Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/114245
Type: Theses
Title: Directionality in time series and its applications
Author: Mansor, Mohd Mahayaudin bin
Issue Date: 2017
School/Discipline: School of Mathematical Sciences
Abstract: A suite of seven statistics to detect directionality in time series is presented. Applications from various disciplines including business, environmental science, finance and medicine are considered. Models that allow for directionality are proposed, and methods of fitting these models are investigated. Time series models that incorporate directionality provide more precise prediction limits and more realistic simulations than the models that do not. Potential practical applications include: providing evidence to support physical interpretations; directionality trading rules for investment portfolio; prediction of unstable financial periods; and possible early warning of epileptic seizures.
Advisor: Metcalfe, Andrew Viggo
Green, David Anthony
Dissertation Note: Thesis (Ph.D.) (Research by Publication) -- University of Adelaide, School of Mathematical Sciences, 2018
Keywords: Research by publication
time series
directionality
reversibility
threshold autoregressive
penalized least squares
prediction
forecasting
Provenance: This electronic version is made publicly available by the University of Adelaide in accordance with its open access policy for student theses. Copyright in this thesis remains with the author. This thesis may incorporate third party material which has been used by the author pursuant to Fair Dealing exceptions. If you are the owner of any included third party copyright material you wish to be removed from this electronic version, please complete the take down form located at: http://www.adelaide.edu.au/legals
Appears in Collections:Research Theses

Files in This Item:
File Description SizeFormat 
Mansor2018_PhD.pdf11.03 MBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.