Univariate Time Series Modelling and Forecasting using TSMARS


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  • Product Description

This monograph examines nonlinear threshold time series models using TSMARS, a time series extension of the Multivariate Adaptive Regression Splines (MARS). MARS is model free and can detect and measure linear and curvilinear structure in data. Novel aspects include applications to Ireland''s Trade Statistics and the introduction of regime dependent threshold seasonal time series models - the effect of seasonal adjustment in the presenence of a threshold is examined using these models. Two important new advances are incorporated into TSMARS. The first allows TSMARS to automatically treat ordinary and dynamic outliers. The second is a new procedure to estimate treshold moving average models within TSMARS. Both of these advances are described, implemented in SAS/IML, tested and results are reported. Finally, parametric and nonparametric bootstrapped procedures are described and the forecasts investigated.

Product Specifications
SKU :COC49511
AuthorGerard Keogh
Number of Pages248
Publishing Year2010-01-20T00:00:00.000
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-04-08 00:00:00
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