Essays on Forecasting Financial and Economic Time Series.
(2002)Forecasting tourist demand to Singapore : a modern time-series approach. Other Degree thesis, Victoria University .
Phd Thesis On Time Series Analysis Ppt
Central to the heritage of the college are the traditions of the programs that preceded it: Adelbert College, as the men’s undergraduate unit of Western Reserve University was known after the move to Cleveland; Flora Stone Mather College, initially founded in 1888 as the Cleveland College for Women; and Cleveland College, founded in 1925 in downtown Cleveland to serve part-time and adult students. These three units, each with a distinguished history of scholarship and achievement, were brought together in 1972 under the revived name of Western Reserve College. The college took its present form in 1992, when undergraduate and graduate programs and research in the arts, humanities, and social sciences were united with those in the physical sciences to form the College of Arts and Sciences.
However, in many applications a unidirectional assumption may not be appropriate. Physical laws may dictate the consideration of interrelationships in the case of industrial or environmental data. In the case of business and economic data, there may not be sufficient theoretical understanding to establish any a priori causality. For example, it is difficult to postulate the dynamic relationships between major economic variables such as money supply, interest rate, inflation, producer price and industrial production using only economic theory. In fact, when studying such variables, a primary objective of a time series analysis may be to understand the causal relationships among the variables of the system.
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Analyses of business, economic, environmental or industrial time series often require that we consider modeling several time series jointly. In some situations, it is appropriate to assume that the relationship(s) between the input variable(s) and the output variable are unidirectional. That is, we may be able to assume that there is no feedback relationship. For example, it is reasonable to assume that crude oil prices affect the prices of gasoline, but gasoline prices should not affect crude oil prices (at least in the short term). Similarly, the temperature recorded in an attic are affected by the outside temperature, but not conversely. When the assumption of unidirectional relationships can be justified, it may be appropriate to employ transfer function models for time series analyses.
In Chapter 12, we discuss time series analysis using linear ARIMA models and the weighted estimation method. The threshold autoregressive (TAR) model is a special case under such an application. A TAR model can be viewed as a piecewise linear approximation of a nonlinear AR model for a time series. This class of nonlinear models has been discussed extensively in a number of literature, see e.g., Tong (1978, 1983, 1990), Tong and Lim (1980), Maravell (1983), Tsay (1986, 1989), Tiao and Tsay (1994), Chen and Tsay (1991, 1993), and shown to be useful in time series analysis and related applications. In Chapter 12, we have addressed the issue of TAR model estimation by using the weighted estimation method. In this chapter, we shall explore the nonlinearity test of a time series and the identification of a TAR model for a time series.
Business Forecasting dissertation for a Ph.D.
In this chapter, we consider vector autoregressive-moving average models, also referred to as vector ARMA or VARMA models. This class of models allows for general dynamic relationships among variables in a system. Therefore vector ARMA models may be more adequate to represent the dynamic relationships among series of interest and provide more accurate forecasts than those obtained from univariate ARIMA models. As will be shown, the vector ARMA model is a multivariate analogue of the univariate ARIMA model.
The has four objectives: 1) to make Case Western Reserve University a more attractive and rewarding institution for students and faculty who wish to learn about and engage in the creation of public policy; 2) to raise the public profile of the university by sponsoring programs and other activities that publicize and increase the reach of the work of CWRU's policy analysts and their guests; 3) to contribute to the wider community by disseminating information and analysis of policy issues as generated both by faculty and by guests we bring to campus; and 4) to encourage creation of a community of policy studies on campus that may serve in the future as the basis for further development of policy-oriented curriculum at both the undergraduate and graduate levels.
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Chapter 3 deals with a more general problem of forecasting time seriesunder structural change and long memory noise.
T1 - Time series and forecasting, including Kalman filtering
Talwani, P. (1997). "On the Nature of Reservoir-induced Seismicity." Pure and Applied Geophysics 150(3): 473-492.
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In Chapter 11, we study ARCH and GARCH models for conditional heteroscedastic time series. The ARCH/GARCH models are a special class of nonlinear time series models which are particularly useful for an economic and financial time series with its conditional variances (volatility) depending on the past innovations of the series. Except for the GARCH-M models, in which the mean level depends on the conditional variance, other ARCH/GARCH models are nonlinear in variance, but still linear in mean.
TIME SERIES ANALYSIS AND FORECASTING - TOPICS
In Chapter 1 through Chapter 10, we mainly focus on how to represent a univariate time series using a linear ARIMA model. Time series encountered in practice, however, may not always exhibit characteristics of a linear process. Thus, in this book we explore various nonlinear models that may enhance the efficacy and usefulness of a time series model.
Time series forecasting based on classification of …
In time series analysis, it is not uncommon for the pattern or the relationship of the time series to be temporarily disrupted by outliers or structural changes. If the disruptions are isolated and not exceedingly large, outlier detection and adjustment methods discussed in Chapter 7 are sufficient to correct for the biases caused by such disruptions. However if the disruptions are clustered together or if their atypical effects are persistent over a period of time, it may be more appropriate to discount or disregard those portions of the data in time series modeling. The weighted estimation method can be useful in such situations as well.
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This dissertation examines the application of modern time series forecasting methods in the forecasting of inbound tourists from the six major tourist generating markets to Singapore, namely the USA, Australia, Japan, UK, India and China. The purpose of the study is to assess the capacity of modern time-series models with regard to their relative forecasting accuracy.
Thesis: Time Series Forecasting - Francesco Colombo
The (CERCA) is a center for the advancement and promotion of the scientific understanding of the origin and evolution of the universe and its contents, and their connection to fundamental physics. CERCA connects scientists and educators in the Departments of Physics and Astronomy and at the Shafran Planetarium of the Cleveland Museum of Natural History (CMNH). It draws together theoretical and experimental physicists and astrophysicists with observational astronomers to explore the cosmos and, together with partner educators, to communicate their excitement and knowledge to students and to the world at large. CERCA is also a partner in the Institute for the Science of Origins, a partnership of Case Western Reserve, CMNH, and ideastream to advance and promote knowledge in a wide range of origins sciences.
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