Elements of Multivariate Time Series Analysis - Couverture rigide

Reinsel, Gregory C.

Couverture rigide

ISBN 10 : 3540940634 ISBN 13 : 9783540940630

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1993

Synopsis

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.

A propos du livre

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.

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 1993
• Langue: anglais
• ISBN 10: 3540940634
• ISBN 13: 9783540940630
• Reliure: Relié
• Numéro d'édition: 2
• Nombre de pages: 277
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible