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9780471552390: Time Series 2E: 230 (Wiley Series in Probability and Statistics)
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ISBN 10: 0471552399 ISBN 13: 9780471552390
Editorial: John Wiley & Sons, 1995

Sinopsis

The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter.

Major topics include:
* Moving average and autoregressive processes
* Introduction to Fourier analysis
* Spectral theory and filtering
* Large sample theory
* Estimation of the mean and autocorrelations
* Estimation of the spectrum
* Parameter estimation
* Regression, trend, and seasonality
* Unit root and explosive time series

To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

WAYNE A. FULLER is Distinguished Professor in the Departments of Statistics and Economics at Iowa State University. He is the author of Measurement Error Models and numerous articles in time series, survey sampling, and econometrics. A Fellow of the American Statistical Association, the Institute of Mathematical Statistics, and the Econometric Society, he received his PhD in agricultural economics from Iowa State University.

De la contraportada

The subject of time series is of considerable interest, especially among researchers in econometrics, engineering, and the natural sciences. As part of the prestigious Wiley Series in Probability and Statistics, this book provides a lucid introduction to the field and, in this new Second Edition, covers the important advances of recent years, including nonstationary models, nonlinear estimation, multivariate models, state space representations, and empirical model identification. New sections have also been added on the Wold decomposition, partial autocorrelation, long memory processes, and the Kalman filter.

Major topics include:

  • Moving average and autoregressive processes
  • Introduction to Fourier analysis
  • Spectral theory and filtering
  • Large sample theory
  • Estimation of the mean and autocorrelations
  • Estimation of the spectrum
  • Parameter estimation
  • Regression, trend, and seasonality
  • Unit root and explosive time series

To accommodate a wide variety of readers, review material, especially on elementary results in Fourier analysis, large sample statistics, and difference equations, has been included.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
John Wiley & Sons
Año de publicación
1995
Idioma
Inglés
ISBN 10 
0471552399
ISBN 13 
9780471552390
Encuadernación
Tapa dura
Número de edición
2
Número de páginas
732
Contacto del fabricante
no disponible
Persona responsable
no disponible

Otras ediciones populares con el mismo título

9780471287155: Introduction to Statistical Time Series (Probability & Mathematical Statistics S.)

Edición Destacada

ISBN 10:  0471287156 ISBN 13:  9780471287155
Editorial: John Wiley & Sons Inc, 1976
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