Elements of Multivariate Time Series Analysis - Couverture souple

Reinsel, Gregory C.

 
9780387406190: Elements of Multivariate Time Series Analysis
Couverture souple
ISBN 10 : 0387406190 ISBN 13 : 9780387406190
Editeur : Springer, 2013

Synopsis

Elements of Multivariate Time Series Analysis, Second Edition introduces the basic concepts and methods that are useful in the analysis and modeling of multivariate time series data that may arise in business and economics, engineering, geophysical sciences, and other fields. The book concentrates on the time-domain analysis of multivariate time series, and assumes a background in univariate time series analysis. It covers basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares and maximum likelihood estimation for ARMA models, associated likelihood ratio testing procedures, and other model specification methods useful for model building and model checking. In this revised edition, additional topics have been added and parts of the first edition have been expanded. The most notable addition is a new chapter that discusses topics that arise when exogenous variables are involved in model structures, generally through consideration of the ARMAX models. The book also includes exercise sets and multivariate time series data sets. In addition to serving as a textbook, this book will also be useful to researchers and graduate students in the areas of statistics, econometrics, business, and engineering.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Elements of Multivariate Time Series Analysis, Second Edition introduces the basic concepts and methods that are useful in the analysis and modeling of multivariate time series data that may arise in business and economics, engineering, geophysical sciences, and other fields. The book concentrates on the time-domain analysis of multivariate time series, and assumes a background in univariate time series analysis. It covers basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares and maximum likelihood estimation for ARMA models, associated likelihood ratio testing procedures, and other model specification methods useful for model building and model checking. In this revised edition, additional topics have been added and parts of the first edition have been expanded. The most notable addition is a new chapter that discusses topics that arise when exogenous variables are involved in model structures, generally through consideration of the ARMAX models. The book also includes exercise sets and multivariate time series data sets. In addition to serving as a textbook, this book will also be useful to researchers and graduate students in the areas of statistics, econometrics, business, and engineering.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer
Date d'édition
2013
Langue
anglais
ISBN 10 
0387406190
ISBN 13 
9780387406190
Reliure
Broché
Numéro d'édition
2
Nombre de pages
380
Coordonnées du fabricant
non disponible
Personne responsable
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Allemagne

Autres éditions populaires du même titre

9780387949185: Elements of Multivariate Time Series Analysis

Edition présentée

ISBN 10 :  0387949186 ISBN 13 :  9780387949185
Editeur : Springer-Verlag New York Inc., 1997
Couverture rigide