Stochastic Models for Time Series

This book presents essential tools for modelling non-linear time series. The first part of the book describes the main standard tools of probability and statistics that directly apply to the time series context to obtain a wide range of modelling possibilities. Functional estimation and bootstrap ar...

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Hlavní autor: Doukhan, Paul (Autor)
Médium: Elektronický zdroj E-kniha
Jazyk:angličtina
Vydáno: Cham : Springer International Publishing, 2018.
Vydání:1st ed. 2018.
Edice:Mathématiques et Applications, 80
Témata:
Statistics .
Probabilities.
Econometrics.
Dynamics.
Ergodic theory.
ISBN:9783319769387
ISSN:1154-483X ;
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Obsah:
  • Part I Independence and Stationarity
  • 1 Probability and Independence
  • 2 Gaussian convergence and inequalities
  • 3 Estimation concepts
  • 4 Stationarity
  • Part II Models of time series
  • 5 Gaussian chaos
  • 6 Linear processes
  • 7 Non-linear processes
  • 8 Associated processes
  • Part III Dependence
  • 9 Dependence
  • 10 Long-range dependence
  • 11 Short-range dependence
  • 12 Moments and cumulants
  • Appendices
  • A Probability and distributions
  • B Convergence and processes
  • C R scripts used for the gures
  • Index- List of figures.

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