Time Series Analysis and Its Applications

Shumway, Robert H.; Stoffer, David S.

doi:10.1007/978-1-4419-7865-3

Cited by 1,347 publications

(1,221 citation statements)

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“…When tapering is applied the effect is immediate: in plot (d) we see at the high-frequency end that the degrees of freedom forP h (f ) are 2 until the boundary marked by the vertical line implied by (19), after which the degrees of freedom roll-off smoothly to unity. (The same effect is observed at the lowfrequency end.…”

Section: Degrees Of Freedommentioning

confidence: 98%

Tapering Promotes Propriety for Fourier Transforms of Real-Valued Time Series

Walden

Leong

2018

IEEE Trans. Signal Process.

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Section: Degrees Of Freedommentioning

confidence: 98%

Tapering Promotes Propriety for Fourier Transforms of Real-Valued Time Series

Walden

Leong

2018

IEEE Trans. Signal Process.

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“…There are many books on this subject. A concise introduction is given by Chatfield [121]; Another readable exposition is Shumway and Stoffer [618].…”

Section: Correlation With Timementioning

confidence: 99%

“…A good book devoted to spectral analysis is Stoica and Moses [663]. More general texts on time series (including chapters on spectral analysis) have been written by Chatfield [121] and by Shumway and Stoffer [618].…”

Section: Background Box: the Discrete Fourier Transformmentioning

confidence: 99%

Workload Modeling for Computer Systems Performance Evaluation

Feitelson

2015

196

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Reliable performance evaluations require the use of representative workloads. This is no easy task since modern computer systems and their workloads are complex, with many interrelated attributes and complicated structures. Experts often use sophisticated mathematics to analyze and describe workload models, making these models difficult for practitioners to grasp. This book aims to close this gap by emphasizing the intuition and the reasoning behind the definitions and derivations related to the workload models. It provides numerous examples from real production systems, with hundreds of graphs. Using this book, readers will be able to analyze collected workload data and clean it if necessary, derive statistical models that include skewed marginal distributions and correlations, and consider the need for generative models and feedback from the system. The descriptive statistics techniques covered are also useful for other domains.

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“…Consider the dynamic linear model (e.g., Harvey 1989, West and Harrison 1997, Shumway and Stoffer 2011 given by the observation equation…”

Section: A Framework For Robust Dynamic Estimationmentioning

confidence: 99%

Robust Dynamic Estimation

Rubel

Naik

2017

Marketing Science

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Abstract. Managing marketing resources over time requires dynamic model estimation, which necessitates specifying some parametric or nonparametric probability distribution. When the data generating process differs from the assumed distribution, the resulting model is misspecified. To hedge against such a misspecification risk, the extant theory recommends using the sandwich estimator. This approach, however, only corrects the variance of estimated parameters, but not their values. Consequently, the sandwich estimator does not affect any managerial outcomes such as marketing budgeting and allocation decisions. To overcome this drawback, we present the minimax framework that does not necessitate distributional assumptions to estimate dynamic models. Applying minimax control theory, we derive an optimal robust filter, illustrate its application to a unique advertising data set from the Canadian Blood Services, and contribute several novel findings. We discover the compensatory effect: Advertising effectiveness increases and the carryover effect decreases as robustness increases. We also find that the robust filter uniformly outperforms the Kalman filter on the out-of-sample predictions. Furthermore, we uncover the existence of a profit-volatility trade-off, similar to the returns-risk trade-off in finance, whereby the volatility of profit stream decreases at the expense of reduced total profit as robustness increases. Finally, we prove that, unlike for-profit companies, managers of nonprofit organizations should optimally allocate budgets opposite the advertising-to-sales ratio heuristic; that is, advertise more (less) when sales are low (high).

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Time Series Analysis and Its Applications

Abstract: Time series analysis and its applications I Robert H. Shumway, David S. Stoffer. p. cm. -(Springer texts in statistics) Includes bibliographical references and index.

Cited by 1,347 publications

References 0 publications

Tapering Promotes Propriety for Fourier Transforms of Real-Valued Time Series

Tapering Promotes Propriety for Fourier Transforms of Real-Valued Time Series

Workload Modeling for Computer Systems Performance Evaluation

Robust Dynamic Estimation

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