TY - BOOK
A1 - Falk, Michael
A1 - Marohn, Frank
A1 - Michel, René
A1 - Hofmann, Daniel
A1 - Macke, Maria
A1 - Tewes, Bernward
A1 - Dinges, Peter
T1 - A First Course on Time Series Analysis : Examples with SAS
N2 - The analysis of real data by means of statistical methods with the aid of a software package common in industry and administration usually is not an integral part of mathematics studies, but it will certainly be part of a future professional work. The present book links up elements from time series analysis with a selection of statistical procedures used in general practice including the statistical software package SAS Statistical Analysis System). Consequently this book addresses students of statistics as well as students of other branches such as economics, demography and engineering, where lectures on statistics belong to their academic training. But it is also intended for the practician who, beyond the use of statistical tools, is interested in their mathematical background. Numerous problems illustrate the applicability of the presented statistical procedures, where SAS gives the solutions. The programs used are explicitly listed and explained. No previous experience is expected neither in SAS nor in a special computer system so that a short training period is guaranteed. This book is meant for a two semester course (lecture, seminar or practical training) where the first two chapters can be dealt with in the first semester. They provide the principal components of the analysis of a time series in the time domain. Chapters 3, 4 and 5 deal with its analysis in the frequency domain and can be worked through in the second term. In order to understand the mathematical background some terms are useful such as convergence in distribution, stochastic convergence, maximum likelihood estimator as well as a basic knowledge of the test theory, so that work on the book can start after an introductory lecture on stochastics. Each chapter includes exercises. An exhaustive treatment is recommended. This book is consecutively subdivided in a statistical part and an SAS-specific part. For better clearness the SAS-specific part, including the diagrams generated with SAS, always starts with a computer symbol, representing the beginning of a session at the computer, and ends with a printer symbol for the end of this session. This book is an open source project under the GNU Free Documentation License.
KW - Zeitreihenanalyse
KW - SAS
KW - Zeitreihenanalyse
KW - SAS
KW - Time series analyses
KW - SAS
Y1 - 2005
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-12593
ER -
TY - BOOK
A1 - Falk, Michael
A1 - Marohn, Frank
A1 - Michel, René
A1 - Hofmann, Daniel
A1 - Macke, Maria
A1 - Tewes, Bernward
A1 - Dinges, Peter
T1 - A First Course on Time Series Analysis : Examples with SAS
N2 - The analysis of real data by means of statistical methods with the aid of a software package common in industry and administration usually is not an integral part of mathematics studies, but it will certainly be part of a future professional work. The present book links up elements from time series analysis with a selection of statistical procedures used in general practice including the statistical software package SAS Statistical Analysis System). Consequently this book addresses students of statistics as well as students of other branches such as economics, demography and engineering, where lectures on statistics belong to their academic training. But it is also intended for the practician who, beyond the use of statistical tools, is interested in their mathematical background. Numerous problems illustrate the applicability of the presented statistical procedures, where SAS gives the solutions. The programs used are explicitly listed and explained. No previous experience is expected neither in SAS nor in a special computer system so that a short training period is guaranteed. This book is meant for a two semester course (lecture, seminar or practical training) where the first two chapters can be dealt with in the first semester. They provide the principal components of the analysis of a time series in the time domain. Chapters 3, 4 and 5 deal with its analysis in the frequency domain and can be worked through in the second term. In order to understand the mathematical background some terms are useful such as convergence in distribution, stochastic convergence, maximum likelihood estimator as well as a basic knowledge of the test theory, so that work on the book can start after an introductory lecture on stochastics. Each chapter includes exercises. An exhaustive treatment is recommended. This book is consecutively subdivided in a statistical part and an SAS-specific part. For better clearness the SAS-specific part, including the diagrams generated with SAS, always starts with a computer symbol, representing the beginning of a session at the computer, and ends with a printer symbol for the end of this session. This book is an open source project under the GNU Free Documentation License.
KW - Zeitreihenanalyse
KW - SAS
KW - Zeitreihenanalyse
KW - SAS
KW - Time series analyses
KW - SAS
Y1 - 2006
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-16919
ER -
TY - BOOK
A1 - Falk, Michael
A1 - Marohn, Frank
A1 - Michel, René
A1 - Hofmann, Daniel
A1 - Macke, Maria
A1 - Spachmann, Christoph
A1 - Englert, Stefan
T1 - A First Course on Time Series Analysis : Examples with SAS [Version 2012.August.01]
N2 - The analysis of real data by means of statistical methods with the aid of a software package common in industry and administration usually is not an integral part of mathematics studies, but it will certainly be part of a future professional work. The present book links up elements from time series analysis with a selection of statistical procedures used in general practice including the statistical software package SAS. Consequently this book addresses students of statistics as well as students of other branches such as economics, demography and engineering, where lectures on statistics belong to their academic training. But it is also intended for the practician who, beyond the use of statistical tools, is interested in their mathematical background. Numerous problems illustrate the applicability of the presented statistical procedures, where SAS gives the solutions. The programs used are explicitly listed and explained. No previous experience is expected neither in SAS nor in a special computer system so that a short training period is guaranteed. This book is meant for a two semester course (lecture, seminar or practical training) where the first three chapters can be dealt within the first semester. They provide the principal components of the analysis of a time series in the time domain. Chapters 4, 5 and 6 deal with its analysis in the frequency domain and can be worked through in the second term. In order to understand the mathematical background some terms are useful such as convergence in distribution, stochastic convergence, maximum likelihood estimator as well as a basic knowledge of the test theory, so that work on the book can start after an introductory lecture on stochastics. Each chapter includes exercises. An exhaustive treatment is recommended. Chapter 7 (case study) deals with a practical case and demonstrates the presented methods. It is possible to use this chapter independent in a seminar or practical training course, if the concepts of time series analysis are already well understood. This book is consecutively subdivided in a statistical part and an SAS-specific part. For better clearness the SAS-specific parts are highlighted. This book is an open source project under the GNU Free Documentation License.
KW - Zeitreihenanalyse
KW - Box-Jenkins-Verfahren
KW - SAS
KW - Zustandsraummodelle
KW - Time Series Analysis
KW - State-Space Models
KW - Frequency Domain
KW - Box–Jenkins Program
Y1 - 2012
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-72617
N1 - Version: 2012-August-01
ER -
TY - BOOK
A1 - Falk, Michael
A1 - Marohn, Frank
A1 - Michel, René
A1 - Hofmann, Daniel
A1 - Macke, Maria
A1 - Tewes, Bernward
A1 - Dinges, Peter
A1 - Spachmann, Christoph
A1 - Englert, Stefan
T1 - A First Course on Time Series Analysis : Examples with SAS
N2 - The analysis of real data by means of statistical methods with the aid of a software package common in industry and administration usually is not an integral part of mathematics studies, but it will certainly be part of a future professional work. The present book links up elements from time series analysis with a selection of statistical procedures used in general practice including the statistical software package SAS. Consequently this book addresses students of statistics as well as students of other branches such as economics, demography and engineering, where lectures on statistics belong to their academic training. But it is also intended for the practician who, beyond the use of statistical tools, is interested in their mathematical background. Numerous problems illustrate the applicability of the presented statistical procedures, where SAS gives the solutions. The programs used are explicitly listed and explained. No previous experience is expected neither in SAS nor in a special computer system so that a short training period is guaranteed. This book is meant for a two semester course (lecture, seminar or practical training) where the first three chapters can be dealt within the first semester. They provide the principal components of the analysis of a time series in the time domain. Chapters 4, 5 and 6 deal with its analysis in the frequency domain and can be worked through in the second term. In order to understand the mathematical background some terms are useful such as convergence in distribution, stochastic convergence, maximum likelihood estimator as well as a basic knowledge of the test theory, so that work on the book can start after an introductory lecture on stochastics. Each chapter includes exercises. An exhaustive treatment is recommended. Chapter 7 (case study) deals with a practical case and demonstrates the presented methods. It is possible to use this chapter independent in a seminar or practical training course, if the concepts of time series analysis are already well understood. This book is consecutively subdivided in a statistical part and an SAS-specific part. For better clearness the SAS-specific parts are highlighted. This book is an open source project under the GNU Free Documentation License.
KW - Zeitreihenanalyse
KW - Box-Jenkins-Verfahren
KW - SAS
KW - Zustandsraummodelle
KW - Time Series Analysis
KW - State-Space Models
KW - Frequency Domain
KW - Box–Jenkins Program
Y1 - 2011
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-56489
N1 - Version: 2011-March-01
ER -
TY - JOUR
A1 - Falk, Michael
A1 - Marohn, Frank
T1 - Von Mises condition revisited
N2 - It is shown that the rate of convergence in the von Mises conditions of extreme value theory determines the distance of the underlying distribution function F from a generalized Pareto distribution. The distance is measured in terms of the pertaining densities with the limit being ultimately attained if and only if F is ultimately a generalized Pareto distribution. Consequently, the rate of convergence of the extremes in an lid sample, whether in terms of the distribution of the largest order statistics or of corresponding empirical truncated point processes, is determined by the rate of convergence in the von Mises condition. We prove that the converse is also true.
KW - Von Mises conditions
KW - extreme value theory
KW - extreme value distribution
KW - extreme order statistics
KW - generalized Pareto distribution
Y1 - 1993
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-45790
ER -
TY - JOUR
A1 - Janssen, A.
A1 - Marohn, Frank
T1 - On statistical information of extreme order statistics, local extreme value alternatives, and Poisson point processes
N2 - The aim of the present paper is to clarify the role of extreme order statistics in general statistical models. This is done within the general setup of statistical experiments in LeCam's sense. Under the assumption of monotone likelihood ratios, we prove that a sequence of experiments is asymptotically Gaussian if, and only if, a fixed number of extremes asymptotically does not contain any information. In other words: A fixed number of extremes asymptotically contains information iff the Poisson part of the limit experiment is non-trivial. Suggested by this result, we propose a new extreme value model given by local alternatives. The local structure is described by introducing the space of extreme value tangents. It turns out that under local alternatives a new class of extreme value distributions appears as limit distributions. Moreover, explicit representations of the Poisson limit experiments via Poisson point processes are found. As a concrete example nonparametric tests for Frechet type distributions against stochastically larger alternatives are treated. We find asymptotically optimal tests within certain threshold models.
Y1 - 1994
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-45816
ER -
TY - CHAP
A1 - Marohn, Frank
T1 - On testing the exponential and Gumbel distribution
N2 - No abstract available
KW - Gumbel-Verteilung
KW - Extremal–I–Verteilung
KW - generalized Pareto distribution
KW - extreme value distribution
Y1 - 1994
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-45804
ER -
TY - BOOK
A1 - Marohn, Frank
T1 - On statistical information of extreme order statistics
N2 - No abstract available
KW - Rangstatistik
KW - Extremwert
KW - Statistik
Y1 - 1990
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-47866
N1 - Zugl.: Siegen, Univ.-Gesamthochschule, Diss., 1990
ER -
TY - JOUR
A1 - Falk, Michael
A1 - Marohn, Frank
T1 - Asymptotically optimal tests for conditional distributions
N2 - No abstract available
Y1 - 1993
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-45823
ER -
TY - JOUR
A1 - Marohn, Frank
T1 - Asymptotic sufficiency of order statistics for almost regular Weibull type densities
N2 - Consider a location family which is defined via a Weibull type density having shape parameter a = 1. We treat the problem, which portion of the order statistics is asymptotically sufficient. It turns out that the intermediate order statistics are relevant.
KW - Weibull type density
KW - intermediate order statistics
KW - asymptotic sufficiency
KW - local asymptotic normality
Y1 - 1994
U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-45837
ER -