Title Theory and applications of time series analysis : selected contributions from ITISE 2019 / Olga Valenzuela, Fernando Rojas, Luis Javier Herrera, Héctor Pomares, Ignacio Rojas, editors

Published Cham : Springer, 2021

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Description 1 online resource (452 pages) Series Contributions to Statistics Contributions to statistics. Contents Intro -- Preface -- Contents -- Advanced Statistical and Mathematical Methods for Time Series Analysis -- Random Forest Variable Selection for Sparse Vector Autoregressive Models -- 1 Introduction -- 2 State of the Art -- 2.1 Feature Selection in Vector Autoregressive Models -- 2.2 Random Forest for Feature Filtering -- 3 Methodology and Data -- 3.1 Methods -- 3.2 Data: Urban Traffic Forecasting -- 4 Results -- 5 Discussion -- 6 Conclusions -- References -- Covariance Functions for Gaussian Laplacian Fields in Higher Dimension -- 1 Introduction 2 Frequency Domain Treatment of Stationary Fields in Higher Dimensions -- 2.1 Covariance Functions of Laplacian Fields -- 2.2 AR(p) -- 2.3 ARMA Fields -- 3 Appendix -- References -- The Correspondence Between Stochastic Linear Difference and Differential Equations -- 1 Introduction: The Discrete-Continuous Correspondence -- 2 ARMA Estimation and the Effects of Over-Rapid Sampling -- 3 Sinc Function Interpolation and Fourier Interpolation -- 4 Discrete-Time and Continuous-Time Models -- 5 ARMA Model and Its Continuous-Time CARMA Counterpart 6 Stochastic Differential Equations Driven by Wiener Processes -- 7 Summary and Conclusions -- References -- New Test for a Random Walk Detection Based on the Arcsine Law -- 1 Introduction -- 1.1 Random Walk -- 1.2 Ordinary Random Walk Test -- 1.3 Random Walk Test for an AR(1) Process -- 2 Efficiency Evaluation of the Proposed Test -- 2.1 Gaussian Random Walk -- 2.2 Gaussian Mixture Model -- 3 Power Evaluation of the Proposed Test -- 3.1 An AR(1) Process with the Gaussian Innovations -- 3.2 An AR(1) Process with the Student-T Innovations -- 4 Conclusions -- References Econometric Models and Forecasting -- On the Automatic Identification of Unobserved Components Models -- 1 Introduction -- 2 Unobserved Components Models -- 2.1 Trend Components -- 2.2 Seasonal Components -- 2.3 Irregular Components -- 3 State-Space Systems -- 4 Automatic Forecasting Algorithm for UC -- 5 Case Studies -- 5.1 Monthly Average Temperatures in Madrid at El Retiro Weather Station -- 5.2 Spanish Gross Domestic Product (GDP) -- 5.3 Demand Database -- 6 Conclusions -- References Spatial Integration of Pig Meat Markets in the EU: Complex Network Analysis of Non-linear Price Relationships -- 1 Introduction -- 2 Data and Methods -- 2.1 Data -- 2.2 Filtering -- 2.3 Non-linear Granger Causality Networks -- 2.4 Network Measures -- 2.5 Temporal Network Evolution -- 3 Finite Sample Properties of the GAM-Test -- 4 Empirical Analysis and Results -- 4.1 Network Measures of Individual Node Connectivity -- 4.2 Measures of Global Network Cohesiveness and Their Evolution -- 5 Conclusion -- References Summary This book presents a selection of peer-reviewed contributions on the latest advances in time series analysis, presented at the International Conference on Time Series and Forecasting (ITISE 2019), held in Granada, Spain, on September 25-27, 2019. The first two parts of the book present theoretical contributions on statistical and advanced mathematical methods, and on econometric models, financial forecasting and risk analysis. The remaining four parts include practical contributions on time series analysis in energy; complex/big data time series and forecasting; time series analysis with computational intelligence; and time series analysis and prediction for other real-world problems. Given this mix of topics, readers will acquire a more comprehensive perspective on the field of time series analysis and forecasting. The ITISE conference series provides a forum for scientists, engineers, educators and students to discuss the latest advances and implementations in the foundations, theory, models and applications of time series analysis and forecasting. It focuses on interdisciplinary research encompassing computer science, mathematics, statistics and econometrics Notes Online resource; title from PDF title page (SpringerLink, viewed February 4, 2021) Subject Time-series analysis -- Congresses Análisis de series temporales Matemáticas para ingenieros Time-series analysis Artificial intelligence Economics Engineering mathematics Mathematical statistics Statistics Genre/Form proceedings (reports) Conference papers and proceedings Conference papers and proceedings. Actes de congrès. Form Electronic book Author Valenzuela, Olga. Rojas, Fernando Herrera, Luis Javier Pomares, Héctor Rojas, Ignacio. ISBN 9783030562199 3030562190

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