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Multivariate autoregressive modular processes
Descriptive
TypeOfResource
Text
TitleInfo
(ID = T-1)
Title
Multivariate autoregressive modular processes
Identifier
ETD_2454
Identifier
(type = hdl)
http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000053224
Language
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(type = code)
eng
Genre
(authority = marcgt)
theses
Subject
(ID = SBJ-1);
(authority = RUETD)
Topic
Operations Research
Subject
(ID = SBJ-2);
(authority = ETD-LCSH)
Topic
Multivariate analysis
Subject
(ID = SBJ-3);
(authority = ETD-LCSH)
Topic
Stochastic processes
Abstract
(type = abstract)
This thesis defines a new class of vector-valued stochastic processes, called MARM (Multivariate Autoregressive Modular) Processes. It describes the construction of two flavors of MARM processes, MARM+ and MARM−, studies the statistics of MARM processes (transition structure and second order statistics), and devises MARM-based fitting and forecasting algorithms providing point estimators and confidence intervals. The key advantage of MARM processes is their ability to fit a strong statistical signature consisting of empirical first-order and second-order statistics simultaneously. More precisely, MARM processes exactly fit arbitrary multi-dimensional empirical histograms and approximately fit the leading empirical autocorrelations and cross-correlations functions. This ability appears to make the MARM modeling methodology unique in its goal of fitting a model to such a class of strong statistical signatures. Furthermore, the thesis proposes practical MARM modeling and forecasting methodologies of considerable generality, suitable for implementation on a computer. We demonstrate the efficacy of these methodologies with an example of a three-dimension time series vector, using a software environment, called MultiArmLab, which supports MARM modeling and forecasting.
PhysicalDescription
Form
(authority = gmd)
electronic resource
Extent
ix, 151 p. : ill.
InternetMediaType
application/pdf
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text/xml
Note
(type = degree)
Ph.D.
Note
Includes abstract
Note
Vita
Note
(type = bibliography)
Includes bibliographical references
Note
(type = statement of responsibility)
by Xiang Zhao
Name
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Zhao
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Xiang
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1979-
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author
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XIANG ZHAO
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Ben-Israel
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Adi
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chair
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Advisory Committee
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ADI BEN-ISRAEL
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Prékopa
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András
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internal member
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Advisory Committee
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András Prékopa
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(type = family)
Boros
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Endre
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Advisory Committee
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Endre Boros
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(type = family)
Melamed
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Benjamin
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internal member
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Benjamin Melamed
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Wardi
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Yorai
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outside member
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Advisory Committee
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Yorai Wardi
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NamePart
Rutgers University
Role
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degree grantor
Name
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NamePart
Graduate School - New Brunswick
Role
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(authority = RULIB)
school
OriginInfo
DateCreated
(qualifier = exact)
2010
DateOther
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(type = degree)
2010
Place
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xx
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
(type = RULIB)
ETD
RelatedItem
(type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier
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rucore19991600001
Location
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NjNbRU
Identifier
(type = doi)
doi:10.7282/T3D21XP1
Genre
(authority = ExL-Esploro)
ETD doctoral
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Rights
RightsDeclaration
(AUTHORITY = GS);
(ID = rulibRdec0006)
The author owns the copyright to this work.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
RightsHolder
(ID = PRH-1);
(type = personal)
Name
FamilyName
ZHAO
GivenName
XIANG
Role
Copyright Holder
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Type
Permission or license
DateTime
2010-02-04 13:27:05
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Name
XIANG ZHAO
Affiliation
Rutgers University. Graduate School - New Brunswick
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Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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Technical
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ETD
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application/pdf
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application/x-tar
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3747840
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Statistical Profile