glitterzhang / timeseries

Time Series:

PennSate Online Course: STAT510 Applied Time Series Analysis

https://onlinecourses.science.psu.edu/stat510/node/47/

http://www.lcs.poli.usp.br/~ablima/livros/Analysis%20of%20financial%20time%20series%20Tsay.pdf

Book:

https://otexts.org/fpp2/

https://mybiostats.files.wordpress.com/2015/03/time-series-analysis-with-applications-in-r-cryer-and-chan.pdf

Mutivariate Time Series Book:

https://www.slideshare.net/ns_solanki/multivariate-time-series-analysis-with-r-and-financial-applications

RNN-LTSMBlog:

How to convert time series into supervised learning: https://machinelearningmastery.com/convert-time-series-supervised-learning-problem-python/

Mutivariate time seriese_LSTM https://machinelearningmastery.com/multivariate-time-series-forecasting-lstms-keras/

Thetha method

https://robjhyndman.com/papers/Theta.pdf

Difference:

https://stats.stackexchange.com/questions/324537/how-can-differencing-in-an-arima-model-be-implicit-instead-of-explicit

Bayesian Structural Time Series- MCMC:

https://multithreaded.stitchfix.com/blog/2016/04/21/forget-arima/ http://faculty.chicagobooth.edu/ruey.tsay/teaching/uts/lec13-08.pdf http://www.unofficialgoogledatascience.com/2017/07/fitting-bayesian-structural-time-series.html

http://www.stat.umn.edu/geyer/s12/5102/notes/mcmc.pdf

Bayesian Inference:

https://onlinecourses.science.psu.edu/stat509/node/78/

Markov Chain Monte Carlo (MCMC) Convergence diagnostics:

https://www.statlect.com/fundamentals-of-statistics/Markov-Chain-Monte-Carlo-diagnostics#hid10 http://astrostatistics.psu.edu/RLectures/diagnosticsMCMC.pdf https://spia.uga.edu/faculty_pages/rbakker/bayes/day6.pdf https://theoreticalecology.wordpress.com/2011/12/09/mcmc-chain-analysis-and-convergence-diagnostics-with-coda-in-r/ http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.433.6547&rep=rep1&type=pdf

Proposed Distribution:

http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.433.6547&rep=rep1&type=pdf