Prediction and interpolation of time series by state space models

A large amount of data collected today is in the form of a time series. In order to make realistic inferences based on time series forecasts, in addition to point predictions, prediction intervals or other measures of uncertainty should be presented. Multiple sources of uncertainty are often igno...

Täydet tiedot

Bibliografiset tiedot
Päätekijä: Helske, Jouni
Muut tekijät: Faculty of Mathematics and Science, Matemaattis-luonnontieteellinen tiedekunta, Matematiikan ja tilastotieteen laitos, Department of Mathematics and Statistics, University of Jyväskylä, Jyväskylän yliopisto
Aineistotyyppi: Väitöskirja
Kieli:eng
Julkaistu: 2015
Aiheet:
Linkit: https://jyx.jyu.fi/handle/123456789/49043
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author Helske, Jouni
author2 Faculty of Mathematics and Science Matemaattis-luonnontieteellinen tiedekunta Matematiikan ja tilastotieteen laitos Department of Mathematics and Statistics University of Jyväskylä Jyväskylän yliopisto
author_facet Helske, Jouni Faculty of Mathematics and Science Matemaattis-luonnontieteellinen tiedekunta Matematiikan ja tilastotieteen laitos Department of Mathematics and Statistics University of Jyväskylä Jyväskylän yliopisto Helske, Jouni Faculty of Mathematics and Science Matemaattis-luonnontieteellinen tiedekunta Matematiikan ja tilastotieteen laitos Department of Mathematics and Statistics University of Jyväskylä Jyväskylän yliopisto
author_sort Helske, Jouni
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description A large amount of data collected today is in the form of a time series. In order to make realistic inferences based on time series forecasts, in addition to point predictions, prediction intervals or other measures of uncertainty should be presented. Multiple sources of uncertainty are often ignored due to the complexities involved in accounting them correctly. In this dissertation, some of these problems are reviewed and some new solutions are presented. A state space approach is also advocated for an e cient and exible framework for time series forecasting, which can be used for combining multiple types of traditional time series and other models.
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Department of Mathematics and Statistics", "language": null, "element": "relation", "qualifier": "ispartofseries", "schema": "dc"}, {"key": "dc.relation.haspart", "value": "<b>Article I:</b> Helske, J., & Nyblom, J. (2015). Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation. In S. J. Koopman, & N. Shephard (Eds.), <I>Unobserved Components and Time Series Econometrics</I> (pp. 291-309). Oxford University Press.", "language": "", "element": "relation", "qualifier": "haspart", "schema": "dc"}, {"key": "dc.relation.haspart", "value": "<b>Article II:</b> Helske, J. and Nyblom, J. (2014). Improved frequentist prediction intervals for ARMA\r\nmodels by simulation. In Knif, J. and Pape, B., editors, <I>Contributions to Mathematics,\r\nStatistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynn\u00f6nen</I>, (pp. 71-86). Acta Wasaensia, 296. Vaasa: Vaasan Yliopisto.", "language": "", "element": "relation", "qualifier": "haspart", "schema": "dc"}, {"key": "dc.relation.haspart", "value": "<b>Article III:</b> Helske, J., Nyblom, J., Ekholm, P., & Meissner, K. (2013). Estimating aggregated nutrient fluxes in four Finnish rivers via Gaussian state space models. <I>Environmetrics</I>, 24 (4), 237-247. doi:10.1002/env.2204", "language": "", "element": "relation", "qualifier": "haspart", "schema": "dc"}, {"key": "dc.relation.haspart", "value": "<b>Article IV:</b> Helske, J. (2015). KFAS: Exponential family state space models in R. 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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 Tilastotiede aikasarja-analyysi aikasarjat mallintaminen ennusteet epävarmuus R-kieli
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 Tilastotiede aikasarja-analyysi aikasarjat mallintaminen ennusteet epävarmuus R-kieli
topic_facet Interpolation Prediction theory R-kieli Tilastotiede 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