Regression Models for Time Series Analysis

Benjamin Kedem, Konstantinos Fokianos

338 pages, parution le 18/10/2002

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Résumé

A thorough review of the most current regression methods in time series analysis
Regression methods have been an integral part of time series analysis for over a century. Recently, new developments have made major strides in such areas as non-continuous data where a linear model is not appropriate. This book introduces the reader to newer developments and more diverse regression models and methods for time series analysis.
Accessible to anyone who is familiar with the basic modern concepts of statistical inference, Regression Models for Time Series Analysis provides a much-needed examination of recent statistical developments. Primary among them is the important class of models known as generalized linear models (GLM) which provides, under some conditions, a unified regression theory suitable for continuous, categorical, and count data.
The authors extend GLM methodology systematically to time series where the primary and covariate data are both random and stochastically dependent. They introduce readers to various regression models developed during the last thirty years or so and summarize classical and more recent results concerning state space models. To conclude, they present a Bayesian approach to prediction and interpolation in spatial data adapted to time series that may be short and/or observed irregularly. Real data applications and further results are presented throughout by means of chapter problems and complements.
Notably, the book covers:

Important recent developments in Kalman filtering, dynamic GLMs, and state-space modeling
Associated computational issues such as Markov chain, Monte Carlo, and the EM-algorithm
Prediction and interpolation
Stationary processes

Contents

Dedication
Preface
Times Series Following Generalized Linear Models
Regression Models for Binary Time Series
Regression Models for Categorical Time Series
Regression Models for Count Time Series
Other Models and Alternative Approaches
State Space Models
Prediction and Interpolation
Appendix: Elements of Stationary Processes
References
Index

L'auteur - Benjamin Kedem

BENJAMIN KEDEM, PhD, is Professor of Mathematics at the University of Maryland.

L'auteur - Konstantinos Fokianos

KONSTANTINOS FOKIANOS, PhD, is Assistant Professor in the Department of Mathematics and Statistics at the University of Cyprus.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Benjamin Kedem, Konstantinos Fokianos
Parution	18/10/2002
Nb. de pages	338
Format	16 x 24
Couverture	Broché
Poids	635g
Intérieur	Noir et Blanc
EAN13	9780471363552
ISBN13	978-0-471-36355-2