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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Showing 1 to 2 of 2 (0.09 seconds)

Spelling suggestions: "subject:"bivariate structural models"" "subject:"ivariate structural models""

1

Aspects of bivariate time series

Seeletse, Solly Matshonisa 11 1900 (has links)
Exponential smoothing algorithms are very attractive for the practical world such as in industry. When considering bivariate exponential smoothing methods, in addition to the properties of univariate methods, additional properties give insight to relationships between the two components of a process, and also to the overall structure of the model. It is important to study these properties, but even with the merits the bivariate exponential smoothing algorithms have, exponential smoothing algorithms are nonstatistical/nonstochastic and to study the properties within exponential smoothing may be worthless. As an alternative approach, the (bivariate) ARIMA and the structural models which are classes of statistical models, are shown to generalize the exponential smoothing algorithms. We study these properties within these classes as they will have implications on exponential smoothing algorithms. Forecast properties are studied using the state space model and the Kalman filter. Comparison of ARIMA and structural model completes the study. / Mathematical Sciences / M. Sc. (Statistics)
Exponential smoothing algorithms
Bivariate ARMA models
Bivariate structural models
State space models
Kalman filter
Granger-causality
Cointegration
Point forecasts
Forecast regions
Autoregressions
Common factors
519.55
Time-series analysis
Multivariate analysis
Exponential smoothing algorithms
2

Aspects of bivariate time series

Seeletse, Solly Matshonisa 11 1900 (has links)
Exponential smoothing algorithms are very attractive for the practical world such as in industry. When considering bivariate exponential smoothing methods, in addition to the properties of univariate methods, additional properties give insight to relationships between the two components of a process, and also to the overall structure of the model. It is important to study these properties, but even with the merits the bivariate exponential smoothing algorithms have, exponential smoothing algorithms are nonstatistical/nonstochastic and to study the properties within exponential smoothing may be worthless. As an alternative approach, the (bivariate) ARIMA and the structural models which are classes of statistical models, are shown to generalize the exponential smoothing algorithms. We study these properties within these classes as they will have implications on exponential smoothing algorithms. Forecast properties are studied using the state space model and the Kalman filter. Comparison of ARIMA and structural model completes the study. / Mathematical Sciences / M. Sc. (Statistics)
Exponential smoothing algorithms
Bivariate ARMA models
Bivariate structural models
State space models
Kalman filter
Granger-causality
Cointegration
Point forecasts
Forecast regions
Autoregressions
Common factors
519.55
Time-series analysis
Multivariate analysis
Exponential smoothing algorithms

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