Prediction and interpolation of time series by state space models

Prediction and interpolation of time series by state space models

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Bibliographic Details
Main Author: Helske, Jouni
Other Authors: Matematiikan ja tilastotieteen laitos, Department of Mathematics and Statistics, University of Jyväskylä, Jyväskylän yliopisto, Tilastotiede
Format: Doctoral dissertation
Language:eng
Published: 2015
Subjects:
Time-series analysis
Prediction theory
Interpolation
tila-avaruusmallit
time series
prediction
forecasting
uncertainty
state space models
aikasarja-analyysi
aikasarjat
mallintaminen
ennusteet
epävarmuus
R-kieli
Online Access: https://jyx.jyu.fi/handle/123456789/49043
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annif_keywords_txtF_mv time series forecasts R (programming languages) time-series analysis modelling (representation)
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author Helske, Jouni
author2 Matematiikan ja tilastotieteen laitos Department of Mathematics and Statistics University of Jyväskylä Jyväskylän yliopisto Tilastotiede
author_facet Helske, Jouni Matematiikan ja tilastotieteen laitos Department of Mathematics and Statistics University of Jyväskylä Jyväskylän yliopisto Tilastotiede Helske, Jouni
author_sort Helske, Jouni
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fullrecord <?xml version="1.0"?> <qualifieddc schemaLocation="http://purl.org/dc/terms/ http://dublincore.org/schemas/xmls/qdc/2006/01/06/dcterms.xsd http://purl.org/dc/elements/1.1/ http://dublincore.org/schemas/xmls/qdc/2006/01/06/dc.xsd"><title>Prediction and interpolation of time series by state space models</title><creator>Helske, Jouni</creator><contributor type="laitos"/><contributor type="laitos" lang="fi">Matematiikan ja tilastotieteen laitos</contributor><contributor type="laitos" lang="en">Department of Mathematics and Statistics</contributor><contributor type="yliopisto" lang="en">University of Jyv&#xE4;skyl&#xE4;</contributor><contributor type="yliopisto" lang="fi">Jyv&#xE4;skyl&#xE4;n yliopisto</contributor><contributor type="oppiaine" lang="fi">Tilastotiede</contributor><subject type="other">Time-series analysis</subject><subject type="other">Prediction theory</subject><subject type="other">Interpolation</subject><subject type="other">tila-avaruusmallit</subject><subject type="other">time series</subject><subject type="other">prediction</subject><subject type="other">forecasting</subject><subject type="other">uncertainty</subject><subject type="other">state space models</subject><subject type="yso">aikasarja-analyysi</subject><subject type="yso">aikasarjat</subject><subject type="yso">mallintaminen</subject><subject type="yso">ennusteet</subject><subject type="yso">ep&#xE4;varmuus</subject><subject type="yso">R-kieli</subject><available>2016-03-11T10:48:18Z</available><issued>2015</issued><type>Diss.</type><type lang="fi">V&#xE4;it&#xF6;skirja</type><type lang="en">Doctoral dissertation</type><identifier type="other">oai:jykdok.linneanet.fi:1524457</identifier><identifier type="uri">https://jyx.jyu.fi/handle/123456789/49043</identifier><identifier type="urn">URN:NBN:fi:jyu-201603111829</identifier><language type="iso">eng</language><relation type="ispartofseries">Report / University of Jyv&#xE4;skyl&#xE4;. Department of Mathematics and Statistics</relation><relation type="haspart">&lt;b&gt;Article I:&lt;/b&gt; Helske, J., &amp; Nyblom, J. (2015). Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation. In S. J. Koopman, &amp; N. Shephard (Eds.), &lt;I&gt;Unobserved Components and Time Series Econometrics&lt;/I&gt; (pp. 291-309). Oxford University Press.</relation><relation type="haspart">&lt;b&gt;Article II:&lt;/b&gt; Helske, J. and Nyblom, J. (2014). Improved frequentist prediction intervals for ARMA&#xD; models by simulation. In Knif, J. and Pape, B., editors, &lt;I&gt;Contributions to Mathematics,&#xD; Statistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynn&#xF6;nen&lt;/I&gt;, (pp. 71-86). Acta Wasaensia, 296. Vaasa: Vaasan Yliopisto.</relation><relation type="haspart">&lt;b&gt;Article III:&lt;/b&gt; Helske, J., Nyblom, J., Ekholm, P., &amp; Meissner, K. (2013). Estimating aggregated nutrient fluxes in four Finnish rivers via Gaussian state space models. &lt;I&gt;Environmetrics&lt;/I&gt;, 24 (4), 237-247. doi:10.1002/env.2204</relation><relation type="haspart">&lt;b&gt;Article IV:&lt;/b&gt; Helske, J. (2015). KFAS: Exponential family state space models in R. (Submitted; not available online)</relation><relation type="isversionof">Julkaistu my&#xF6;s painettuna.</relation><relation type="issn">1457-8905</relation><relation type="numberinseries">152</relation><rights>In Copyright</rights><rights type="accesslevel">openAccess</rights><rights type="url">https://rightsstatements.org/page/InC/1.0/</rights><publisher>University of Jyv&#xE4;skyl&#xE4;</publisher><permaddress type="urn">http://www.urn.fi/URN:NBN:fi:jyu-201603111829</permaddress><file bundle="ORIGINAL" href="https://jyx.jyu.fi/bitstream/123456789/49043/1/ThesisJouniHelske.pdf" name="ThesisJouniHelske.pdf" type="application/pdf" length="1427885" sequence="1"/><recordID>123456789_49043</recordID></qualifieddc>
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spellingShingle Helske, Jouni Prediction and interpolation of time series by state space models Time-series analysis Prediction theory Interpolation tila-avaruusmallit time series prediction forecasting uncertainty state space models aikasarja-analyysi aikasarjat mallintaminen ennusteet epävarmuus R-kieli
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title Prediction and interpolation of time series by state space models
title_full Prediction and interpolation of time series by state space models
title_fullStr Prediction and interpolation of time series by state space models Prediction and interpolation of time series by state space models
title_full_unstemmed Prediction and interpolation of time series by state space models Prediction and interpolation of time series by state space models
title_short Prediction and interpolation of time series by state space models
title_sort prediction and interpolation of time series by state space models
title_txtP Prediction and interpolation of time series by state space models
topic Time-series analysis Prediction theory Interpolation tila-avaruusmallit time series prediction forecasting uncertainty state space models aikasarja-analyysi aikasarjat mallintaminen ennusteet epävarmuus R-kieli
topic_facet Interpolation Prediction theory R-kieli Time-series analysis aikasarja-analyysi aikasarjat ennusteet epävarmuus forecasting mallintaminen prediction state space models tila-avaruusmallit time series uncertainty
url https://jyx.jyu.fi/handle/123456789/49043 http://www.urn.fi/URN:NBN:fi:jyu-201603111829
work_keys_str_mv AT helskejouni predictionandinterpolationoftimeseriesbystatespacemodels

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