Changing Time Series

Abstract

The statistical analysis of time series data is a challenging and fascinating topic. Much has appeared in the statistical and engineering literature concerning time series analysis, however very few people have attempted the Bayesian approach, but this approach by the principal investigator has been quite successful. Virtually nothing from the Bayesian paradigm had been until the principal investigator began to investigate this area in the early 1980's. The motivation for using the Bayesian method was to eliminate some of the problems left unresolved by the Box-Jenkins approach. The objectives of the proposed research were quite ambitions because the Bayesian methods of analyzing non-changing time series (such as with the ARMA process) had not been tried, thus the first order of business was to try a Bayesian solution on ARMA processes. Later, processes the time changing parameters were analyzed, thus satisfying the objectives of the proposed research.

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Document Details

Document Type
Technical Report
Publication Date
Aug 26, 1986
Accession Number
ADA178030

Entities

People

  • Lyle Broemeling

Organizations

  • Oklahoma State University–Stillwater

Tags

DTIC Thesaurus Topics

  • Bayes Theorem
  • Bayesian Inference
  • Bayesian Networks
  • Control Systems
  • Data Science
  • Delphi Method
  • Econometrics
  • Engineering
  • Information Science
  • Models
  • New York
  • Sequential Analysis
  • Statistical Analysis
  • Statistics
  • Time Domain
  • Time Series Analysis

Readers

  • Statistical inference.
  • Systems Analysis and Design
  • Technical Research and Report Writing.

Technology Areas

  • AI & ML
  • AI & ML - Bayesian Inference