Introduction to Statistical Time Series

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Beschreibung

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.

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.

Über den 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.

Inhaltsverzeichnis

Moving Average and Autoregressive Processes.

Introduction to Fourier Analysis.

Spectral Theory and Filtering.

Some Large Sample Theory.

Estimation of the Mean and Autocorrelations.

The Periodogram, Estimated Spectrum.

Parameter Estimation.

Regression, Trend, and Seasonality.

Unit Root and Explosive Time Series.

Bibliography.

Index.

Details

Erscheinungsjahr:	1995
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Importe , Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
Inhalt:	Gebunden
ISBN-13:	9780471552390
ISBN-10:	0471552399
Sprache:	Englisch
Einband:	Gebunden
Autor:	Fuller, Wayne A
Auflage:	2nd edition
Hersteller:	Wiley
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	240 x 161 x 43 mm
Von/Mit:	Wayne A Fuller
Erscheinungsdatum:	29.12.1995
Gewicht:	1,252 kg

Artikel-ID: 132523511

Über den Autor

Inhaltsverzeichnis

Details

Erscheinungsjahr:	1995
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Importe , Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
Inhalt:	Gebunden
ISBN-13:	9780471552390
ISBN-10:	0471552399
Sprache:	Englisch
Einband:	Gebunden
Autor:	Fuller, Wayne A
Auflage:	2nd edition
Hersteller:	Wiley
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	240 x 161 x 43 mm
Von/Mit:	Wayne A Fuller
Erscheinungsdatum:	29.12.1995
Gewicht:	1,252 kg