کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
415745 | 681232 | 2006 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Decomposition of time series models in state-space form
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A methodology is proposed for decompositions of a very wide class of time series, including normal and non-normal time series, which are represented in state-space form. In particular the linked signals generated from dynamic generalized linear models are decomposed into a suitable sum of noise-free dynamic linear models. A number of relevant general results are given and two important cases, consisting of normally distributed data and binomially distributed data, are examined in detail. The methods are illustrated by considering examples involving both linear trend and seasonal component time series.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 50, Issue 9, 1 May 2006, Pages 2232–2246
Journal: Computational Statistics & Data Analysis - Volume 50, Issue 9, 1 May 2006, Pages 2232–2246
نویسندگان
E.J. Godolphin, Kostas Triantafyllopoulos,