Analysis of Dynamic Data
Shyama Prasad Mukherjee · 2019
Chapter 10 takes up a few models and some techniques useful in analysis of longitudinal data in a somewhat brief manner against the backdrop of a vast deluge of published materials on the subject. Time series regarded as stochastic processes rather than corresponding to the somewhat simplistic deterministic series are the subject matter discussed. Problems associated with regime change or with multiple series with possible lags have also been considered. Some emphasis has been laid on forecasting and associated measures of precision. Attention has been drawn to some contemporary issues like benchmarking of time-series data, stochastic volatility and functional data analysis.