Introduction to statistical time series:
Gespeichert in:
1. Verfasser: | |
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Format: | Buch |
Sprache: | English |
Veröffentlicht: |
New York [u.a.]
Wiley
1996
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Ausgabe: | 2. ed. |
Schriftenreihe: | Wiley series in probability and statistics
|
Schlagworte: | |
Online-Zugang: | Publisher description Table of Contents Inhaltsverzeichnis |
Beschreibung: | XXII, 698 S. Illustrationen |
ISBN: | 0471552399 |
Internformat
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100 | 1 | |a Fuller, Wayne A. |d 1931- |e Verfasser |0 (DE-588)170453952 |4 aut | |
245 | 1 | 0 | |a Introduction to statistical time series |c Wayne A. Fuller |
250 | |a 2. ed. | ||
264 | 1 | |a New York [u.a.] |b Wiley |c 1996 | |
300 | |a XXII, 698 S. |b Illustrationen | ||
336 | |b txt |2 rdacontent | ||
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490 | 0 | |a Wiley series in probability and statistics | |
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Datensatz im Suchindex
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adam_text | Contents
Preface to the First Edition xi
Preface to the Second Edition xiii
List of Principal Results xv
List of Examples xxi
1. Introduction 1
1.1 Probability Spaces 1
1.2 Time Series 3
1.3 Examples of Stochastic Processes 4
1.4 Properties of the Autocovariance and Autocorrelation Functions 7
1.5 Complex Valued Time Series 12
1.6 Periodic Functions and Periodic Time Series 13
1.7 Vector Valued Time Series 15
References 17
Exercises 17
2. Moving Average and Autoregressive Processes 21
2.1 Moving Average Processes 21
2.2 Absolutely Summable Sequences and Infinite Moving Averages 26
2.3 An Introduction to Autoregressive Time Series 39
2.4 Difference Equations 41
2.5 The Second Order Autoregressive Time Series 54
2.6 Alternative Representations of Autoregressive and Moving
Average Processes 58
2.7 Autoregressive Moving Average Time Series 70
2.8 Vector Processes 75
2.9 Prediction 79
2.10 The Wold Decomposition 94
vii
Vlii CONTENTS
2.11 Long Memory Processes 98
References 101
Exercises 101
3. Introduction to Fourier Analysis 112
3.1 Systems of Orthogonal Functions—Fourier Coefficients 112
3.2 Complex Representation of Trigonometric Series 130
3.3 Fourier Transform—Functions Defined on the Real Line 132
3.4 Fourier Transform of a Convolution 136
References 139
Exercises 139
4. Spectral Theory and Filtering 143
4.1 The Spectrum 143
4.2 Circulants—Diagonalization of the Covariance Matrix of
Stationary Process 149
4.3 The Spectral Density of Moving Average and Autoregressive
Time Series 155
4.4 Vector Processes 169
4.5 Measurement Error—Signal Detection 181
4.6 State Space Models and Kalman Filtering 187
References 205
Exercises 205
5. Some Large Sample Theory 214
5.1 Order in Probability 214
5.2 Convergence in Distribution 227
5.3 Central Limit Theorems 233
5.4 Approximating a Sequence of Expectations 240
5.5 Estimation for Nonlinear Models 250
5.5.1 Estimators that Minimize an Objective Function 250
5.5.2 One Step Estimation 268
5.6 Instrumental Variables 273
5.7 Estimated Generalized Least Squares 279
5.8 Sequences of Roots of Polynomials 290
References 299
Exercises 299
CONTENTS ix
6. Estimation of the Mean and Autocorrelations 308
6.1 Estimation of the Mean 308
6.2 Estimators of the Autocovariance and Autocorrelation
Functions 313
6.3 Central Limit Theorems for Stationary Time Series 320
6.4 Estimation of the Cross Covariances 339
References 348
Exercises 348
7. The Periodogram, Estimated Spectrum 355
7.1 The Periodogram 355
7.2 Smoothing, Estimating the Spectrum 366
7.3 Other Estimators of the Spectrum 380
7.4 Multivariate Spectral Estimates 385
References 400
Exercises 400
8. Parameter Estimation 404
8.1 First Order Autoregressive Time Series 404
8.2 Higher Order Autoregressive Time Series 407
8.2.1 Least Squares Estimation for Univariate Processes 407
8.2.2 Alternative Estimators for Autoregressive Time Series 413
8.2.3 Multivariate Autoregressive Time Series 419
8.3 Moving Average Time Series 421
8.4 Autoregressive Moving Average Time Series 429
8.5 Prediction with Estimated Parameters 443
8.6 Nonlinear Processes 451
8.7 Missing and Outlier Observations 458
8.8 Long Memory Processes 466
References 471
Exercises 471
9. Regression, Trend, and Seasonality 475
9.1 Global Least Squares 476
9.2 Grafted Polynomials 480
9.3 Estimation Based on Least Squares Residuals 484
9.3.1 Estimated Autocorrelations 484
9.3.2 Estimated Variance Functions 488
x CONTENTS
9.4 Moving Averages—Linear Filtering 497
9.4.1 Moving Averages for the Mean 497
9.4.2 Moving Averages of Integrated Time Series 502
9.4.3 Seasonal Adjustment 504
9.4.4 Differences 507
9.5 Structural Models 509
9.6 Some Effects of Moving Average Operators 513
9.7 Regression with Time Series Errors 518
9.8 Regression Equations with Lagged Dependent Variables and
Time Series Errors 530
References 538
Exercises 538
10. Unit Root and Explosive Time Series 546
10.1 Unit Root Autoregressive Time Series 546
10.1.1 The Autoregressive Process with a Unit Root 546
10.1.2 Random Walk with Drift 565
10.1.3 Alternative Estimators 568
10.1.4 Prediction for Unit Root Autoregressions 582
10.2 Explosive Autoregressive Time Series 583
10.3 Multivariate Autoregressive Processes with Unit Roots 596
10.3.1 Multivariate Random Walk 596
10.3.2 Vector Process with a Single Unit Root 599
10.3.3 Vector Process with Several Unit Roots 617
10.4 Testing for a Unit Root in a Moving Average Model 629
References 638
Exercises 638
10.A Percentiles for Unit Root Distributions 641
10.B Data Used in Examples 653
Bibliography 664
Index 689
|
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author | Fuller, Wayne A. 1931- |
author_GND | (DE-588)170453952 |
author_facet | Fuller, Wayne A. 1931- |
author_role | aut |
author_sort | Fuller, Wayne A. 1931- |
author_variant | w a f wa waf |
building | Verbundindex |
bvnumber | BV010625060 |
callnumber-first | Q - Science |
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callnumber-subject | QA - Mathematics |
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ctrlnum | (OCoLC)32347574 (DE-599)BVBBV010625060 |
dewey-full | 519.5/5 519.5/520 |
dewey-hundreds | 500 - Natural sciences and mathematics |
dewey-ones | 519 - Probabilities and applied mathematics |
dewey-raw | 519.5/5 519.5/5 20 |
dewey-search | 519.5/5 519.5/5 20 |
dewey-sort | 3519.5 15 |
dewey-tens | 510 - Mathematics |
discipline | Psychologie Mathematik Wirtschaftswissenschaften |
edition | 2. ed. |
format | Book |
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indexdate | 2024-07-09T17:56:09Z |
institution | BVB |
isbn | 0471552399 |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007086948 |
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physical | XXII, 698 S. Illustrationen |
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spelling | Fuller, Wayne A. 1931- Verfasser (DE-588)170453952 aut Introduction to statistical time series Wayne A. Fuller 2. ed. New York [u.a.] Wiley 1996 XXII, 698 S. Illustrationen txt rdacontent n rdamedia nc rdacarrier Wiley series in probability and statistics Analyse de régression ram Séries chronologiques ram Tijdreeksen gtt Time-series analysis Regression analysis Sequentialmethode (DE-588)4301567-0 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf 1\p (DE-588)4151278-9 Einführung gnd-content Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Statistik (DE-588)4056995-0 s Sequentialmethode (DE-588)4301567-0 s 2\p DE-604 Regressionsanalyse (DE-588)4129903-6 s 3\p DE-604 http://www.loc.gov/catdir/description/wiley033/95014875.html Publisher description http://www.loc.gov/catdir/toc/onix03/95014875.html Table of Contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007086948&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
spellingShingle | Fuller, Wayne A. 1931- Introduction to statistical time series Analyse de régression ram Séries chronologiques ram Tijdreeksen gtt Time-series analysis Regression analysis Sequentialmethode (DE-588)4301567-0 gnd Statistik (DE-588)4056995-0 gnd Regressionsanalyse (DE-588)4129903-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
subject_GND | (DE-588)4301567-0 (DE-588)4056995-0 (DE-588)4129903-6 (DE-588)4067486-1 (DE-588)4151278-9 |
title | Introduction to statistical time series |
title_auth | Introduction to statistical time series |
title_exact_search | Introduction to statistical time series |
title_full | Introduction to statistical time series Wayne A. Fuller |
title_fullStr | Introduction to statistical time series Wayne A. Fuller |
title_full_unstemmed | Introduction to statistical time series Wayne A. Fuller |
title_short | Introduction to statistical time series |
title_sort | introduction to statistical time series |
topic | Analyse de régression ram Séries chronologiques ram Tijdreeksen gtt Time-series analysis Regression analysis Sequentialmethode (DE-588)4301567-0 gnd Statistik (DE-588)4056995-0 gnd Regressionsanalyse (DE-588)4129903-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
topic_facet | Analyse de régression Séries chronologiques Tijdreeksen Time-series analysis Regression analysis Sequentialmethode Statistik Regressionsanalyse Zeitreihenanalyse Einführung |
url | http://www.loc.gov/catdir/description/wiley033/95014875.html http://www.loc.gov/catdir/toc/onix03/95014875.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007086948&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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