Elements of Multivariate Time Series Analysis (Springer Series in Statistics) - Hardcover

Buch 70 von 160: Springer Series in Statistics

Reinsel, Gregory C.

 
9783540940630: Elements of Multivariate Time Series Analysis (Springer Series in Statistics)
Hardcover
ISBN 10: 3540940634 ISBN 13: 9783540940630
Verlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1993

Inhaltsangabe

This study is devoted to the analysis of multivariate time series data. Such data might arise in business and economics, engineering, geophysical sciences, agriculture, and many other fields. The emphasis is on providing an account of the basic concepts and methods which are useful in analyzing such data. The book presupposes a familiarity with univariate time series as might be gained from one term of a graduate course, but it is otherwise self-contained. It covers the basic topics such as autocovariance matrices of stationary processes, vector ARMA models and their properties, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and associated likelihood ratio testing procedures for model building. In addition, it presents more advanced topics and techniques including reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate nonstationary unit root models and co-integration structure, and state-space models and Kalman flltering techniques.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Reseña del editor

This study is devoted to the analysis of multivariate time series data. Such data might arise in business and economics, engineering, geophysical sciences, agriculture, and many other fields. The emphasis is on providing an account of the basic concepts and methods which are useful in analyzing such data. The book presupposes a familiarity with univariate time series as might be gained from one term of a graduate course, but it is otherwise self-contained. It covers the basic topics such as autocovariance matrices of stationary processes, vector ARMA models and their properties, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and associated likelihood ratio testing procedures for model building. In addition, it presents more advanced topics and techniques including reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate nonstationary unit root models and co-integration structure, and state-space models and Kalman flltering techniques.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Erscheinungsdatum
1993
Sprache
Englisch
ISBN 10 
3540940634
ISBN 13 
9783540940630
Einband
Tapa dura
Anzahl der Seiten
277
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Nicht verfügbar

Weitere beliebte Ausgaben desselben Titels

9780387406190: Elements of Multivariate Time Series Analysis (Springer Series in Statistics)

Vorgestellte Ausgabe

ISBN 10:  0387406190 ISBN 13:  9780387406190
Verlag: Springer, 2013
Softcover