Time Series Analysis - Couverture rigide

Madsen, Henrik

Couverture rigide

ISBN 10 : 142005967X ISBN 13 : 9781420059670

Editeur : Chapman and Hall/CRC, 2007

Synopsis

With a focus on analyzing and modeling linear dynamic systems using statistical methods, Time Series Analysis formulates various linear models, discusses their theoretical characteristics, and explores the connections among stochastic dynamic models. Emphasizing the time domain description, the author presents theorems to highlight the most important results, proofs to clarify some results, and problems to illustrate the use of the results for modeling real-life phenomena.

The book first provides the formulas and methods needed to adapt a second-order approach for characterizing random variables as well as introduces regression methods and models, including the general linear model. It subsequently covers linear dynamic deterministic systems, stochastic processes, time domain methods where the autocorrelation function is key to identification, spectral analysis, transfer-function models, and the multivariate linear process. The text also describes state space models and recursive and adaptivemethods. The final chapter examines a host of practical problems, including the predictions of wind power production and the consumption of medicine, a scheduling system for oil delivery, and the adaptive modeling of interest rates.

Concentrating on the linear aspect of this subject, Time Series Analysis provides an accessible yet thorough introduction to the methods for modeling linear stochastic systems. It will help you understand the relationship between linear dynamic systems and linear stochastic processes.

A propos du livre

À propos de l?auteur

Technical University Denmark, Lyngby, Denmark

Détails de l'édition

• Éditeur: Chapman and Hall/CRC
• Date d'édition: 2007
• Langue: anglais
• ISBN 10: 142005967X
• ISBN 13: 9781420059670
• Reliure: Relié
• Nombre de pages: 396
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible