Search results
Results From The WOW.Com Content Network
An example of statistical software for this type of decomposition is the program BV4.1 that is based on the Berlin procedure.The R statistical software also includes many packages for time series decomposition, such as seasonal, [7] stl, stlplus, [8] and bfast.
The Berlin procedure (BV) is a mathematical procedure for time series decomposition and seasonal adjustment of monthly and quarterly economic time series. The mathematical foundations of the procedure were developed in 1960's at Technische Universität Berlin and the German Institute for Economic Research (DIW).
=, where is a lower triangular matrix obtained by a Cholesky decomposition of such that = ′, where is the covariance matrix of the errors Φ i = J A i J ′ , {\displaystyle \Phi _{i}=JA^{i}J',} where J = [ I k 0 … 0 ] , {\displaystyle J={\begin{bmatrix}\mathbf {I} _{k}&0&\dots &0\end{bmatrix}},} so that J {\displaystyle J} is a k ...
In statistics, Wold's decomposition or the Wold representation theorem (not to be confused with the Wold theorem that is the discrete-time analog of the Wiener–Khinchin theorem), named after Herman Wold, says that every covariance-stationary time series can be written as the sum of two time series, one deterministic and one stochastic.
The Ljung–Box test (named for Greta M. Ljung and George E. P. Box) is a type of statistical test of whether any of a group of autocorrelations of a time series are different from zero. Instead of testing randomness at each distinct lag, it tests the "overall" randomness based on a number of lags, and is therefore a portmanteau test .
Yang et al. [2010] applied the EMD method to delineate sub-components of a variety of neuropsychiatric epidemiological time series, including the association between seasonal effect of Google search for depression [2010], association between suicide and air pollution in Taipei City [2011], and association between cold front and incidence of ...
The CRAN task view on Time Series contains links to most of these. Mathematica has a complete library of time series functions including ARMA. [11] MATLAB includes functions such as arma, ar and arx to estimate autoregressive, exogenous autoregressive and ARMAX models. See System Identification Toolbox and Econometrics Toolbox for details.
A working paper by Robert J. Hodrick titled "An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data" [10] examines whether the proposed alternative approach of James D. Hamilton is actually better than the HP filter at extracting the cyclical component of several simulated time series calibrated to approximate U.S. real GDP ...