Test statistics are proposed to determine the goodness of t of a time series model. The test statistics are based on a sequence of random variables that are independent and standard normal if the model is correct. The paper shows how to compute eeciently this sequence of random variables using a combination of Markov chain Monte Carlo and importance sampling. The power of the test statistics to...

Continuous, wherein observations are made at every instant of time, for example electrocardiograms, lie detectors, etc. A continuous time series can be denoted as [x(t)]. Continuous time series are sampled (measured) at discrete time points and are ultimately treated as discrete series. Discrete, wherein observations are made at (usually) equispaced intervals. A discrete time series can be repr...

In order to develop fast and robust methods for extracting qualitative information from non-linear time series, Bandt and Pompe have proposed to consider time series from the pure ordinal viewpoint. On the base of counting ordinal patterns, which describe the up-and-down in a time series, they have introduced the concept of permutation entropy for quantifying the complexity of a system behind a...

As with most computer science problems, representation of the data is the key to ecient and eective solutions. Piecewise linear representation has been used for the representation of the data. This representation has been used by various researchers to support clustering, classication, indexing and association rule mining of time series data. A variety of algorithms have been proposed to obtain...

the program menyanthes combines a variety of functions for managing, editing, visualizing, analyzing, and modeling hydrogeologic time series. the primary aim of the software is the integration of data-driven and physics-based methods for modeling time series of groundwater heads. within menyanthes, time series can be modeled using both the arma and pirfict methods. the pirfict method is a new m...

Abstract In the factor analysis model with large cross-section and time-series dimensions ,we propose a new method to estimate the number of factors . Specially if the idiosyncratic terms satisfy a linear time series model, the estimators of the parameters in the time series model can be made . The theoretical properties of the estimators are also explored.A simulation study and an empirical an...