Browsing by Subject "Time-series analysis--Data processing."

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Open Access
Spurious regression problem in Kalman Filter estimation of time varying parameter models
(2010) Eroğlu, Burak Alparslan
This thesis provides a simulation based study on Kalman Filter estimation of time varying parameter models when nonstationary series are included in regression equation. In this study, we have performed several simulations in order to present the outcomes and ramifications of Kalman Filter estimation applied to time varying regression models in the presence of random walk series. As a consequence of these simulations, we demonstrate that Kalman Filter estimation cannot prevent the emergence of spurious regression in time varying parameter models. Furthermore, so as to detect the presence of spurious regression, we also propose a new method, which suggests penalizing Kalman Filter recursions with endogenously generated series. These series, which are created endogenously by utilizing Cochrane’s variance ratio statistic, are replaced by state evolution parameter Tt in transition equation of time varying parameter model. Consequently, Penalized Kalman Filter performs well in distinguishing nonsense relation from a true cointegrating regression.
Open Access
Wavelet decomposition and its applications in aviation industry
(2010) Gürbüz, Melih Akif
This thesis analyzes the characteristic air traffic time series data of European aviation industry by using wavelet decomposition. Firstly, time frequency representation and discrete time wavelet decomposition is introduced by giving some theoretical background and basic definitions. Then, the attributes of AEA data, i.e. load factor, available seat kilometer and revenue passenger kilometer is analyzed both geographically and based on prominent Airline operators. Furthermore, their relative comparisons have led to unravel some underlying implications and their distinctive interpretations for the airline industry