Foundations of Time Series Analysis and Prediction Theory - Couverture rigide

Pourahmadi, Mohsen

 
9780471394341: Foundations of Time Series Analysis and Prediction Theory
Couverture rigide
ISBN 10 : 0471394343 ISBN 13 : 9780471394341
Editeur : Wiley-Interscience, 2001

Synopsis

Foundations of time series for researchers and students

This volume provides a mathematical foundation for time seriesanalysis and prediction theory using the idea of regression and thegeometry of Hilbert spaces. It presents an overview of the tools oftime series data analysis, a detailed structural analysis ofstationary processes through various reparameterizations employingtechniques from prediction theory, digital signal processing, andlinear algebra. The author emphasizes the foundation and structureof time series and backs up this coverage with theory andapplication.

End-of-chapter exercises provide reinforcement for self-study andappendices covering multivariate distributions and Bayesianforecasting add useful reference material. Further coveragefeatures:
* Similarities between time series analysis and longitudinal dataanalysis
* Parsimonious modeling of covariance matrices through ARMA-likemodels
* Fundamental roles of the Wold decomposition andorthogonalization
* Applications in digital signal processing and Kalmanfiltering
* Review of functional and harmonic analysis and predictiontheory

Foundations of Time Series Analysis and Prediction Theory guidesreaders from the very applied principles of time series analysisthrough the most theoretical underpinnings of prediction theory. Itprovides a firm foundation for a widely applicable subject forstudents, researchers, and professionals in diverse scientificfields.

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

À propos de l'auteur

MOHSEN POURAHMADI, PhD, is Professor and Director of the Division of Statistics at Northern Illinois University in DeKalb, Illinois.

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

Éditeur
Wiley-Interscience
Date d'édition
2001
Langue
anglais
ISBN 10 
0471394343
ISBN 13 
9780471394341
Reliure
Relié
Nombre de pages
448
Coordonnées du fabricant
non disponible
Personne responsable
non disponible