LIST OF PUBLICATIONS

Size: px
Start display at page:

Download "LIST OF PUBLICATIONS"

Transcription

1 LIST OF PUBLICATIONS Papers in referred journals [1] Estimating the ratio of smaller and larger of two uniform scale parameters, Amit Mitra, Debasis Kundu, I.D. Dhariyal and N.Misra, Journal of Statistical Computation and Simulation, vol. 50, pp , [2] A note on the consistency of the undamped exponential signals model, Debasis Kundu and Amit Mitra, Statistics, vol.26, pp.1-9, [3] Consistent method of estimating superimposed exponential signals, Debasis Kundu and Amit Mitra, Scandinavian Journal of Statistics, vol.22, 1, pp.73-83, [4] Estimating the parameters of exponentially damped/undamped sinusoids in noise: A non-iterative approach, Debasis Kundu and Amit Mitra, Signal Processing, vol.46, pp , [5] Asymptotic theory of the least squares estimates of a non-linear time series regression model, Debasis Kundu and Amit Mitra, Communications of Statistics, Theory and Methods, vol.25, No.1, pp , [6] Asymptotic properties of the least squares estimates of 2-D exponential signals, Debasis Kundu and Amit Mitra, Multidimensional Systems and Signal Processing, vol.7, pp , [7] A theorem in probability and its applications in multidimensional signal processing, Debasis Kundu, Z.D. Bai and Amit Mitra, IEEE Transactions on Signal Processing, vol.44, 12, pp , [8] Consistent method of estimating sinusoidal frequencies: A non-iterative approach, Amit Mitra & Debasis Kundu, Journal of Statistical Computation and Simulation, vol.58, pp , [9] Estimating the parameters of the linear compartment model, Debasis Kundu and Amit Mitra, Journal of Statistical Planning and Inference, vol.70, pp , [10] Fitting a sum of exponentials to equispaced data, Debasis Kundu and Amit Mitra, Sankhya, Series B, vol.60, pp , 1998.

2 [11] Exchange rate of rupee and purchasing power parity, Ashok K Nag and Amit Mitra, Economic and Political Weekly, vol.33 (25), pp , [12] Different methods for estimating sinusoidal frequencies: A numerical comparison, Debasis Kundu and Amit Mitra, Journal of Statistical Computation and Simulation, vol.62. pp.9-27, [13] On Asymptotic properties and confidence intervals for exponential signals, Debasis Kundu and Amit Mitra, Signal Processing, vol. 72, pp , [14] A note on the consistency of multidimensional exponential signals, Z.D.Bai, Debasis Kundu and Amit Mitra, Sankhya, Series A, vol. 61 (2), pp , [15] Neural networks and early warning indicators of currency crisis, Ashok K. Nag and Amit Mitra, Reserve Bank of India Occasional Papers, Vol. 20 (2), pp , [16] Integration of financial markets in India: An empirical investigation, Ashok K. Nag & Amit Mitra, Journal of Social and Management Sciences, PRAJNAN, vol. 28(3), pp , [17] Detecting the number of signals of undamped exponential model using cross validation, Debasis Kundu & Amit Mitra, Signal Processing, vol.80, pp , [18] Asymptotic properties of least squares estimates for the parameters in undamped exponential signals, Debasis Kundu and Amit Mitra, American Journal for Mathematical and Management Sciences, vol. 20, no. 3 and 4, , [19] Estimating the number of signals of the damped exponential models Amit Mitra and Debasis Kundu, Computational Statistics and Data Analysis, vol. 36(2), pp , [20] On Cramer-Rao bound of spectral density estimation, Simon Sando, Amit Mitra & Petre Stoica, IEEE Signal Processing Letters, vol. 9(2), pp.68-71, [21] Identifying patterns of socio-economic development using self-organizing maps, Ashok K. Nag and Amit Mitra, Journal of Social & Economic Development, Vol.4, No.1, pp.55-80, 2002.

3 [22] Time series modelling with genetic neural networks: case studies of some important Indian economic and financial series, Ashok K. Nag and Amit Mitra, Statistics & Applications, Vol. 4, No.1, pp.37-58, [23] The Asymptotic Cramer-Rao bound for 2-D superimposed exponential signals, Amit Mitra and Petre Stoica, Multidimensional Systems & Signal Processing, Vol.13, pp , [24] Analysis of Performance Trajectory of public sector banks in India using selforganizing maps, Ashok K. Nag and Amit Mitra, PRAJNAN-Journal of Social and Management Sciences, Vol. 31, No.3, pp , [25] Forecasting daily foreign exchange rates using genetically engineered neural networks, Ashok K. Nag and Amit Mitra, Journal of Forecasting, vol. 21(7), pp , [26] Time series lag selection using genetic algorithm, Ashok K. Nag and Amit Mitra, Advances and Applications in Statistics, Vol. 4(2), , [27] Forecasting business cycle movements using wavelet filtering and neural networks, Amit Mitra and Sharmishtha Mitra, Finance India, Vol 18(2), , [28] Detecting multidimensional outliers from large datasets using self-organizing maps, Ashok K. Nag, Amit Mitra and Sharmishtha Mitra, Computational Statistics, Vol. 20(2), , [29] Frequency estimation of undamped exponential signals using genetic algorithm, Amit Mitra, Debasis Kundu and G.Agrawal, Computational Statistics & Data Analysis, Vol. 51(3), pp , [30] Wavelet decomposition based genetic neural network models for forecasting daily spot foreign exchange rates, Amit Mitra and Sharmishtha Mitra, Statistical Methodology, Vol 3(2), April 2006, pp [31] Study of Dynamic Relationships Between Financial and Real Sectors of Economies with Wavelets, Sharmishtha Mitra, Basab Nandi and Amit Mitra, Applied Mathematics & Computation, Volume 188, Issue 1, 1 May 2007, Pages

4 [32] Sequential estimation of the sum of sinusoidal model parameters, Anurag Prasad, Debasis Kundu and Amit Mitra, Journal of Statistical Planning and Inference, vol. 138 (5), pages , [33] Genetic algorithm based robust frequency estimation of sinusoidal signals with stationary errors, Amit Mitra and Debasis Kundu, Engineering Applications of Artificial Intelligence, vol. 23, pages , [34] An overview of the concepts and techniques of data mining, Amit Mitra and Neeraj Misra, Journal of the Indian Statistical Association, vol. 48(1), pages , [35] Genetic algorithm and M-estimator based robust sequential estimation of parameters of nonlinear sinusoidal signals, Sharmishtha Mitra, Amit Mitra and Debasis Kundu, Communications in Nonlinear Sciences and Numerical Simulations, vol. 16 (7), July 2011, pages [36] A wavelet filtering based estimation of output gap, Sharmishtha Mitra, Vidit Maheswari & Amit Mitra, Applied Mathematics & Computations, Vol. 218 (7), pp , [37] A genetic algorithm based technique for computing nonlinear least squares estimates of parameters of sum of exponential model, Sharmishtha Mitra & Amit Mitra, Expert Systems With Applications, Volume 39 Issue 7, Pages , June [38] " Sequential estimation of two dimensional sinusoidal models", Anurag Prasad, Debasis Kundu and Amit Mitra, Journal of Probability and Statistical Sciences, vol. 10, no. 2, , August [39] " Efficient algorithm for estimating the parameters of chirp signal ", Ananya Lahiri, Debasis Kundu and Amit Mitra, Journal of Multivariate Analysis, vol. 108, 15-27, [40] Efficient algorithm for estimating the parameters of two dimensional chirp signal, Ananya Lahiri, Debasis Kundu and Amit Mitra, Sankhya, Ser. B, vol. 75, no. 1, B, 65 89, May 2013.

5 [41] On least absolute deviation estimator of one dimensional chirp model, Ananya Lahiri, Debasis Kundu and Amit Mitra, Statistics, vol. 48, no. 2, , [42] M-estimator based robust estimation of the number of components of a superimposed sinusoidal signal model, Sharmishtha Mitra and Amit Mitra, Journal of Applied Statistics, vol. 41, no.4, , [43] Estimating the parameters of multiple chirp signals, Ananya Lahiri, Debasis Kundu and Amit Mitra, Journal of Multivariate Analysis, Vol. 139, , July [44] Simultaneous estimation of number of signals and signal parameters of superimposed sinusoidal model: A robust sequential bivariate M-periodogram approach, Sharmishtha Mitra, Amit Mitra and Sanket Bose, To appear Communications in Statistics- Simulation and Computation, 2015, DOI: / [45] Consistency of M-estimators of nonlinear signal processing models, Kaushik Mahata, Amit Mitra and Sharmishtha Mitra, Statistical Methodology, Vol. 28, 2016, [46] Estimating the order of sinusoidal models using the adaptively penalized likelihood approach: Large sample consistency properties, Khushboo Surana, Sharnishtha Mitra, Amit Mitra and Petre Stoica, To appear Signal Processing, Papers in international conference proceedings [1] "Asymptotic Behavior of the Least Squares Estimators of Superimposed Exponential Signals: Main Results", Amit Mitra and Debasis Kundu, P. C. Mahalanobis Birth Centenary Volume, Edited by A. K. Datta, Published by Indian Statistical Institute, , 1993.

6 [2] Estimating DOA of signals, Nandini Kannan, Debasis Kundu and Amit Mitra, Signal Processing and Communications III, Eds. A Makur and V U Reddy, pp.63-69, [3] Neural network modelling of exchange rates, Ashok K Nag and Amit Mitra, Proceedings of Developments in Statistical Science, University of Bangalore, [4] Recent patterns of economic development in the world: an exploratory data analysis using self-organizing maps, Ashok K. Nag & Amit Mitra, Proceedings of the IASTED International Conference on Artificial Intelligence & Applications, Marbella, Spain, pp , September [5] Frequency estimation of signal processing models using genetic algorithms Amit Mitra & Debasis Kundu, Proceedings of the International Conference on Recent Advances in Statsiitcs, IIT Kanpur, January [6] Relationship between money, output and price: Revisited using wavelet filtering, Sharmishtha Mitra & Amit Mitra, Proceedings of the International Conference on Recent Advances in Statsiitcs, IIT Kanpur, January [7] Estimating the parameters of multiple chirp signals Ananya Lahiri, Debasis Kundu and Amit Mitra, 59 th World Statistics Congress (WSC) of International Statistical Institute, August, 2013.

On Two Different Signal Processing Models

On Two Different Signal Processing Models On Two Different Signal Processing Models Department of Mathematics & Statistics Indian Institute of Technology Kanpur January 15, 2015 Outline First Model 1 First Model 2 3 4 5 6 Outline First Model 1

More information

EFFICIENT ALGORITHM FOR ESTIMATING THE PARAMETERS OF CHIRP SIGNAL

EFFICIENT ALGORITHM FOR ESTIMATING THE PARAMETERS OF CHIRP SIGNAL EFFICIENT ALGORITHM FOR ESTIMATING THE PARAMETERS OF CHIRP SIGNAL ANANYA LAHIRI, & DEBASIS KUNDU,3,4 & AMIT MITRA,3 Abstract. Chirp signals play an important role in the statistical signal processing.

More information

An Efficient and Fast Algorithm for Estimating the Parameters of Two-Dimensional Sinusoidal Signals

An Efficient and Fast Algorithm for Estimating the Parameters of Two-Dimensional Sinusoidal Signals isid/ms/8/ November 6, 8 http://www.isid.ac.in/ statmath/eprints An Efficient and Fast Algorithm for Estimating the Parameters of Two-Dimensional Sinusoidal Signals Swagata Nandi Anurag Prasad Debasis

More information

Phone: (Office), (Home) Ph.D.(1989) Statistics, Pennsylvania State University

Phone: (Office), (Home) Ph.D.(1989) Statistics, Pennsylvania State University VITA Debasis Kundu Rahul and Namita Gautam Chair Professor Professor on HAG Scale Department of Mathematics and Statistics Indian Institute of Technology Kanpur PIN 208016, India Phone: 91-512-2597141

More information

Phone: (Office), (Home) Ph.D.(1989) Statistics, Pennsylvania State University

Phone: (Office), (Home) Ph.D.(1989) Statistics, Pennsylvania State University VITA Debasis Kundu Rahul and Namita Gautam Chair Professor Professor on HAG Scale Department of Mathematics and Statistics Indian Institute of Technology Kanpur PIN 208016, India Phone: 91-512-2597141

More information

Estimating the numberof signals of the damped exponential models

Estimating the numberof signals of the damped exponential models Computational Statistics & Data Analysis 36 (2001) 245 256 www.elsevier.com/locate/csda Estimating the numberof signals of the damped exponential models Debasis Kundu ;1, Amit Mitra 2 Department of Mathematics,

More information

TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad, Karim Foda, and Ethan Wu

TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad, Karim Foda, and Ethan Wu TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad, Karim Foda, and Ethan Wu Technical Appendix Methodology In our analysis, we employ a statistical procedure called Principal Component

More information

An Efficient and Fast Algorithm for Estimating the Parameters of Sinusoidal Signals

An Efficient and Fast Algorithm for Estimating the Parameters of Sinusoidal Signals An Efficient and Fast Algorithm for Estimating the Parameters of Sinusoidal Signals Swagata Nandi 1 Debasis Kundu Abstract A computationally efficient algorithm is proposed for estimating the parameters

More information

On Parameter Estimation of Two Dimensional Chirp Signal

On Parameter Estimation of Two Dimensional Chirp Signal On Parameter Estimation of Two Dimensional Chirp Signal Ananya Lahiri & Debasis Kundu, & Amit Mitra Abstract Two dimensional (-D) chirp signals occur in different areas of image processing. In this paper,

More information

TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda

TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda Technical Appendix Methodology In our analysis, we employ a statistical procedure called Principal Compon Analysis

More information

Forecasting USD/IQD Future Values According to Minimum RMSE Rate

Forecasting USD/IQD Future Values According to Minimum RMSE Rate Available Online at www.ijcsmc.com International Journal of Computer Science and Mobile Computing A Monthly Journal of Computer Science and Information Technology IJCSMC, Vol. 4, Issue. 4, April 2015,

More information

A Guide to Modern Econometric:

A Guide to Modern Econometric: A Guide to Modern Econometric: 4th edition Marno Verbeek Rotterdam School of Management, Erasmus University, Rotterdam B 379887 )WILEY A John Wiley & Sons, Ltd., Publication Contents Preface xiii 1 Introduction

More information

Testing Purchasing Power Parity Hypothesis for Azerbaijan

Testing Purchasing Power Parity Hypothesis for Azerbaijan Khazar Journal of Humanities and Social Sciences Volume 18, Number 3, 2015 Testing Purchasing Power Parity Hypothesis for Azerbaijan Seymur Agazade Recep Tayyip Erdoğan University, Turkey Introduction

More information

Estimating Periodic Signals

Estimating Periodic Signals Department of Mathematics & Statistics Indian Institute of Technology Kanpur Most of this talk has been taken from the book Statistical Signal Processing, by D. Kundu and S. Nandi. August 26, 2012 Outline

More information

ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF MULTIDIMENSIONAL EXPONENTIAL SIGNALS

ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF MULTIDIMENSIONAL EXPONENTIAL SIGNALS ASYMPTOTIC PROPERTIES OF THE LEAST SQUARES ESTIMATORS OF MULTIDIMENSIONAL EXPONENTIAL SIGNALS Debasis Kundu Department of Mathematics Indian Institute of Technology Kanpur Kanpur, Pin 20806 India Abstract:

More information

ESTIMATION OF PARAMETERS OF PARTIALLY SINUSOIDAL FREQUENCY MODEL

ESTIMATION OF PARAMETERS OF PARTIALLY SINUSOIDAL FREQUENCY MODEL 1 ESTIMATION OF PARAMETERS OF PARTIALLY SINUSOIDAL FREQUENCY MODEL SWAGATA NANDI 1 AND DEBASIS KUNDU Abstract. In this paper, we propose a modification of the multiple sinusoidal model such that periodic

More information

ECONOMICS 7200 MODERN TIME SERIES ANALYSIS Econometric Theory and Applications

ECONOMICS 7200 MODERN TIME SERIES ANALYSIS Econometric Theory and Applications ECONOMICS 7200 MODERN TIME SERIES ANALYSIS Econometric Theory and Applications Yongmiao Hong Department of Economics & Department of Statistical Sciences Cornell University Spring 2019 Time and uncertainty

More information

CHAPTER 4: DATASETS AND CRITERIA FOR ALGORITHM EVALUATION

CHAPTER 4: DATASETS AND CRITERIA FOR ALGORITHM EVALUATION CHAPTER 4: DATASETS AND CRITERIA FOR ALGORITHM EVALUATION 4.1 Overview This chapter contains the description about the data that is used in this research. In this research time series data is used. A time

More information

On Least Absolute Deviation Estimators For One Dimensional Chirp Model

On Least Absolute Deviation Estimators For One Dimensional Chirp Model On Least Absolute Deviation Estimators For One Dimensional Chirp Model Ananya Lahiri & Debasis Kundu, & Amit Mitra Abstract It is well known that the least absolute deviation (LAD) estimators are more

More information

FORECASTING. Methods and Applications. Third Edition. Spyros Makridakis. European Institute of Business Administration (INSEAD) Steven C Wheelwright

FORECASTING. Methods and Applications. Third Edition. Spyros Makridakis. European Institute of Business Administration (INSEAD) Steven C Wheelwright FORECASTING Methods and Applications Third Edition Spyros Makridakis European Institute of Business Administration (INSEAD) Steven C Wheelwright Harvard University, Graduate School of Business Administration

More information

Noise Space Decomposition Method for two dimensional sinusoidal model

Noise Space Decomposition Method for two dimensional sinusoidal model Noise Space Decomposition Method for two dimensional sinusoidal model Swagata Nandi & Debasis Kundu & Rajesh Kumar Srivastava Abstract The estimation of the parameters of the two dimensional sinusoidal

More information

APPLIED TIME SERIES ECONOMETRICS

APPLIED TIME SERIES ECONOMETRICS APPLIED TIME SERIES ECONOMETRICS Edited by HELMUT LÜTKEPOHL European University Institute, Florence MARKUS KRÄTZIG Humboldt University, Berlin CAMBRIDGE UNIVERSITY PRESS Contents Preface Notation and Abbreviations

More information

LIST OF PUBLICATIONS. 1. J.-P. Kreiss and E. Paparoditis, Bootstrap for Time Series: Theory and Applications, Springer-Verlag, New York, To appear.

LIST OF PUBLICATIONS. 1. J.-P. Kreiss and E. Paparoditis, Bootstrap for Time Series: Theory and Applications, Springer-Verlag, New York, To appear. LIST OF PUBLICATIONS BOOKS 1. J.-P. Kreiss and E. Paparoditis, Bootstrap for Time Series: Theory and Applications, Springer-Verlag, New York, To appear. JOURNAL PAPERS 61. D. Pilavakis, E. Paparoditis

More information

Time scale regression analysis of oil and interest rate on the exchange rate: a case study for the Czech Republic

Time scale regression analysis of oil and interest rate on the exchange rate: a case study for the Czech Republic International Journal of Applied Statistics and Econometrics Time scale regression analysis of oil and interest rate on the exchange rate: a case study for the Czech Republic Lukáš Frýd 1 Abstract This

More information

CHAPTER 7 CONCLUSION AND FUTURE WORK

CHAPTER 7 CONCLUSION AND FUTURE WORK 159 CHAPTER 7 CONCLUSION AND FUTURE WORK 7.1 INTRODUCTION Nonlinear time series analysis is an important area of research in all fields of science and engineering. It is an important component of operations

More information

Asymptotic of Approximate Least Squares Estimators of Parameters Two-Dimensional Chirp Signal

Asymptotic of Approximate Least Squares Estimators of Parameters Two-Dimensional Chirp Signal Asymptotic of Approximate Least Squares Estimators of Parameters Two-Dimensional Chirp Signal Rhythm Grover, Debasis Kundu,, and Amit Mitra Department of Mathematics, Indian Institute of Technology Kanpur,

More information

Table 01A. End of Period End of Period End of Period Period Average Period Average Period Average

Table 01A. End of Period End of Period End of Period Period Average Period Average Period Average SUMMARY EXCHANGE RATE DATA BANK OF ZAMBIA MID-RATES Table 01A Period K/USD K/GBP K/ZAR End of Period End of Period End of Period Period Average Period Average Period Average Monthly January 6.48 6.46 9.82

More information

A FUZZY NEURAL NETWORK MODEL FOR FORECASTING STOCK PRICE

A FUZZY NEURAL NETWORK MODEL FOR FORECASTING STOCK PRICE A FUZZY NEURAL NETWORK MODEL FOR FORECASTING STOCK PRICE Li Sheng Institute of intelligent information engineering Zheiang University Hangzhou, 3007, P. R. China ABSTRACT In this paper, a neural network-driven

More information

Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion

Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion Mario Cerrato*, Hyunsok Kim* and Ronald MacDonald** 1 University of Glasgow, Department of Economics, Adam Smith building.

More information

Nonlinear Characterization of Activity Dynamics in Online Collaboration Websites

Nonlinear Characterization of Activity Dynamics in Online Collaboration Websites Nonlinear Characterization of Activity Dynamics in Online Collaboration Websites Tiago Santos 1 Simon Walk 2 Denis Helic 3 1 Know-Center, Graz, Austria 2 Stanford University 3 Graz University of Technology

More information

Mean Likelihood Frequency Estimation

Mean Likelihood Frequency Estimation IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 48, NO. 7, JULY 2000 1937 Mean Likelihood Frequency Estimation Steven Kay, Fellow, IEEE, and Supratim Saha Abstract Estimation of signals with nonlinear as

More information

Applied Econometrics and International Development Vol.9-1 (2009)

Applied Econometrics and International Development Vol.9-1 (2009) FUNCTIONAL FORMS AND PPP: THE CASE OF CANADA, THE EU, JAPAN, AND THE U.K. HSING, Yu Abstract This paper applies an extended Box-Cox model to test the functional form of the purchasing power parity hypothesis

More information

A Non-Parametric Approach of Heteroskedasticity Robust Estimation of Vector-Autoregressive (VAR) Models

A Non-Parametric Approach of Heteroskedasticity Robust Estimation of Vector-Autoregressive (VAR) Models Journal of Finance and Investment Analysis, vol.1, no.1, 2012, 55-67 ISSN: 2241-0988 (print version), 2241-0996 (online) International Scientific Press, 2012 A Non-Parametric Approach of Heteroskedasticity

More information

FORECASTING OF INFLATION IN BANGLADESH USING ANN MODEL

FORECASTING OF INFLATION IN BANGLADESH USING ANN MODEL FORECASTING OF INFLATION IN BANGLADESH USING ANN MODEL Rumana Hossain Department of Physical Science School of Engineering and Computer Science Independent University, Bangladesh Shaukat Ahmed Department

More information

Has the crisis changed the monetary transmission mechanism in Albania? An application of kernel density estimation technique.

Has the crisis changed the monetary transmission mechanism in Albania? An application of kernel density estimation technique. Has the crisis changed the monetary transmission mechanism in Albania? An application of kernel density estimation technique. 6th Research Conference Central Banking under Prolonged Global Uncertainty:

More information

22/04/2014. Economic Research

22/04/2014. Economic Research 22/04/2014 Economic Research Forecasting Models for Exchange Rate Tuesday, April 22, 2014 The science of prognostics has been going through a rapid and fruitful development in the past decades, with various

More information

Markov Switching Regular Vine Copulas

Markov Switching Regular Vine Copulas Int. Statistical Inst.: Proc. 58th World Statistical Congress, 2011, Dublin (Session CPS057) p.5304 Markov Switching Regular Vine Copulas Stöber, Jakob and Czado, Claudia Lehrstuhl für Mathematische Statistik,

More information

Time Series Analysis. James D. Hamilton PRINCETON UNIVERSITY PRESS PRINCETON, NEW JERSEY

Time Series Analysis. James D. Hamilton PRINCETON UNIVERSITY PRESS PRINCETON, NEW JERSEY Time Series Analysis James D. Hamilton PRINCETON UNIVERSITY PRESS PRINCETON, NEW JERSEY PREFACE xiii 1 Difference Equations 1.1. First-Order Difference Equations 1 1.2. pth-order Difference Equations 7

More information

Parity Reversion of Absolute Purchasing Power Parity Zhi-bai ZHANG 1,a,* and Zhi-cun BIAN 2,b

Parity Reversion of Absolute Purchasing Power Parity Zhi-bai ZHANG 1,a,* and Zhi-cun BIAN 2,b 2016 3 rd International Conference on Economics and Management (ICEM 2016) ISBN: 978-1-60595-368-7 Parity Reversion of Absolute Purchasing Power Parity Zhi-bai ZHANG 1,a,* and Zhi-cun BIAN 2,b 1,2 School

More information

Predicting Time of Peak Foreign Exchange Rates. Charles Mulemi, Lucio Dery 0. ABSTRACT

Predicting Time of Peak Foreign Exchange Rates. Charles Mulemi, Lucio Dery 0. ABSTRACT Predicting Time of Peak Foreign Exchange Rates Charles Mulemi, Lucio Dery 0. ABSTRACT This paper explores various machine learning models of predicting the day foreign exchange rates peak in a given window.

More information

Department of Economics, UCSB UC Santa Barbara

Department of Economics, UCSB UC Santa Barbara Department of Economics, UCSB UC Santa Barbara Title: Past trend versus future expectation: test of exchange rate volatility Author: Sengupta, Jati K., University of California, Santa Barbara Sfeir, Raymond,

More information

An Empirical Analysis of RMB Exchange Rate changes impact on PPI of China

An Empirical Analysis of RMB Exchange Rate changes impact on PPI of China 2nd International Conference on Economics, Management Engineering and Education Technology (ICEMEET 206) An Empirical Analysis of RMB Exchange Rate changes impact on PPI of China Chao Li, a and Yonghua

More information

Modelling Ireland s exchange rates: from EMS to EMU

Modelling Ireland s exchange rates: from EMS to EMU From the SelectedWorks of Derek Bond November, 2007 Modelling Ireland s exchange rates: from EMS to EMU Derek Bond, University of Ulster Available at: https://works.bepress.com/derek_bond/15/ Background

More information

Non-linear Analysis of Shocks when Financial Markets are Subject to Changes in Regime

Non-linear Analysis of Shocks when Financial Markets are Subject to Changes in Regime Non-linear Analysis of Shocks when Financial Markets are Subject to Changes in Regime M.Olteanu, J.Rynkiewicz, B.Maillet SAMOS - MATISSE TEAM 90 Rue de Tolbiac Maison des Sciences Economiques 75013 Paris

More information

Forecasting of Dow Jones Industrial Average by Using Wavelet Fuzzy Time Series and ARIMA

Forecasting of Dow Jones Industrial Average by Using Wavelet Fuzzy Time Series and ARIMA Forecasting of Dow Jones Industrial Average by Using Wavelet Fuzzy Time Series and ARIMA Muhamad Rifki Taufik 1, Lim Apiradee 2, Phatrawan Tongkumchum 3, Nureen Dureh 4 1,2,3,4 Research Methodology, Math

More information

Time Series Analysis. James D. Hamilton PRINCETON UNIVERSITY PRESS PRINCETON, NEW JERSEY

Time Series Analysis. James D. Hamilton PRINCETON UNIVERSITY PRESS PRINCETON, NEW JERSEY Time Series Analysis James D. Hamilton PRINCETON UNIVERSITY PRESS PRINCETON, NEW JERSEY & Contents PREFACE xiii 1 1.1. 1.2. Difference Equations First-Order Difference Equations 1 /?th-order Difference

More information

Evolutionary Functional Link Interval Type-2 Fuzzy Neural System for Exchange Rate Prediction

Evolutionary Functional Link Interval Type-2 Fuzzy Neural System for Exchange Rate Prediction Evolutionary Functional Link Interval Type-2 Fuzzy Neural System for Exchange Rate Prediction 3. Introduction Currency exchange rate is an important element in international finance. It is one of the chaotic,

More information

Szilárd MADARAS, 1 Lehel GYÖRFY 2 1. Introduction. DOI: /auseb

Szilárd MADARAS, 1 Lehel GYÖRFY 2 1. Introduction. DOI: /auseb Acta Univ. Sapientiae, Economics and Business, 4 (2016) 33 41 DOI: 10.1515/auseb-2016-0002 Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding

More information

176 Index. G Gradient, 4, 17, 22, 24, 42, 44, 45, 51, 52, 55, 56

176 Index. G Gradient, 4, 17, 22, 24, 42, 44, 45, 51, 52, 55, 56 References Aljandali, A. (2014). Exchange rate forecasting: Regional applications to ASEAN, CACM, MERCOSUR and SADC countries. Unpublished PhD thesis, London Metropolitan University, London. Aljandali,

More information

COPYRIGHTED MATERIAL CONTENTS. Preface Preface to the First Edition

COPYRIGHTED MATERIAL CONTENTS. Preface Preface to the First Edition Preface Preface to the First Edition xi xiii 1 Basic Probability Theory 1 1.1 Introduction 1 1.2 Sample Spaces and Events 3 1.3 The Axioms of Probability 7 1.4 Finite Sample Spaces and Combinatorics 15

More information

Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Inference in VARs with Conditional Heteroskedasticity of Unknown Form Inference in VARs with Conditional Heteroskedasticity of Unknown Form Ralf Brüggemann a Carsten Jentsch b Carsten Trenkler c University of Konstanz University of Mannheim University of Mannheim IAB Nuremberg

More information

THE APPLICATION OF GREY SYSTEM THEORY TO EXCHANGE RATE PREDICTION IN THE POST-CRISIS ERA

THE APPLICATION OF GREY SYSTEM THEORY TO EXCHANGE RATE PREDICTION IN THE POST-CRISIS ERA International Journal of Innovative Management, Information & Production ISME Internationalc20 ISSN 285-5439 Volume 2, Number 2, December 20 PP. 83-89 THE APPLICATION OF GREY SYSTEM THEORY TO EXCHANGE

More information

Time Series: Theory and Methods

Time Series: Theory and Methods Peter J. Brockwell Richard A. Davis Time Series: Theory and Methods Second Edition With 124 Illustrations Springer Contents Preface to the Second Edition Preface to the First Edition vn ix CHAPTER 1 Stationary

More information

Quantitative Finance II Lecture 10

Quantitative Finance II Lecture 10 Quantitative Finance II Lecture 10 Wavelets III - Applications Lukas Vacha IES FSV UK May 2016 Outline Discrete wavelet transformations: MODWT Wavelet coherence: daily financial data FTSE, DAX, PX Wavelet

More information

Arma-Arch Modeling Of The Returns Of First Bank Of Nigeria

Arma-Arch Modeling Of The Returns Of First Bank Of Nigeria Arma-Arch Modeling Of The Returns Of First Bank Of Nigeria Emmanuel Alphonsus Akpan Imoh Udo Moffat Department of Mathematics and Statistics University of Uyo, Nigeria Ntiedo Bassey Ekpo Department of

More information

A Wavelet Neural Network Forecasting Model Based On ARIMA

A Wavelet Neural Network Forecasting Model Based On ARIMA A Wavelet Neural Network Forecasting Model Based On ARIMA Wang Bin*, Hao Wen-ning, Chen Gang, He Deng-chao, Feng Bo PLA University of Science &Technology Nanjing 210007, China e-mail:lgdwangbin@163.com

More information

SHORT TERM LOAD FORECASTING

SHORT TERM LOAD FORECASTING Indian Institute of Technology Kanpur (IITK) and Indian Energy Exchange (IEX) are delighted to announce Training Program on "Power Procurement Strategy and Power Exchanges" 28-30 July, 2014 SHORT TERM

More information

CURRICULUM VITAE. December Robert M. de Jong Tel: (614) Ohio State University Fax: (614)

CURRICULUM VITAE. December Robert M. de Jong Tel: (614) Ohio State University Fax: (614) CURRICULUM VITAE December 2011 Robert M. de Jong Tel: (614) 292-2051 Ohio State University Fax: (614) 292-3906 Department of Economics Email: de-jong.8@osu.edu 444 Arps Hall Columbus, Ohio 43210, USA PERSONAL

More information

A Comparison of Business Cycle Regime Nowcasting Performance between Real-time and Revised Data. By Arabinda Basistha (West Virginia University)

A Comparison of Business Cycle Regime Nowcasting Performance between Real-time and Revised Data. By Arabinda Basistha (West Virginia University) A Comparison of Business Cycle Regime Nowcasting Performance between Real-time and Revised Data By Arabinda Basistha (West Virginia University) This version: 2.7.8 Markov-switching models used for nowcasting

More information

International Symposium on Mathematical Sciences & Computing Research (ismsc) 2015 (ismsc 15)

International Symposium on Mathematical Sciences & Computing Research (ismsc) 2015 (ismsc 15) Model Performance Between Linear Vector Autoregressive and Markov Switching Vector Autoregressive Models on Modelling Structural Change in Time Series Data Phoong Seuk Wai Department of Economics Facultyof

More information

EVALUATING SYMMETRIC INFORMATION GAP BETWEEN DYNAMICAL SYSTEMS USING PARTICLE FILTER

EVALUATING SYMMETRIC INFORMATION GAP BETWEEN DYNAMICAL SYSTEMS USING PARTICLE FILTER EVALUATING SYMMETRIC INFORMATION GAP BETWEEN DYNAMICAL SYSTEMS USING PARTICLE FILTER Zhen Zhen 1, Jun Young Lee 2, and Abdus Saboor 3 1 Mingde College, Guizhou University, China zhenz2000@21cn.com 2 Department

More information

PARAMETER ESTIMATION OF CHIRP SIGNALS IN PRESENCE OF STATIONARY NOISE

PARAMETER ESTIMATION OF CHIRP SIGNALS IN PRESENCE OF STATIONARY NOISE Statistica Sinica 8(008), 87-0 PARAMETER ESTIMATION OF CHIRP SIGNALS IN PRESENCE OF STATIONARY NOISE Debasis Kundu and Swagata Nandi Indian Institute of Technology, Kanpur and Indian Statistical Institute

More information

Supplementary Information: Quantifying Trading Behavior in Financial Markets Using Google Trends

Supplementary Information: Quantifying Trading Behavior in Financial Markets Using Google Trends TITLE Supplementary Information: Quantifying Trading Behavior in Financial Markets Using Google Trends AUTHORS AND AFFILIATIONS Tobias Preis 1#*, Helen Susannah Moat 2,3#, and H. Eugene Stanley 2# 1 Warwick

More information

Analysis of Violent Crime in Los Angeles County

Analysis of Violent Crime in Los Angeles County Analysis of Violent Crime in Los Angeles County Xiaohong Huang UID: 004693375 March 20, 2017 Abstract Violent crime can have a negative impact to the victims and the neighborhoods. It can affect people

More information

A Course in Time Series Analysis

A Course in Time Series Analysis A Course in Time Series Analysis Edited by DANIEL PENA Universidad Carlos III de Madrid GEORGE C. TIAO University of Chicago RUEY S. TSAY University of Chicago A Wiley-Interscience Publication JOHN WILEY

More information

Forecasting: Methods and Applications

Forecasting: Methods and Applications Neapolis University HEPHAESTUS Repository School of Economic Sciences and Business http://hephaestus.nup.ac.cy Books 1998 Forecasting: Methods and Applications Makridakis, Spyros John Wiley & Sons, Inc.

More information

Introduction to Forecasting

Introduction to Forecasting Introduction to Forecasting Introduction to Forecasting Predicting the future Not an exact science but instead consists of a set of statistical tools and techniques that are supported by human judgment

More information

PARAMETER ESTIMATION OF CHIRP SIGNALS IN PRESENCE OF STATIONARY NOISE

PARAMETER ESTIMATION OF CHIRP SIGNALS IN PRESENCE OF STATIONARY NOISE PARAMETER ESTIMATION OF CHIRP SIGNALS IN PRESENCE OF STATIONARY NOISE DEBASIS KUNDU AND SWAGATA NANDI Abstract. The problem of parameter estimation of the chirp signals in presence of stationary noise

More information

Forecasting Using Time Series Models

Forecasting Using Time Series Models Forecasting Using Time Series Models Dr. J Katyayani 1, M Jahnavi 2 Pothugunta Krishna Prasad 3 1 Professor, Department of MBA, SPMVV, Tirupati, India 2 Assistant Professor, Koshys Institute of Management

More information

MODWT Based Time Scale Decomposition Analysis. of BSE and NSE Indexes Financial Time Series

MODWT Based Time Scale Decomposition Analysis. of BSE and NSE Indexes Financial Time Series Int. Journal of Math. Analysis, Vol. 5, 211, no. 27, 1343-1352 MODWT Based Time Scale Decomposition Analysis of BSE and NSE Indexes Financial Time Series Anu Kumar 1* and Loesh K. Joshi 2 Department of

More information

Observed Brain Dynamics

Observed Brain Dynamics Observed Brain Dynamics Partha P. Mitra Hemant Bokil OXTORD UNIVERSITY PRESS 2008 \ PART I Conceptual Background 1 1 Why Study Brain Dynamics? 3 1.1 Why Dynamics? An Active Perspective 3 Vi Qimnü^iQ^Dv.aamics'v

More information

Efficient Forecasting of Exchange rates with Recurrent FLANN

Efficient Forecasting of Exchange rates with Recurrent FLANN IOSR Journal of Computer Engineering (IOSR-JCE) e-issn: 2278-0661, p- ISSN: 2278-8727Volume 13, Issue 6 (Jul. - Aug. 2013), PP 21-28 Efficient Forecasting of Exchange rates with Recurrent FLANN 1 Ait Kumar

More information

TIME SERIES ANALYSIS. Forecasting and Control. Wiley. Fifth Edition GWILYM M. JENKINS GEORGE E. P. BOX GREGORY C. REINSEL GRETA M.

TIME SERIES ANALYSIS. Forecasting and Control. Wiley. Fifth Edition GWILYM M. JENKINS GEORGE E. P. BOX GREGORY C. REINSEL GRETA M. TIME SERIES ANALYSIS Forecasting and Control Fifth Edition GEORGE E. P. BOX GWILYM M. JENKINS GREGORY C. REINSEL GRETA M. LJUNG Wiley CONTENTS PREFACE TO THE FIFTH EDITION PREFACE TO THE FOURTH EDITION

More information

619. MANJUL GUPTA AND ANEESH MUNDAYADAN, Banach J. Math. Anal., q- FREQUENTLY HYPERCYCLIC OPERATORS, 2015, 9(2),

619. MANJUL GUPTA AND ANEESH MUNDAYADAN, Banach J. Math. Anal., q- FREQUENTLY HYPERCYCLIC OPERATORS, 2015, 9(2), Annual Report 2014-15 619. MANJUL GUPTA AND ANEESH MUNDAYADAN, Banach J. Math. Anal., q- FREQUENTLY HYPERCYCLIC OPERATORS, 2015, 9(2),114-126 620. Gupta Manjul & Bhar Antara, Mathematica Slovaca, Generalized

More information

CHAOS THEORY AND EXCHANGE RATE PROBLEM

CHAOS THEORY AND EXCHANGE RATE PROBLEM CHAOS THEORY AND EXCHANGE RATE PROBLEM Yrd. Doç. Dr TURHAN KARAGULER Beykent Universitesi, Yönetim Bilişim Sistemleri Bölümü 34900 Büyükçekmece- Istanbul Tel.: (212) 872 6437 Fax: (212)8722489 e-mail:

More information

Analysis of Interest Rate Curves Clustering Using Self-Organising Maps

Analysis of Interest Rate Curves Clustering Using Self-Organising Maps Analysis of Interest Rate Curves Clustering Using Self-Organising Maps M. Kanevski (1), V. Timonin (1), A. Pozdnoukhov(1), M. Maignan (1,2) (1) Institute of Geomatics and Analysis of Risk (IGAR), University

More information

Influence of knn-based Load Forecasting Errors on Optimal Energy Production

Influence of knn-based Load Forecasting Errors on Optimal Energy Production Influence of knn-based Load Forecasting Errors on Optimal Energy Production Alicia Troncoso Lora 1, José C. Riquelme 1, José Luís Martínez Ramos 2, Jesús M. Riquelme Santos 2, and Antonio Gómez Expósito

More information

From Practical Data Analysis with JMP, Second Edition. Full book available for purchase here. About This Book... xiii About The Author...

From Practical Data Analysis with JMP, Second Edition. Full book available for purchase here. About This Book... xiii About The Author... From Practical Data Analysis with JMP, Second Edition. Full book available for purchase here. Contents About This Book... xiii About The Author... xxiii Chapter 1 Getting Started: Data Analysis with JMP...

More information

Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions

Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions James Morley 1 Benjamin Wong 2 1 University of Sydney 2 Reserve Bank of New Zealand The view do not necessarily represent

More information

Time Series Analysis of Currency in Circulation in Nigeria

Time Series Analysis of Currency in Circulation in Nigeria ISSN -3 (Paper) ISSN 5-091 (Online) Time Series Analysis of Currency in Circulation in Nigeria Omekara C.O Okereke O.E. Ire K.I. Irokwe O. Department of Statistics, Michael Okpara University of Agriculture

More information

Empirical properties of large covariance matrices in finance

Empirical properties of large covariance matrices in finance Empirical properties of large covariance matrices in finance Ex: RiskMetrics Group, Geneva Since 2010: Swissquote, Gland December 2009 Covariance and large random matrices Many problems in finance require

More information

Exchange rates expectations and chaotic dynamics: a replication study

Exchange rates expectations and chaotic dynamics: a replication study Discussion Paper No. 2018-34 April 19, 2018 http://www.economics-ejournal.org/economics/discussionpapers/2018-34 Exchange rates expectations and chaotic dynamics: a replication study Jorge Belaire-Franch

More information

Purchasing power parity over two centuries: strengthening the case for real exchange rate stability A reply to Cuddington and Liang

Purchasing power parity over two centuries: strengthening the case for real exchange rate stability A reply to Cuddington and Liang Journal of International Money and Finance 19 (2000) 759 764 www.elsevier.nl/locate/econbase Purchasing power parity over two centuries: strengthening the case for real exchange rate stability A reply

More information

Econ 423 Lecture Notes: Additional Topics in Time Series 1

Econ 423 Lecture Notes: Additional Topics in Time Series 1 Econ 423 Lecture Notes: Additional Topics in Time Series 1 John C. Chao April 25, 2017 1 These notes are based in large part on Chapter 16 of Stock and Watson (2011). They are for instructional purposes

More information

Forecasting Foreign Direct Investment Inflows into India Using ARIMA Model

Forecasting Foreign Direct Investment Inflows into India Using ARIMA Model Forecasting Foreign Direct Investment Inflows into India Using ARIMA Model Dr.K.Nithya Kala & Aruna.P.Remesh, 1 Assistant Professor, PSGR Krishnammal College for Women, Coimbatore, Tamilnadu, India 2 PhD

More information

The Econometric Analysis of Mixed Frequency Data with Macro/Finance Applications

The Econometric Analysis of Mixed Frequency Data with Macro/Finance Applications The Econometric Analysis of Mixed Frequency Data with Macro/Finance Applications Instructor: Eric Ghysels Structure of Course It is easy to collect and store large data sets, particularly of financial

More information

Do Markov-Switching Models Capture Nonlinearities in the Data? Tests using Nonparametric Methods

Do Markov-Switching Models Capture Nonlinearities in the Data? Tests using Nonparametric Methods Do Markov-Switching Models Capture Nonlinearities in the Data? Tests using Nonparametric Methods Robert V. Breunig Centre for Economic Policy Research, Research School of Social Sciences and School of

More information

Multivariate Time Series Analysis and Its Applications [Tsay (2005), chapter 8]

Multivariate Time Series Analysis and Its Applications [Tsay (2005), chapter 8] 1 Multivariate Time Series Analysis and Its Applications [Tsay (2005), chapter 8] Insights: Price movements in one market can spread easily and instantly to another market [economic globalization and internet

More information

Wavelets based multiscale analysis of select global equity returns

Wavelets based multiscale analysis of select global equity returns Theoretical and Applied Economics Volume XXIV (2017), No. 4(613), Winter, pp. 75-88 Wavelets based multiscale analysis of select global equity returns Avishek BHANDARI Institute of Management Technology,

More information

Comovement of East and West Stock Market Indexes

Comovement of East and West Stock Market Indexes MPRA Munich Personal RePEc Archive Comovement of East and West Stock Market Indexes Yuzlizawati Yusoff and Mansur Masih INCEIF, Malaysia, INCEIF, Malaysia 28. August 2014 Online at http://mpra.ub.uni-muenchen.de/58872/

More information

An economic application of machine learning: Nowcasting Thai exports using global financial market data and time-lag lasso

An economic application of machine learning: Nowcasting Thai exports using global financial market data and time-lag lasso An economic application of machine learning: Nowcasting Thai exports using global financial market data and time-lag lasso PIER Exchange Nov. 17, 2016 Thammarak Moenjak What is machine learning? Wikipedia

More information

arxiv: v4 [stat.co] 18 Mar 2018

arxiv: v4 [stat.co] 18 Mar 2018 An EM algorithm for absolute continuous bivariate Pareto distribution Arabin Kumar Dey, Biplab Paul and Debasis Kundu arxiv:1608.02199v4 [stat.co] 18 Mar 2018 Abstract: Recently [3] used EM algorithm to

More information

Syllabus for Entrance Exam Class XI Session PCM

Syllabus for Entrance Exam Class XI Session PCM PCM Jumbled Sentences Transformation of Sentences / Editing Science: Unit I: Chemical Substances - Nature and Behaviour Chemical reactions Acids, bases and salts Metals and non metals Carbon compounds

More information

Amplitude Modulated Model For Analyzing Non Stationary Speech Signals

Amplitude Modulated Model For Analyzing Non Stationary Speech Signals Amplitude Modulated Model For Analyzing on Stationary Speech Signals Swagata andi, Debasis Kundu and Srikanth K. Iyer Institut für Angewandte Mathematik Ruprecht-Karls-Universität Heidelberg Im euenheimer

More information

Multivariate forecasting with VAR models

Multivariate forecasting with VAR models Multivariate forecasting with VAR models Franz Eigner University of Vienna UK Econometric Forecasting Prof. Robert Kunst 16th June 2009 Overview Vector autoregressive model univariate forecasting multivariate

More information

The PPP Hypothesis Revisited

The PPP Hypothesis Revisited 1288 Discussion Papers Deutsches Institut für Wirtschaftsforschung 2013 The PPP Hypothesis Revisited Evidence Using a Multivariate Long-Memory Model Guglielmo Maria Caporale, Luis A.Gil-Alana and Yuliya

More information

Online Appendix to The Political Economy of the U.S. Mortgage Default Crisis Not For Publication

Online Appendix to The Political Economy of the U.S. Mortgage Default Crisis Not For Publication Online Appendix to The Political Economy of the U.S. Mortgage Default Crisis Not For Publication 1 Robustness of Constituent Interest Result Table OA1 shows that the e ect of mortgage default rates on

More information

Department of Mathematics, Indian Institute of Technology, Kanpur

Department of Mathematics, Indian Institute of Technology, Kanpur This article was downloaded by: [SENACYT Consortium - trial account] On: 24 November 2009 Access details: Access Details: [subscription number 910290633] Publisher Taylor & Francis Informa Ltd Registered

More information

Performance of the 2shi Estimator Under the Generalised Pitman Nearness Criterion

Performance of the 2shi Estimator Under the Generalised Pitman Nearness Criterion University of Wollongong Research Online Faculty of Business - Economics Working Papers Faculty of Business 1999 Performance of the 2shi Estimator Under the Generalised Pitman Nearness Criterion T. V.

More information

AMASES Lista delle riviste ritenute di interesse per la ricerca nell'ambito della Matematica Applicata alle Scienze Economiche e Sociali

AMASES Lista delle riviste ritenute di interesse per la ricerca nell'ambito della Matematica Applicata alle Scienze Economiche e Sociali AMASES Lista delle riviste ritenute di interesse per la ricerca nell'ambito della Matematica Applicata alle Scienze Economiche e Sociali 24 Gennaio 2010 ISI SCIMAGOJR Mathscinet Zentralblatt Econlit 4OR

More information