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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
threshold autoregressive
penalized least squares
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