Time series : theory and methods

This paperback edition is a reprint of the 1991 edition. Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and a...

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Hlavní autori: Brockwell, P. J. (Peter J.), Davis, R. A. (Richard A.)
Médium: E-kniha Kniha
Jazyk:English
Vydavateľské údaje: New York, NY Springer 2006
Springer New York
Vydanie:Second Edition.
Edícia:Springer Series in Statistics
Predmet:
Econometrics
Mathematical statistics
Mathematics and Statistics
Statistical Theory and Methods
Statistics
Statistics for Business, Management, Economics, Finance, Insurance
ISBN:1441903194, 9781441903198, 0387974296, 9781441904003, 9780387974293, 144190400X
ISSN:0172-7397
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Popis
Shrnutí:This paperback edition is a reprint of the 1991 edition. Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for the techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes, and nonlinear models. Most of the programs used in the book are available in the modeling package ITSM2000, the student version of which can be downloaded from http://www.stat.colostate.edu/~pjbrock/student06.
Bibliografia:Bibliography: p. [561]-566
Includes index
"This paperback edition is a reprint of the 1991 edition."-- Back cover
ISBN:1441903194
9781441903198
0387974296
9781441904003
9780387974293
144190400X
ISSN:0172-7397
DOI:10.1007/978-1-4419-0320-4