Random Coefficient Autoregressive Models An Introduction

This book PDF is perfect for those who love Mathematics genre, written by D.F. Nicholls and published by Springer Science & Business Media which was released on 06 December 2012 with total hardcover pages 160. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related Random Coefficient Autoregressive Models An Introduction books below.

Random Coefficient Autoregressive Models  An Introduction
Author : D.F. Nicholls
File Size : 40,6 Mb
Publisher : Springer Science & Business Media
Language : English
Release Date : 06 December 2012
ISBN : 9781468462739
Pages : 160 pages
Get Book

Random Coefficient Autoregressive Models An Introduction by D.F. Nicholls Book PDF Summary

In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interest. We are grateful to many colleagues in both Departments of Statistics at the Australian National University and in the Department of Mathematics at the University of Wo110ngong. Their constructive criticism has aided in the presentation of this monograph. We would also like to thank Dr M. A. Ward of the Department of Mathematics, Australian National University whose program produced, after minor modifications, the "three dimensional" graphs of the log-likelihood functions which appear on pages 83-86. Finally we would like to thank J. Radley, H. Patrikka and D. Hewson for their contributions towards the typing of a difficult manuscript. IV CONTENTS CHAPTER 1 INTRODUCTION 1. 1 Introduction 1 Appendix 1. 1 11 Appendix 1. 2 14 CHAPTER 2 STATIONARITY AND STABILITY 15 2. 1 Introduction 15 2. 2 Singly-Infinite Stationarity 16 2. 3 Doubly-Infinite Stationarity 19 2. 4 The Case of a Unit Eigenvalue 31 2. 5 Stability of RCA Models 33 2. 6 Strict Stationarity 37 Appendix 2. 1 38 CHAPTER 3 LEAST SQUARES ESTIMATION OF SCALAR MODELS 40 3.

Random Coefficient Autoregressive Models  An Introduction

In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to

Get Book
Random Coefficient Autoregressive Models

Download or read online Random Coefficient Autoregressive Models written by D. F. Nicholls,B. G. Quinn, published by Unknown which was released on 1982-09-13. Get Random Coefficient Autoregressive Models Books now! Available in PDF, ePub and Kindle.

Get Book
Functional Relations  Random Coefficients  and Nonlinear Regression with Application to Kinetic Data

These notes on regression give an introduction to some of the techniques that I have found useful when working with various data sets in collaboration with Dr. S. Keiding (Copenhagen) and Dr. J.W.L. Robinson (Lausanne). The notes are based on some lectures given at the Institute of Mathematical

Get Book
Introduction to Multiple Time Series Analysis

This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Least squares, maximum

Get Book
Non Gaussian Autoregressive Type Time Series

This book brings together a variety of non-Gaussian autoregressive-type models to analyze time-series data. This book collects and collates most of the available models in the field and provide their probabilistic and inferential properties. This book classifies the stationary time-series models into different groups such as linear stationary models with

Get Book
Majorization and the Lorenz Order  A Brief Introduction

My interest in majorization was first spurred by Ingram aIkin's proclivity for finding Schur convex functions lurking in the problem section of every issue of the American Mathematical Monthly. Later my interest in income inequality led me again to try and "really" understand Hardy, Littlewood and Polya' s contributions to

Get Book
Lectures on Random Voronoi Tessellations

Tessellations are subdivisions of d-dimensional space into non-overlapping "cells". Voronoi tessellations are produced by first considering a set of points (known as nuclei) in d-space, and then defining cells as the set of points which are closest to each nuclei. A random Voronoi tessellation is produced by supposing that the

Get Book
Stochastic Visibility in Random Fields

The present monograph is a comprehensive summary of the research on visibility in random fields, which I have conducted with the late Professor Micha Yadin for over ten years. This research, which resulted in several published papers and technical reports (see bibliography), was motivated by some military problems, which were

Get Book