Periodically Correlated Time Series: Models and Examples - Softcover

Iqelan, Bisher

Softcover

ISBN 10: 3844301100 ISBN 13: 9783844301106

Verlag: LAP Lambert Academic Publishing, 2011

Inhaltsangabe

A coherent presentation of material scattered in journal papers is given. The relationship between periodic models and multiple ARMA models is discussed and employed to make the investigation of these two classes theoretically equivalent. This book discusses notation and representation issues for periodic autoregressive models for univariate periodic time series. In addition, a new representation, the multi-companion (MC) presentation is proposed. This book also reviews the application of the maximum entropy principle to time series and obtain some new results. The main contribution is that it solves the autocovariance extension problem in a far more general setting than previously known. The study of entropy was motivated by periodic correlation but the main results on this topic are more general. A formula for the entropy of a periodically correlated process is given and seems to be new. Finally, the book proposes a method for generation of periodically correlated models with given spectral properties which has no analogue in the literature.

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Über die Autorin bzw. den Autor

Assistant Professor, Islamic University of Gaza. PhD in Mathematical Statistics(2007), The University of Manchester, UK. MSc in Mathematics(1989), University of Jordan, Jordan. BSc in Mathematics(1987), Birzeit University, Palestine. Research Interests: Time Series Analysis, Data Analysis, Statistical computing, Matrices in Statistics.

Details zur Ausgabe

• Verlag: LAP Lambert Academic Publishing
• Erscheinungsdatum: 2011
• ISBN 10: 3844301100
• ISBN 13: 9783844301106
• Einband: Tapa blanda
• Sprache: Englisch
• Anzahl der Seiten: 204
• Kontakt zum Hersteller: Nicht verfügbar