scholarly journals Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data

2020 ◽  
Vol 39 (9) ◽  
pp. 875-903
Author(s):  
Mikkel Bennedsen
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Semiparametric Estimation ◽  
Series Data ◽  
Fractal Index ◽  
Gaussian Time ◽  
Gaussian Time Series

An innovation approach to non-Gaussian time series analysis

2001 ◽  
Vol 38 (A) ◽  
pp. 78-92 ◽  
Author(s):  
Tohru Ozaki ◽  
Mitsunori Iino
Keyword(s):  
Time Series ◽  
White Noise ◽  
Gaussian White Noise ◽  
Poisson Noise ◽  
Series Data ◽  
Compound Poisson ◽  
Non Gaussian ◽  
Gaussian Time ◽  
Gaussian Time Series ◽  
Mixture Of Gaussian

The paper shows that the use of both types of random noise, white noise and Poisson noise, can be justified when using an innovations approach. The historical background for this is sketched, and then several methods of whitening dependent time series are outlined, including a mixture of Gaussian white noise and a compound Poisson process: this appears as a natural extension of the Gaussian white noise model for the prediction errors of a non-Gaussian time series. A statistical method for the identification of non-linear time series models with noise made up of a mixture of Gaussian white noise and a compound Poisson noise is presented. The method is applied to financial time series data (dollar-yen exchange rate data), and illustrated via six models.

An innovation approach to non-Gaussian time series analysis

2001 ◽  
Vol 38 (A) ◽  
pp. 78-92 ◽  
Author(s):  
Tohru Ozaki ◽  
Mitsunori Iino
Keyword(s):  
Time Series ◽  
White Noise ◽  
Gaussian White Noise ◽  
Poisson Noise ◽  
Series Data ◽  
Compound Poisson ◽  
Non Gaussian ◽  
Gaussian Time ◽  
Gaussian Time Series ◽  
Mixture Of Gaussian

The paper shows that the use of both types of random noise, white noise and Poisson noise, can be justified when using an innovations approach. The historical background for this is sketched, and then several methods of whitening dependent time series are outlined, including a mixture of Gaussian white noise and a compound Poisson process: this appears as a natural extension of the Gaussian white noise model for the prediction errors of a non-Gaussian time series. A statistical method for the identification of non-linear time series models with noise made up of a mixture of Gaussian white noise and a compound Poisson noise is presented. The method is applied to financial time series data (dollar-yen exchange rate data), and illustrated via six models.

Graphical Exploratory Data Analysis for Categorical Longitudinal and Time Series Data

2013 ◽  
Author(s):  
Stephen J. Tueller ◽  
Richard A. Van Dorn ◽  
Georgiy Bobashev ◽  
Barry Eggleston
Keyword(s):  
Time Series ◽  
Data Analysis ◽  
Exploratory Data Analysis ◽  
Time Series Data ◽  
Series Data ◽  
Exploratory Data

Faktor-Faktor Yang Mempengaruhi Nilai Tukar Dollar Amerika Serikat Terhadap Rupiah Tahun 2000–2013

2017 ◽  
Vol 1 (2) ◽  
pp. 177-191
Author(s):  
Rizki Rahma Kusumadewi ◽  
Wahyu Widayat
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Money Supply ◽  
Time Series Data ◽  
The United States ◽  
Economic Conditions ◽  
Series Data ◽  
Arch Model ◽  
United States Dollar ◽  
The Exchange Rate

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

An Anomaly Detection Method with Exemplar Subsequence for Time Series Data

2016 ◽  
Vol 136 (3) ◽  
pp. 363-372
Author(s):  
Takaaki Nakamura ◽  
Makoto Imamura ◽  
Masashi Tatedoko ◽  
Norio Hirai
Keyword(s):  
Time Series ◽  
Anomaly Detection ◽  
Time Series Data ◽  
Detection Method ◽  
Series Data

The Comparison of Land Subsidence between East and West Side of Bangkok, Thailand

2020 ◽  
Vol 17 (3) ◽  
pp. 1
Author(s):  
Angkana Pumpuang ◽  
Anuphao Aobpaet
Keyword(s):  
Time Series ◽  
Land Subsidence ◽  
Time Series Data ◽  
Series Data ◽  
Industrial Estates ◽  
Vertical Displacements ◽  
Land Deformation ◽  
Extensive Farming ◽  
Chao Phraya River ◽  
Set Up

The land deformation in line of sight (LOS) direction can be measured using time series InSAR. InSAR can successfully measure land subsidence based on LOS in many big cities, including the eastern and western regions of Bangkok which is separated by Chao Phraya River. There are differences in prosperity between both sides due to human activities, land use, and land cover. This study focuses on the land subsidence difference between the western and eastern regions of Bangkok and the most possible cause affecting the land subsidence rates. The Radarsat-2 single look complex (SLC) was used to set up the time series data for long term monitoring. To generate interferograms, StaMPS for Time Series InSAR processing was applied by using the PSI algorithm in DORIS software. It was found that the subsidence was more to the eastern regions of Bangkok where the vertical displacements were +0.461 millimetres and -0.919 millimetres on the western and the eastern side respectively. The districts of Nong Chok, Lat Krabang, and Khlong Samwa have the most extensive farming area in eastern Bangkok. Besides, there were also three major industrial estates located in eastern Bangkok like Lat Krabang, Anya Thani and Bang Chan Industrial Estate. By the assumption of water demand, there were forty-eight wells and three wells found in the eastern and western part respectively. The number of groundwater wells shows that eastern Bangkok has the demand for water over the west, and the pumping of groundwater is a significant factor that causes land subsidence in the area.Keywords: Subsidence, InSAR, Radarsat-2, Bangkok

Producers' Response to Changes in Prices and Marketing Policies: A Case Study of Sugarcane and Paddy in Eastern U.P. by S. C. Gupta and A. Majid. New York: Asia Publishing House, 1965.

1968 ◽  
Vol 8 (2) ◽  
pp. 308-309
Author(s):  
Mohammad Irshad Khan
Keyword(s):  
New York ◽  
Time Series ◽  
Time Series Data ◽  
Publishing House ◽  
Economic Incentives ◽  
The Other ◽  
Series Data ◽  
Poor Countries ◽  
Northern India

It is alleged that the agricultural output in poor countries responds very little to movements in prices and costs because of subsistence-oriented produc¬tion and self-produced inputs. The work of Gupta and Majid is concerned with the empirical verification of the responsiveness of farmers to prices and marketing policies in a backward region. The authors' analysis of the respon¬siveness of farmers to economic incentives is based on two sets of data (concern¬ing sugarcane, cash crop, and paddy, subsistence crop) collected from the district of Deoria in Eastern U.P. (Utter Pradesh) a chronically foodgrain deficit region in northern India. In one set, they have aggregate time-series data at district level and, in the other, they have obtained data from a survey of five villages selected from 170 villages around Padrauna town in Deoria.

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