterogeneity is turned into estimation of a panel threshold model with an unknown threshold value.

The second method modifies the K-means algorithm to perform conditional by: Downloadable! Most work in the area of nonlinear econometric modelling is based on download pdf single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen () and Psaradakis, Sola, and Spagnolo () has considered the possibility of estimating nonlinear models by methods that take into account endogeneity but provided no tests for exogeneity.Exponential smoothing is ebook time series forecasting method for univariate data that can be extended to support data with a ebook trend or seasonal component.

It is a powerful forecasting method that may be used as an alternative to the popular Box-Jenkins ARIMA family of methods. In this tutorial, you will discover the exponential smoothing method for univariate time series forecasting.