Date of Award

Summer 2013

Document Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

Department

Mathematics & Statistics

Program/Concentration

Computational and Applied Mathematics

Committee Director

Norou Diawara

Committee Member

Larry Filer

Committee Member

Nak-Kyeong Kim

Committee Member

Cynthia M. Jones

Abstract

Stochastic processes have applications in many areas such as oceanography and engineering. Special classes of such processes deal with time series of sparse data. Studies in such cases focus in the analysis, construction and prediction in parametric models. Here, we assume several non-linear time series with additive noise components, and the model fitting is proposed in two stages. The first stage identifies the density using all the clusters information, without specifying any prior knowledge of the underlying distribution function of the time series. The effect of covariates is controlled by fitting the linear regression model with serially correlated errors. In the second stage, we partition the time series into consecutive non-overlapping intervals of quasi stationary increments where the coefficients shift from one stable regression relationship to a different one using a breakpoints detection algorithm. These breakpoints are estimated by minimizing the likelihood from the residuals. We approach time series prediction through the mixture distribution of combined error components. Parameter estimation of mixture distribution is done by using the EM algorithm. We apply the method to fish otolith data influenced by various environmental conditions and get estimation of parameters for the model.

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In Copyright. URI: http://rightsstatements.org/vocab/InC/1.0/ This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).

DOI

10.25777/nyh8-y791

ISBN

9781303512544

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