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Tidy Finance with R (Chapman & Hall/CRC The R Series)
by Christoph Scheuch Stefan Voigt Patrick WeissThis textbook shows how to bring theoretical concepts from finance and econometrics to the data. Focusing on coding and data analysis with R, we show how to conduct research in empirical finance from scratch. We start by introducing the concepts of tidy data and coding principles using the tidyverse family of R packages. We then provide the code to prepare common open source and proprietary financial data sources (CRSP, Compustat, Mergent FISD, TRACE) and organize them in a database. We reuse these data in all the subsequent chapters, which we keep as self-contained as possible. The empirical applications range from key concepts of empirical asset pricing (beta estimation, portfolio sorts, performance analysis, Fama-French factors) to modeling and machine learning applications (fixed effects estimation, clustering standard errors, difference-in-difference estimators, ridge regression, Lasso, Elastic net, random forests, neural networks) and portfolio optimization techniques. Highlights 1. Self-contained chapters on the most important applications and methodologies in finance, which can easily be used for the reader’s research or as a reference for courses on empirical finance. 2. Each chapter is reproducible in the sense that the reader can replicate every single figure, table, or number by simply copy-pasting the code we provide. 3. A full-fledged introduction to machine learning with tidymodels based on tidy principles to show how factor selection and option pricing can benefit from Machine Learning methods. 4. Chapter 2 on accessing and managing financial data shows how to retrieve and prepare the most important datasets in the field of financial economics: CRSP and Compustat. The chapter also contains detailed explanations of the most relevant data characteristics. 5. Each chapter provides exercises that are based on established lectures and exercise classes and which are designed to help students to dig deeper. The exercises can be used for self-studying or as a source of inspiration for teaching exercises.
Tidy Modeling with R: A Framework for Modeling in the Tidyverse
by Max Kuhn Julia SilgeGet going with tidymodels, a collection of R packages for modeling and machine learning. Whether you're just starting out or have years of experience with modeling, this practical introduction shows data analysts, business analysts, and data scientists how the tidymodels framework offers a consistent, flexible approach for your work.RStudio engineers Max Kuhn and Julia Silge demonstrate ways to create models by focusing on an R dialect called the tidyverse. Software that adopts tidyverse principles shares both a high-level design philosophy and low-level grammar and data structures, so learning one piece of the ecosystem makes it easier to learn the next. You'll understand why the tidymodels framework has been built to be used by a broad range of people.With this book, you will:Learn the steps necessary to build a model from beginning to endUnderstand how to use different modeling and feature engineering approaches fluentlyExamine the options for avoiding common pitfalls of modeling, such as overfittingLearn practical methods to prepare your data for modelingTune models for optimal performanceUse good statistical practices to compare, evaluate, and choose among models
TILDA: Paving the Way for Future Accurate CFD - Results of the H2020 Research Project TILDA, Funded by the European Union, 2015 -2018 (Notes on Numerical Fluid Mechanics and Multidisciplinary Design #148)
by Charles Hirsch Koen Hillewaert Ralf Hartmann Vincent Couaillier Jean-Francois Boussuge Frederic Chalot Sergey Bosniakov Werner HaaseThis book offers detailed insights into new methods for high-fidelity CFD, and their industrially relevant applications in aeronautics. It reports on the H2020 TILDA project, funded by the European Union in 2015-2018. The respective chapters demonstrate the potential of high-order methods for enabling more accurate predictions of non-linear, unsteady flows, ensuring enhanced reliability in CFD predictions. The book highlights industrially relevant findings and representative test cases on the development of high-order methods for unsteady turbulence simulations on unstructured grids; on the development of the LES/DNS methodology by means of multilevel, adaptive, fractal and similar approaches for applications on unstructured grids; and on leveraging existent large-scale HPC networks to facilitate the industrial applications of LES/DNS in daily practice. Furthermore, the book discusses multidisciplinary applications of high-order methods in the area of aero-acoustics. All in all, it offers timely insights into the application and performance of high-order methods for CFD, and an extensive reference guide for researchers, graduate students, and industrial engineers whose work involves CFD and turbulence modeling.
Time (Math Counts: Updated Editions #6)
by Henry PluckroseAn introduction to capacity for the youngest readers!Math Counts series introduces young readers (grades K-3) to early math concepts. Real-world examples and corresponding photos make math concepts easy to grasp.Time is a measure of the hours, days, months, and years we live through.
Time and Fractals: Perspectives in Economics, Entrepreneurship, and Management (Contributions to Management Science)
by Nezameddin FaghihThis edited volume discusses time and fractal phenomena in economics, entrepreneurship, and management. Chapters embrace a wide spectrum of topics, such as time series analysis of entrepreneurial orientation, theoretical research on the effectiveness of time management in dynamics of employee-organization relationship, the degradation of goals over time and how ambiguity and managerial cognition shape distributions of project time and cost, and fractal characteristics in energy markets and organizations. Revealing emerging aspects of time and fractals across disciplines, this volume demonstrates their significance in advancing economics, entrepreneurship, and management research. As such, this text will be useful for academics, researchers, management professionals and policy makers.
Time and Money: How Long and How Much Money is Needed to Regulate a Viable Economy
by Jean-Pierre AubinThis authored monograph presents an unconventional approach to an important topic in economic theory. The author is an expert in the field of viability theory and applies this theory to analyze how an economy should be dynamically endowed so that it is economically viable. Economic viability requires an assumption on the joint evolution of transactions, fluctuations of prices and units of numeraire goods: the sum of the "transactions values" and the "impact of price fluctuations" should be negative or equal to zero. The book presents a computation of the minimum endowment which restores economic viability and derives the dynamic laws that regulate both transactions and price fluctuations. The target audience primarily comprises open-minded and mathematically interested economists but the book may also be beneficial for graduate students.
Time and the Generations: Population Ethics for a Diminishing Planet (Kenneth J. Arrow Lecture Series)
by Partha DasguptaHow should we evaluate the ethics of procreation, especially the environmental consequences of reproductive decisions on future generations, in a resource-constrained world? While demographers, moral philosophers, and environmental scientists have separately discussed the implications of population size for sustainability, no one has attempted to synthesize the concerns and values of these approaches. The culmination of a half century of engagement with population ethics, Partha Dasgupta’s masterful Time and the Generations blends economics, philosophy, and ecology to offer an original lens on the difficult topic of optimum global population.After offering careful attention to global inequality and the imbalance of power between men and women, Dasgupta provides tentative answers to two fundamental questions: What level of economic activity can our planet support over the long run, and what does the answer say about optimum population numbers? He develops a population ethics that can be used to evaluate our choices and guide our sense of a sustainable global population and living standards. Structured around a central essay from Dasgupta, the book also features a foreword from Robert Solow; correspondence with Kenneth Arrow; incisive commentaries from Joseph Stiglitz, Eric Maskin, and Scott Barrett; an extended response by the author to them; and a joint paper with Aisha Dasgupta on inequalities in reproductive decisions and the idea of reproductive rights. Taken together, Time and the Generations represents a fascinating dialogue between world-renowned economists on a central issue of our time.
Time Delay ODE/PDE Models: Applications in Biomedical Science and Engineering
by W.E. SchiesserTime delayed (lagged) variables are an inherent feature of biological/physiological systems. For example, infection from a disease may at first be asymptomatic, and only after a delay is the infection apparent so that treatment can begin.Thus, to adequately describe physiological systems, time delays are frequently required and must be included in the equations of mathematical models. The intent of this book is to present a methodology for the formulation and computer implementation of mathematical models based on time delay ordinary differential equations (DODEs) and partial differential equations (DPDEs). The DODE/DPDE methodology is presented through a series of example applications, particularly in biomedical science and engineering (BMSE). The computer-based implementation of the example models is explained with routines coded (programmed) in R, a quality, open-source scientific computing system that is readily available from the Internet. Formal mathematics isminimized, e.g., no theorems and proofs. Rather, the presentation is through detailed examples that the reader/researcher/analyst can execute on modest computers. The DPDE analysis is based on the method of lines (MOL), an established general algorithm for PDEs, implemented with finite differences. The example applications can first be executed to confirm the reported solutions, then extended by variation of the parameters and the equation terms, and even the forumulation and use of alternative DODE/DPDE models. • Introduces time delay ordinary and partial differential equations (DODE/DPDEs) and their numerical computer-based integration (solution) • Illustrates the computer implementation of DODE/DPDE models with coding (programming) in R, a quality, open-source scientific programming system readily available from the Internet • Applies DODE/DPDE models to biological/physiological systems through a series of examples • Provides the R routines for all of the illustrative applications through a download link • Facilitates the use of the models with reasonable time and effort on modest computers
Time-Delayed Linear Quadratic Optimal Control Problems (SpringerBriefs on PDEs and Data Science)
by Weijun Meng Jingtao Shi Jiongmin YongThis book characterizes the open-loop and closed-loop solvability for time-delayed linear quadratic optimal control problems. Different from the existing literature, in the current book, we present a theory of deterministic LQ problems with delays which has several new features: Our system is time-varying, with both the state equation and cost functional being allowed to include discrete and distributed delays, both in the state and the control. We take different approaches to discuss the unboundedness of the control operator. The open-loop solvability of the lifted problem is characterized by the solvability of a system of forward-backward integral evolution equations and the convexity condition of the cost functional. Surprisingly, the adjoint equations involve some coupled partial differential equations, which is significantly different from that in the literature, where, the adjoint equations are all some anticipated backward ordinary differential equations. The closed-loop solvability is characterized by the solvability of three equivalent integral operator-valued Riccati equations and two equivalent backward integral evolution equations which are much easier to handle than the differential operator-valued Riccati equations used in the literature to study similar problems. The closed-loop representation of open-loop optimal control is presented through three equivalent integral operator-valued Riccati equations.
Time Dependent Phase Space Filters: A Stable Absorbing Boundary Condition (SpringerBriefs on PDEs and Data Science)
by Avy Soffer Chris Stucchio Minh-Binh TranThis book introduces an interesting and alternative way to design absorbing boundary conditions (ABCs) for quantum wave equations, basically the nonlinear Schrödinger equation. The focus of this book is the application of the phase space filter approach to derive accurate radiation conditions for Schrödinger equations.Researchers who are interested in partial differential equations and mathematical physics might find this book appealing.
Time-Dependent Problems and Difference Methods
by Joseph Oliger Bertil Gustafsson Heinz-Otto KreissPraise for the First Edition". . . fills a considerable gap in the numerical analysis literature by providing a self-contained treatment . . . this is an important work written in a clear style . . . warmly recommended to any graduate student or researcher in the field of the numerical solution of partial differential equations."--SIAM ReviewTime-Dependent Problems and Difference Methods, Second Edition continues to provide guidance for the analysis of difference methods for computing approximate solutions to partial differential equations for time-dependent problems. The book treats differential equations and difference methods with a parallel development, thus achieving a more useful analysis of numerical methods.The Second Edition presents hyperbolic equations in great detail as well as new coverage on second-order systems of wave equations including acoustic waves, elastic waves, and Einstein equations. Compared to first-order hyperbolic systems, initial-boundary value problems for such systems contain new properties that must be taken into account when analyzing stability. Featuring the latest material in partial differential equations with new theorems, examples, and illustrations,Time-Dependent Problems and Difference Methods, Second Edition also includes:High order methods on staggered gridsExtended treatment of Summation By Parts operators and their application to second-order derivativesSimplified presentation of certain parts and proofsTime-Dependent Problems and Difference Methods, Second Edition is an ideal reference for physical scientists, engineers, numerical analysts, and mathematical modelers who use numerical experiments to test designs and to predict and investigate physical phenomena. The book is also excellent for graduate-level courses in applied mathematics and scientific computations.
Time-dependent Problems in Imaging and Parameter Identification
by Thomas Schuster Barbara Kaltenbacher Anne WaldInverse problems such as imaging or parameter identification deal with the recovery of unknown quantities from indirect observations, connected via a model describing the underlying context. While traditionally inverse problems are formulated and investigated in a static setting, we observe a significant increase of interest in time-dependence in a growing number of important applications over the last few years. Here, time-dependence affects a) the unknown function to be recovered and / or b) the observed data and / or c) the underlying process. Challenging applications in the field of imaging and parameter identification are techniques such as photoacoustic tomography, elastography, dynamic computerized or emission tomography, dynamic magnetic resonance imaging, super-resolution in image sequences and videos, health monitoring of elastic structures, optical flow problems or magnetic particle imaging to name only a few. Such problems demand for innovation concerning their mathematical description and analysis as well as computational approaches for their solution.
Time-Domain Finite Element Methods for Maxwell's Equations in Metamaterials
by Jichun Li Yunqing HuangThe purpose of this book is to provide an up-to-date introduction to the time-domain finite element methods for Maxwell's equations involving metamaterials. Since the first successful construction of a metamaterial with both negative permittivity and permeability in 2000, the study of metamaterials has attracted significant attention from researchers across many disciplines. Thanks to enormous efforts on the part of engineers and physicists, metamaterials present great potential applications in antenna and radar design, sub-wavelength imaging, and invisibility cloak design. Hence the efficient simulation of electromagnetic phenomena in metamaterials has become a very important issue and is the subject of this book, in which various metamaterial modeling equations are introduced and justified mathematically. The development and practical implementation of edge finite element methods for metamaterial Maxwell's equations are the main focus of the book. The book finishes with some interesting simulations such as backward wave propagation and time-domain cloaking with metamaterials.
Time For Home School: Five minute fun games and activities to support early years and KS1 children with number sentences, counting and times tables
by Daisy UptonAn exclusive first look at Five Minute Mum: Time for School with the Maths chapter. It may not clear all those home school headaches, but it will make life easier- and a bit more fun too! The Maths chapter from Five Minute Mum: Time for School, is packed full of fun activities to immediately help support your child's maths learning including learning your number bonds, timetables and everything in between. Time for Home School: Maths is THE book you need if you're home-schooling, from former teaching assistant, bestselling author and social media superstar Daisy Upton AKA Five Minute Mum. This short chapter is all based around the maths your child will be taught in their first few years at school - Early Years, Reception and Key Stage 1 - will bring some much-needed laughter to your at-home learning and, if nothing else, give you five minutes where you feel like you are getting it right.Remember: 'IF YOU ARE TRYING, YOU ARE BRILLIANT' Daisy Upton brings her unique five-minute, learning-through-play method to these quick and easy, fun games and activities that are all maths based, using stuff you probably already have at home. Maths is taken from Five Minute Mum: Time for School- the ultimate handbook to support your child through Early Years, Reception and KS1 - available from 15 April 2021. Praise for Five Minute Mum: Give Me Five: 'I love Five Minute Mum. She's managed to come up with a huge array of activities for kids that are fun and educational yet don't require an Art degree or Diploma in Patience to execute. Her blog makes these kinds of games accessible to everyone and for that, I am grateful! - Sarah Turner, Unmumsy Mum 'So many fab ideas in here! Love it' - Rosie Ramsey
Time-Fractional Differential Equations: A Theoretical Introduction (SpringerBriefs in Mathematics)
by Adam Kubica Katarzyna Ryszewska Masahiro YamamotoThis book aims to establish a foundation for fractional derivatives and fractional differential equations. The theory of fractional derivatives enables considering any positive order of differentiation. The history of research in this field is very long, with its origins dating back to Leibniz. Since then, many great mathematicians, such as Abel, have made contributions that cover not only theoretical aspects but also physical applications of fractional calculus. The fractional partial differential equations govern phenomena depending both on spatial and time variables and require more subtle treatments. Moreover, fractional partial differential equations are highly demanded model equations for solving real-world problems such as the anomalous diffusion in heterogeneous media. The studies of fractional partial differential equations have continued to expand explosively. However we observe that available mathematical theory for fractional partial differential equations is not still complete. In particular, operator-theoretical approaches are indispensable for some generalized categories of solutions such as weak solutions, but feasible operator-theoretic foundations for wide applications are not available in monographs.To make this monograph more readable, we are restricting it to a few fundamental types of time-fractional partial differential equations, forgoing many other important and exciting topics such as stability for nonlinear problems. However, we believe that this book works well as an introduction to mathematical research in such vast fields.
Time Is When
by Beth GleickWhat is time? This question, asked nearly fifty years ago by author Beth Gleick’s young son, prompted her to answer in a picture book for preschoolers, using simple language and familiar scenes: “In one second, you can bounce a ball, or jump, or say hello, or turn a page.”Beth Gleick’s clean turn of phrase cleverly explains the passing of seconds, minutes, hours, on up through seasons and years. First published in 1960, this book is lovingly re-illustrated by collage-artist Marthe Jocelyn, who pays homage to the original art while simultaneously creating a world of her own, cutting patterned papers and printed fabrics with whimsy, ingenuity, and precision of, yes, time. . . .
The Time Machine Hypothesis: Extreme Science Meets Science Fiction (Science and Fiction)
by Damien BroderickEvery age has characteristic inventions that change the world. In the 19th century it was the steam engine and the train. For the 20th, electric and gasoline power, aircraft, nuclear weapons, even ventures into space. Today, the planet is awash with electronic business, chatter and virtual-reality entertainment so brilliant that the division between real and simulated is hard to discern. But one new idea from the 19th century has failed, so far, to enter reality—time travel, using machines to turn the time dimension into a two-way highway. Will it come true, as foreseen in science fiction? Might we expect visits to and from the future, sooner than from space? That is the Time Machine Hypothesis, examined here by futurist Damien Broderick, an award-winning writer and theorist of the genre of the future. Broderick homes in on the topic through the lens of science as well as fiction, exploring some fifty different time-travel scenarios and conundrums found in the science fiction literature and film.
Time Math (Math 24/7)
by James FischerWe live our lives according to the numbers on a clock. Whether it's getting to school on time, allowing enough time in a day for the things we need to do, or timing an activity, those numbers are an important part of almost everything we do. Time Math will help you understand schedules and timetables. You'll be able to better manage the math that runs our clocks!
Time Out!: A QUIX Book (Addy McBean #2)
by Margery CuylerA second-grade math whiz tackles telling time in this second book in the Addy McBean series—part of the Aladdin QUIX line!Addy McBean, a second grader at PS #8, is up to her eyebrows (two) in myriad (lots) of adventures. She&’s never met a number she hasn&’t liked! Lately, she&’s found a lot to love in clocks, watches, and anything that tells time. But on their class trip, will Addy and her friends find themselves in time out?
Time-Reversal Symmetry: Seven Time-Reversal Operators for Spin Containing Systems (Springer Tracts in Modern Physics #281)
by Ion I. GeruThis book introduces new developments in the field of Time-Reversal Symmetry presenting, for the first time, the Wigner time-reversal operator in the form of a product of two- or three time-reversal operators of lower symmetry. The action of these operators leads to the sign change of only one or two angular momentum components, not of all of them. It demonstrates that there are six modes of time-reversal symmetry breaking that do not lead to the complete disappearance of the symmetry but to its lowering. The full restoration of the time-reversal symmetry in the six cases mentioned is possible by introducing six types of metaparticles. The book also confirms the presence of six additional time-reversal operators using a group-theoretical method. The problem is only where to seek these metaparticles. The book discusses time-reversal symmetry in classical mechanics, classical and relativistic electrodynamics, quantum mechanics and theory of quantized fields, including dynamical reversibility and statistical irreversibility of the time, Wigner’s and Herring’s criteria, Kramers theorem, selection rules due to time-reversal symmetry, Onsager’s relations, Poincaré recurrence theorem, and CPT theorem. It particularly focuses attention on time-reversal symmetry violation. It is proposed a new method of testing the time-reversal symmetry, which is confirmed experimentally by EPR spectroscopy data. It shows that the traditional black-white point groups of magnetic symmetry are not applicable to magnetic systems with Kramers degeneration of energy levels and that magnetic groups of four-color symmetry are adequate for them. Further, it addresses the predicted structural distortions in Kramers three-homonuclear magnetic clusters due to time-reversal symmetry that have been identified experimentally. Lastly, it proposes a method of synthesis of two-nuclear coordination compounds with predictable magnetic properties, based on the application of the time-reversal transformation that was confirmed experimentally.
Time Series: A First Course with Bootstrap Starter
by Dimitris Politis Tucker McElroyTime Series: A First Course with Bootstrap Starter provides an introductory course on time series analysis that satisfies the triptych of (i) mathematical completeness, (ii) computational illustration and implementation, and (iii) conciseness and accessibility to upper-level undergraduate and M.S. students. Basic theoretical results are presented in a mathematically convincing way, and the methods of data analysis are developed through examples and exercises parsed in R. A student with a basic course in mathematical statistics will learn both how to analyze time series and how to interpret the results. <p><p>The book provides the foundation of time series methods, including linear filters and a geometric approach to prediction. The important paradigm of ARMA models is studied in-depth, as well as frequency domain methods. Entropy and other information theoretic notions are introduced, with applications to time series modeling. The second half of the book focuses on statistical inference, the fitting of time series models, as well as computational facets of forecasting. <p><p>Many time series of interest are nonlinear in which case classical inference methods can fail, but bootstrap methods may come to the rescue. Distinctive features of the book are the emphasis on geometric notions and the frequency domain, the discussion of entropy maximization, and a thorough treatment of recent computer-intensive methods for time series such as subsampling and the bootstrap. There are more than 600 exercises, half of which involve R coding and/or data analysis. Supplements include a website with 12 key data sets and all R code for the book's examples, as well as the solutions to exercises.
Time Series: Modeling, Computation, and Inference, Second Edition (Chapman & Hall/CRC Texts in Statistical Science)
by Raquel Prado Marco A. Ferreira Mike WestFocusing on Bayesian approaches and computations using analytic and simulation-based methods for inference, Time Series: Modeling, Computation, and Inference, Second Edition integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian time series modeling, analysis and forecasting, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and contacts research frontiers in multivariate time series modeling and forecasting. It presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. It explores the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian formulations and computation, including use of computations based on Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. It illustrates the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, environmental science, and finance. Along with core models and methods, the book represents state-of-the art approaches to analysis and forecasting in challenging time series problems. It also demonstrates the growth of time series analysis into new application areas in recent years, and contacts recent and relevant modeling developments and research challenges. New in the second edition: Expanded on aspects of core model theory and methodology. Multiple new examples and exercises. Detailed development of dynamic factor models. Updated discussion and connections with recent and current research frontiers.
Time Series: A Data Analysis Approach Using R (Chapman & Hall/CRC Texts in Statistical Science)
by Robert Shumway David StofferThe goals of this text are to develop the skills and an appreciation for the richness and versatility of modern time series analysis as a tool for analyzing dependent data. A useful feature of the presentation is the inclusion of nontrivial data sets illustrating the richness of potential applications to problems in the biological, physical, and social sciences as well as medicine. The text presents a balanced and comprehensive treatment of both time and frequency domain methods with an emphasis on data analysis. Numerous examples using data illustrate solutions to problems such as discovering natural and anthropogenic climate change, evaluating pain perception experiments using functional magnetic resonance imaging, and the analysis of economic and financial problems. The text can be used for a one semester/quarter introductory time series course where the prerequisites are an understanding of linear regression, basic calculus-based probability skills, and math skills at the high school level. All of the numerical examples use the R statistical package without assuming that the reader has previously used the software. Robert H. Shumway is Professor Emeritus of Statistics, University of California, Davis. He is a Fellow of the American Statistical Association and has won the American Statistical Association Award for Outstanding Statistical Application. He is the author of numerous texts and served on editorial boards such as the Journal of Forecasting and the Journal of the American Statistical Association. David S. Stoffer is Professor of Statistics, University of Pittsburgh. He is a Fellow of the American Statistical Association and has won the American Statistical Association Award for Outstanding Statistical Application. He is currently on the editorial boards of the Journal of Forecasting, the Annals of Statistical Mathematics, and the Journal of Time Series Analysis. He served as a Program Director in the Division of Mathematical Sciences at the National Science Foundation and as an Associate Editor for the Journal of the American Statistical Association and the Journal of Business & Economic Statistics.
Time Series Analysis
by Gwilym M. Jenkins George E. Box Greta M. Ljung Gregory C. ReinselPraise for the Fourth Edition "The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and control." - Mathematical Reviews Bridging classical models and modern topics, the Fifth Edition of Time Series Analysis: Forecasting and Control maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the Fifth Edition continues to serve as one of the most influential and prominent works on the subject. Time Series Analysis: Forecasting and Control, Fifth Edition provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. Along with these classical uses, the new edition covers modern topics with new features that include: A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series An expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models Numerous examples drawn from finance, economics, engineering, and other related fields The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting Updates to literature references throughout and new end-of-chapter exercises Streamlined chapter introductions and revisions that update and enhance the exposition Time Series Analysis: Forecasting and Control, Fifth Edition is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.
Time Series Analysis (Chapman & Hall/CRC Texts in Statistical Science)
by Henrik MadsenWith a focus on analyzing and modeling linear dynamic systems using statistical methods, Time Series Analysis formulates various linear models, discusses their theoretical characteristics, and explores the connections among stochastic dynamic models. Emphasizing the time domain description, the author presents theorems to highlight the most