Monte Carlo Experiments on Maximum entropy Constructive Ensembles for Time Series Analysis and Inference

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dc.contributor.authorAmes, Allison Jenniferen
dc.contributor.committeechairHilmer, Christiana E.en
dc.contributor.committeecochairSpanos, Arisen
dc.contributor.committeememberTaylor, Daniel B.en
dc.contributor.departmentAgricultural and Applied Economicsen
dc.date.accessioned2014-03-14T20:36:16Zen
dc.date.adate2005-06-29en
dc.date.available2014-03-14T20:36:16Zen
dc.date.issued2005-05-09en
dc.date.rdate2005-06-29en
dc.date.sdate2005-05-11en
dc.description.abstractIn econometric analysis, the traditional bootstrap and related methods often require the assumption of stationarity. This assumption says that the distribution function of the process remains unchanged when shifted in time by an arbitrary value, imposing perfect time-homogeneity. In terms of the joint distribution, stationarity implies that the date of the first time index is not relevant. There are many problems with this assumption however for time series data. With time series, the order in which random realizations occur is crucial. This is why theorists work with stochastic processes, with two implicit arguments, w and t, where w represents the sample space and t represents the order. The question becomes, is there a bootstrap procedure that can preserve the ordering without assuming stationarity? The new method for maximum entropy ensembles proposed by Dr. H. D. Vinod might satisfy the Ergodic and Kolmogorov theorems, without assuming stationarity.en
dc.description.degreeMaster of Scienceen
dc.identifier.otheretd-05112005-123417en
dc.identifier.sourceurlhttp://scholar.lib.vt.edu/theses/available/etd-05112005-123417/en
dc.identifier.urihttp://hdl.handle.net/10919/32571en
dc.publisherVirginia Techen
dc.relation.haspartMonteCarloExperimentsonMEConstructiveEnsemblesforTimeSeriesAnalysisandInference.pdfen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectmaximum entropyen
dc.subjectensemblesen
dc.subjecttime seriesen
dc.subjectbootstrapen
dc.titleMonte Carlo Experiments on Maximum entropy Constructive Ensembles for Time Series Analysis and Inferenceen
dc.typeThesisen
thesis.degree.disciplineAgricultural and Applied Economicsen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.levelmastersen
thesis.degree.nameMaster of Scienceen

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