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: | , |
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| 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: | |
| ISBN: | 1441903194, 9781441903198, 0387974296, 9781441904003, 9780387974293, 144190400X |
| ISSN: | 0172-7397 |
| On-line prístup: | Získať plný text |
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| Abstract | 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. |
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| AbstractList | This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Time Series Modelling Package for the PC, which includes a manual and can be ordered from Springer-Verlag. * We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition. Fort Collins, Colorado P. J. BROCKWELL November, 1990 R. A. DAVIS * /TSM: An Interactive Time Series Modelling Package for the PC by P. J. Brockwell and R. A. Davis. ISBN: 0-387-97482-2; 1991. 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. |
| Author | Brockwell, P. J. (Peter J.) Davis, R. A. (Richard A.) |
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| BackLink | https://cir.nii.ac.jp/crid/1130000795052608640$$DView record in CiNii |
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| Copyright | Springer-Verlag New York 1991 |
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| DOI | 10.1007/978-1-4419-0320-4 |
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| Discipline | Mathematics Statistics |
| EISBN | 9781441903204 1441903208 |
| Edition | Second Edition. Second Edition 2nd ed. 1991. 2nd printing 2009. Softcover reprint |
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| ISSN | 0172-7397 |
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| Notes | Bibliography: p. [561]-566 Includes index "This paperback edition is a reprint of the 1991 edition."-- Back cover |
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| Snippet | 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... This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space... |
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| SubjectTerms | Econometrics Mathematical statistics Mathematics and Statistics Statistical Theory and Methods Statistics Statistics for Business, Management, Economics, Finance, Insurance |
| TableOfContents | 1 Stationary Time Series -- 2 Hilbert Spaces -- 3 Stationary ARMA Processes -- 4 The Spectral Representation of a Stationary Process -- 5 Prediction of Stationary Processes -- 6* Asymptotic Theory -- 7 Estimation of the Mean and the Autocovariance Function -- 8 Estimation for ARMA Models -- 9 Model Building and Forecasting with ARIMA Processes -- 10 Inference for the Spectrum of a Stationary Process -- 11 Multivariate Time Series -- 12 State-Space Models and the Kalman Recursions -- 13 Further Topics -- Appendix: Data Sets. |
| Title | Time series : theory and methods |
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