Elements of Multivariate Time Series Analysis

Gregory C. Reinsel - Collection Springer Series In Statistics

358 pages, parution le 10/12/2003 (2^eme édition)

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Résumé

Now available in paperback. 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.

Written for:
Graduate students, researchers

Sommaire

Vector time Series and model representations
Vector ARMA time series models and forecasting
Canonical structure of vector ARMA models
Initial model building and least squares estimation for vector AR models
Maximum likelihood estimation and model checking for vector ARMA models
Reduced-rank and nonstationary co-integrated models
State-space models, Kalman filtering, and related topics
Linear models with exogenous variables
Appendix: Time series data sets

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Gregory C. Reinsel
Collection	Springer Series In Statistics
Parution	10/12/2003
Édition	2^eme édition
Nb. de pages	358
Format	15,5 x 23,5
Couverture	Broché
Poids	530g
Intérieur	Noir et Blanc
EAN13	9780387406190
ISBN13	978-0-387-40619-0