Time series models / Manfred Deistler, Wolfgang Scherrer.
2022
QA280
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Can lend chapters, not whole ebooks
Details
Title
Time series models / Manfred Deistler, Wolfgang Scherrer.
Uniform Title
Modelle der Zeitreihenanalyse. English
ISBN
9783031132131 (electronic bk.)
3031132130 (electronic bk.)
3031132122
9783031132124
3031132130 (electronic bk.)
3031132122
9783031132124
Published
Cham : Springer, [2022]
Copyright
©2022
Language
English
Description
1 online resource (xiv, 201 pages) : illustrations (some color).
Item Number
10.1007/978-3-031-13213-1 doi
Call Number
QA280
Dewey Decimal Classification
519.5/5
Summary
This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.
Bibliography, etc. Note
Includes bibliographical references and index.
Access Note
Access limited to authorized users.
Source of Description
Description based on print version record.
Added Author
Scherrer, Wolfgang, author.
Series
Lecture notes in statistics (Springer-Verlag) ; v. 224.
Available in Other Form
TIME SERIES MODELS.
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Table of Contents
Preface
1 Time Series and Stationary Processes
2 Prediction
3 Spectral Representation
4 Filter
5 Autoregressive Processes
6 ARMA Systems and ARMA Processes
7 State-Space Systems
8 Models with Exogenous Variables
9 Granger Causality
10 Dynamic Factor Models
10 ARCH and GARCH Models
Index.
1 Time Series and Stationary Processes
2 Prediction
3 Spectral Representation
4 Filter
5 Autoregressive Processes
6 ARMA Systems and ARMA Processes
7 State-Space Systems
8 Models with Exogenous Variables
9 Granger Causality
10 Dynamic Factor Models
10 ARCH and GARCH Models
Index.