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Reseña del editor
This book is concerned with 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, and includes a wide variety of examples drawn from many fields of application. The book presupposes a familiarity with univariate time series as might be gained from one semester 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. In addition, it presents some 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 filtering techniques.
Reseña del editor
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.
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Elements of Multivariate Time Series Analysis
Publicado por
Springer-Verlag, New York, 1993
ISBN 10: 0387940634
ISBN 13: 9780387940632
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Original o primera edición
Librería: Row By Row Bookshop, Sugar Grove, NC, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Hardcover. Condición: Good. Estado de la sobrecubierta: No Dust Jacket. First Edition. An ex-library copy in original tan hard covers, sun-faded at the spine (not affecting lettering). The usual ex-libris markings. The binding is sound, the text is clean/unmarked, and there is little other cover wear. No dust jacket, apparently as issued. Book. Nº de ref. del artículo: 064707
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Envío por EUR 4,30
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Elements of Multivariate Time Series Analysis (Springer Series in Statistics)
Librería: Mispah books, Redhill, SURRE, Reino Unido
Calificación del vendedor: 4 de 5 estrellas
Hardcover. Condición: Very Good. Very Good .Ships From Multiple Locations. book. Nº de ref. del artículo: ERICA79103879406343
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EUR 157,19
Envío por EUR 29,13
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