Regression Models for Time Series Analysis

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John Wiley & Sons, Mar 11, 2005 - Mathematics - 360 pages
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A thorough review of the most current regression methods in timeseries analysis
Regression methods have been an integral part of time seriesanalysis for over a century. Recently, new developments have mademajor strides in such areas as non-continuous data where a linearmodel is not appropriate. This book introduces the reader to newerdevelopments and more diverse regression models and methods fortime series analysis.
Accessible to anyone who is familiar with the basic modern conceptsof statistical inference, Regression Models for Time SeriesAnalysis provides a much-needed examination of recent statisticaldevelopments. Primary among them is the important class of modelsknown as generalized linear models (GLM) which provides, under someconditions, a unified regression theory suitable for continuous,categorical, and count data.
The authors extend GLM methodology systematically to time serieswhere the primary and covariate data are both random andstochastically dependent. They introduce readers to variousregression models developed during the last thirty years or so andsummarize classical and more recent results concerning state spacemodels. To conclude, they present a Bayesian approach to predictionand interpolation in spatial data adapted to time series that maybe short and/or observed irregularly. Real data applications andfurther results are presented throughout by means of chapterproblems and complements.
Notably, the book covers:
* Important recent developments in Kalman filtering, dynamic GLMs,and state-space modeling
* Associated computational issues such as Markov chain, MonteCarlo, and the EM-algorithm
* Prediction and interpolation
* Stationary processes
 

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Contents

1 Time Series Following Generalized Linear Models
1
2 Regression Models for Binary Time Series
49
3 Regression Models for Categorical Time Series
89
4 Regression Models for Count Time Series
139
5 Other Models and Alternative Approaches
175
6 State Space Models
213
7 Prediction and Interpolation
249
Appendix Elements of Stationary Processes
285
References
297
Index
327
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About the author (2005)

BENJAMIN KEDEM, PhD, is Professor of Mathematics at the Universityof Maryland.

KONSTANTINOS FOKIANOS, PhD, is Assistant Professor in theDepartment of Mathematics and Statistics at the University ofCyprus.

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