Time series analysis and its applications:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Springer
2000
|
| Schriftenreihe: | Springer texts in statistics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIII, 549 S. graph. Darst. |
| ISBN: | 0387989501 |
Internformat
MARC
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| 100 | 1 | |a Shumway, Robert H. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Time series analysis and its applications |c Robert H. Shumway ; David S. Stoffer |
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Datensatz im Suchindex
| _version_ | 1804127724594266112 |
|---|---|
| adam_text | ROBERT H. SHUMWAY DAVID S. STOFFER
TIME SERIES ANALYSIS
AND ITS APPLICATIONS
WITH 152 FIGURES
SPRINGER
CONTENTS
PREFACE VII
CHAPTER 1: CHARACTERISTICS OF TIME SERIES
1.1 INTRODUCTION 1
1.2 THE NATURE OF TIME SERIES DATA 4
1.3 TIME SERIES STATISTICAL MODELS 9
1.4 MEASURES OF DEPENDENCE: AUTO AND CROSS CORRELATION 15
1.5 STATIONARY TIME SERIES 19
1.6 ESTIMATION OF CORRELATION 25
1.7 EXPLORATORY DATA ANALYSIS 31
1.8 CLASSICAL REGRESSION AND SMOOTHING IN THE TIME SERIES CONTEXT... 38
1.9 VECTOR VALUED AND MULTIDIMENSIONAL SERIES 51
T1.10 CONVERGENCE MODES 56
TL.LL CENTRAL LIMIT THEOREMS 65
T1.12 THE MEAN AND AUTOCORRELATION FUNCTIONS 69
PROBLEMS 78
CHAPTER 2: TIME SERIES REGRESSION AND ARIMA MODELS
2.1 INTRODUCTION 89
2.2 AUTOREGRESSIVE MOVING AVERAGE MODELS 90
XII CONTENTS
2.3 HOMOGENEOUS DIFFERENCE EQUATIONS 102
2.4 AUTOCORRELATION AND PARTIAL AUTOCORRELATION FUNCTIONS 107
2.5 FORECASTING 114
2.6 ESTIMATION 125
2.7 INTEGRATED MODELS FOR NONSTATIONARY DATA 142
2.8 BUILDING ARIMA MODELS 144
2.9 MULTIPLICATIVE SEASONAL ARIMA MODELS 155
2.10 LONG MEMORY ARMA AND FRACTIONAL DIFFERENCING 166
2.11 THRESHOLD MODELS 171
2.12 REGRESSION WITH AUTOCORRELATED ERRORS 175
2.13 LAGGED REGRESSION: TRANSFER FUNCTION MODELING 178
2.14 ARCH MODELS 184
T2.14 HILBERT SPACES AND THE PROJECTION THEOREM 190
T2.16 CAUSAL CONDITIONS FOR ARMA MODELS 195
T2.17 LARGE SAMPLE DISTRIBUTION OF AR ESTIMATORS 197
PROBLEMS 201
CHAPTER 3: SPECTRAL ANALYSIS AND FILTERING
3.1 INTRODUCTION 213
3.2 CYCLICAL BEHAVIOR AND PERIODICITY 215
3.3 POWER SPECTRUM AND CROSS SPECTRUM 218
3.4 LINEAR FILTERS 227
3.5 DISCRETE FOURIER TRANSFORM, PERIODOGRAM 234
3.6 NONPARAMETRIC SPECTRAL ESTIMATION 242
3.7 PARAMETRIC SPECTRAL ESTIMATION 251
3.8 LAGGED REGRESSION MODELS 258
3.9 SIGNAL EXTRACTION AND OPTIMUM FILTERING 263
3.10 SPECTRAL ANALYSIS OF MULTIDIMENSIONAL SERIES 268
T3.LL SPECTRAL REPRESENTATION THEOREM 270
T3.12 LARGE SAMPLE DISTRIBUTION OF DISCRETE FOURIER TRANSFORM 275
T3.13 COMPLEX MULTIVARIATE NORMAL DISTRIBUTION 284
PROBLEMS 289
CHAPTER 4: STATE-SPACE AND MULTIVARIATE ARMAX MODELS
4.1 INTRODUCTION 301
4.2 FILTERING, SMOOTHING, AND FORECASTING 312
4.3 MAXIMUM LIKELIHOOD ESTIMATION 321
CONTENTS
XM
4.4 MISSING DATA MODIFICATIONS 329
4.5 STRUCTURAL MODELS: SIGNAL EXTRACTION AND FORECASTING 333
4.6 ARMAX MODELS IN STATE-SPACE FORM 336
4.7 BOOTSTRAPPING STATE-SPACE MODELS 339
4.8 DYNAMIC LINEAR MODELS WITH SWITCHING 345
4.9 NONLINEAR AND NONNORMAL STATE-SPACE MODELS USING
MONTE CARLO METHODS 358
4.10 STOCHASTIC VOLATILITY 370
4.11 STATE-SPACE AND ARMAX MODELS FOR
LONGITUDINAL DATA ANALYSIS 372
4.12 FURTHER ASPECTS OF MULTIVARIATE ARMA AND ARMAX MODELS ... 383
PROBLEMS 404
CHAPTER 5: STATISTICAL METHODS IN THE FREQUENCY DOMAIN
5.1 INTRODUCTION 413
5.2 SPECTRAL MATRICES AND LIKELIHOOD FUNCTIONS 417
5.3 REGRESSION FOR JOINTLY STATIONARY SERIES 418
5.4 REGRESSION WITH DETERMINISTIC INPUTS 427
5.5 RANDOM COEFFICIENT REGRESSION 435
5.6 ANALYSIS OF DESIGNED EXPERIMENTS 440
5.7 DISCRIMINATION AND CLUSTER ANALYSIS 450
5.8 PRINCIPAL COMPONENTS, CANONICAL, AND FACTOR ANALYSIS 465
5.9 THE SPECTRAL ENVELOPE 483
5.10 DYNAMIC FOURIER ANALYSIS AND WAVELETS 507
PROBLEMS 521
REFERENCES 529
INDEX 543
|
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| dewey-search | 519.5/5 21 519.5/5 |
| dewey-sort | 3519.5 15 221 |
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| discipline | Mathematik Wirtschaftswissenschaften |
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| indexdate | 2024-07-09T18:37:54Z |
| institution | BVB |
| isbn | 0387989501 |
| language | English |
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| physical | XIII, 549 S. graph. Darst. |
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| spelling | Shumway, Robert H. Verfasser aut Time series analysis and its applications Robert H. Shumway ; David S. Stoffer New York [u.a.] Springer 2000 XIII, 549 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer texts in statistics Série chronologique Tijdreeksen gtt Toepassingen gtt Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Stoffer, David S. Verfasser aut DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008875641&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Shumway, Robert H. Stoffer, David S. Time series analysis and its applications Série chronologique Tijdreeksen gtt Toepassingen gtt Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4067486-1 |
| title | Time series analysis and its applications |
| title_auth | Time series analysis and its applications |
| title_exact_search | Time series analysis and its applications |
| title_full | Time series analysis and its applications Robert H. Shumway ; David S. Stoffer |
| title_fullStr | Time series analysis and its applications Robert H. Shumway ; David S. Stoffer |
| title_full_unstemmed | Time series analysis and its applications Robert H. Shumway ; David S. Stoffer |
| title_short | Time series analysis and its applications |
| title_sort | time series analysis and its applications |
| topic | Série chronologique Tijdreeksen gtt Toepassingen gtt Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Série chronologique Tijdreeksen Toepassingen Time-series analysis Zeitreihenanalyse |
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