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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Obsah:
  • 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.