Theory and Methods: Vol 2 (Springer Series in Statistics)
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|Format:||Hardback, 600 pages, 2nd 1991. Corr. 6th Edition|
|Other Information: ||1|
|Published In: ||United States, 01 December 1998|
Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modelling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes and non-linear models. Most of the programs used in the book are available on diskettes for the IBM-PC. These diskettes, with the accompanying manual, ITSM: The Interactive Time Series Modelling Package for the PC, also by Brockwell and Davis, can be purchased from Springer-Verlag.
Table of Contents
Stationary Time Series.- Hilbert Spaces.- Stationary ARMA Processes.- The Spectral Representation of a Stationary Process.- Prediction of Stationary Processes.- Asymptotic Theory.- Estimation of the Mean and the Autocovariance Function.- Estimation for ARMA Models.- Model Building and Forecasting with ARIMA Processes.- Inference for the Spectrum of a Stationary Process.- Multivariate Time Series.- State-Space Models and the Kalman Recursions.- Further Topics.- Appendix: Data Sets.- Bibliography.- Index.
|Publisher: ||Springer-Verlag New York Inc.|
|Dimensions: ||24.16 x 16.03 x 3.15 centimeters (0.98 kg)|