Verfügbarkeit: Foundations of time series analysis and prediction theory

Foundations of time series analysis and prediction theory:

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1. Verfasser:	Pourahmadi, Mohsen (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	New York [u.a.] Wiley 2001
Schriftenreihe:	Wiley series in probability and statistics : Applied probability and statistics section
Schlagworte:	Prognoses Prévision, Théorie de la Série chronologique Tijdreeksen Time-series analysis Prediction theory Prognoseverfahren Zeitreihenanalyse
Online-Zugang:	Publisher description Table of Contents Inhaltsverzeichnis
Beschreibung:	XVIII, 414 S. graph. Darst.
ISBN:	0471394343

Internformat

MARC


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Datensatz im Suchindex

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adam_text	IMAGE 1 FOUNDATIONS OF TIME SERIES ANALYSIS AND PREDICTION THEORY MOHSEN POURAHMADI NORTHERN ILLINOIS UNIVERSITY A WILEY-INTERSCIENCE PUBLICATION JOHN WILEY & SONS, INC. NEW YORK * CHICHESTER * WEINHEIM * BRISBANE * SINGAPORE * TORONTO IMAGE 2 CONTENTS PREFACE VII ACKNOWLEDGMENTS XI ACRONYMS XVII 1 INTRODUCTION 1 1.1 NONSTATIONARY DATA AND ORTHOGONALIZATION 1 1.2 ARMA MODEL FITTING PROCESS 2 1.3 REPARAMETERIZATIONS 4 1.4 MATHEMATICS OFPREDICTION THEORY 6 2 TIME SERIES ANALYSIS: ONE LONG SERIES 9 2.1 TIME SERIES DATA 10 2.2 TRANSFORMATIONS TO STATIONARITY: TREND ELIMINATION 13 2.3 TIME SERIES REGRESSION: TREND ESTIMATION 17 2.4 TRANSFORMATIONS TO ORTHOGONALITY 28 2.5 FORECASTING SYSTEMS 43 2.6 STATISTICAL TIME SERIES ANALYSIS 58 A2.7 PREDICTION THEORY 64 PROBLEMS 72 XIII IMAGE 3 XIV CONTENTS 3 TIME SERIES ANALYSIS: MANY SHORT SERIES 79 3.1 THE MODELING FRAMEWORK, DATA AND EXAMPLES 81 3.2 STRUCTURED COVARIANCE MATRICES 87 3.3 SAMPLE COVARIANCE AND CORRELATION MATRICES 90 3.4 GENERALIZED CORRELOGRAMS 93 3.5 UNCONSTRAINED REPARAMETERIZATION 98 3.6 ANTEDEPENDENCE MODELS 105 3.7 GENERALIZATIONS 108 PROBLEMS 109 4 STATIONARY AR MA MODELS 111 4.1 CAUSAL STATIONARY SOLUTIONS OF AR MODELS 112 4.2 ARMA MODELS 117 4.3 PREDICTION AND MARKOVIAN REPRESENTATION 125 4.4 INFERENCE FOR GAUSSIAN ARMA MODELS 131 4.5 CHARACTERIZATION OFARMA MODELS 142 A4.6 CONSTRUCTION OFARMA PROCESSES 144 A4.7 EXISTENCE OFARMA PROCESSES 148 PROBLEMS 152 5 STATIONARY PROCESSES 157 5.1 COVARIANCE OF STATIONARY PROCESSES 158 5.2 EXAMPLES OF STATIONARY PROCESSES 160 5.3 THE SHIFT OPERATOR AND SPECTRAL REPRESENTATION 164 5.4 PREDICTION OF STOCHASTIC PROCESSES 171 5.5 LINEAR INDEPENDENCE AND PREDICTION 176 5.6 STATISTICS OF STATIONARY PROCESSES 185 PROBLEMS 196 6 PARAMETERIZATION AND PREDICTION 201 6.1 A REGRESSION LEMMA 202 6.2 AUTOREGRESSIVE PARAMETERS AND REPRESENTATIONS 204 6.3 MOVING AVERAGE PARAMETERS AND REPRESENTATIONS 210 6.4 ARMA REPRESENTATIONS 213 6.5 INFINITE VARIANCE PROCESSES 216 PROBLEMS 223 IMAGE 4 CONTENTS XV 7 FINUEE PREDICTION AND PARTIAL CORRELATIONS 227 7.1 THE FINITE PREDICTION PROBLEM 228 7.2 DURBIN-LEVINSON ALGORITHM 233 7.3 PARTIAL CORRELATIONS 236 7.4 MULTIPLE AND CANONICAL CORRELATIONS 239 7.5 CHARACTERIZATION OFAR(P) PROCESSES 243 7.6 CONVERGENCE OF PREDICTORS 245 A7.7 SZEGOE S ORTHOGONAL POLYNOMIALS 252 A7.8 TRUNCATED MOMENT PROBLEM 260 PROBLEMS 264 8 MISSING VALUES: PAST AND FUTURE 267 8.1 PREDICTION OF LINEAR FUNCTIONS OF FUTURE 268 8.2 THE MISSING VALUE PROBLEM 270 8.3 PREDICTION USING INCOMPLETE PAST 279 8.4 INTERVENTION ANALYSIS 281 8.5 INTERPOLATION AND INVERSE CORRELATIONS 284 8.6 CANONICAL CORRELATION BETWEEN PAST AND FUTURE 287 8.7 COMPUTATION OF CANONICAL CORRELATIONS 294 PROBLEMS 296 STATIONARY SEQUENCES IN HUBERT SPACES 299 9.1 INNER PRODUCT SPACES 300 9.2 COMPLETE NORMED (BANACH) SPACES 306 9.3 ORTHOGONAL PROJECTION 309 9.4 ORTHONORMAL BASES AND EXPANSION 314 9.5 BOUNDED OPERATORS 318 9.6 PROJECTION OPERATORS AND ANGLE BETWEEN SUBSPACES 324 9.7 POSITIVE-DEFINITE FUNCTIONS 330 9.8 THE SPECTRAL THEOREM FOR UNITARY OPERATOR 334 9.9 THE SPECTRAL REPRESENTATION 340 PROBLEMS 347 IMAGE 5 XVI CONTENTS 10 STATIONARITY AND HARDY SPACES 351 10.1 THE WOLD DECOMPOSITION AND THE SPACE H 2 352 10.2 SZEGOE S DISTANCE THEOREM 359 10.3 HARDY SPACES: THEOREMS OFBEURLING 361 10.4 FOURIER SERIES 365 10.5 CONJUGATE SERIES AND ANALYTIC FUNCTIONS 369 PROBLEMS 373 APPENDIX A MULTIVARIATE DISTRIBUTIONS 375 A.1 NORMAL RANDOM VECTORS 376 A.2 MULTIVARIATE T-DISTRIBUTIONS 377 A.3 ELLIPTICALLY CONTOURED DISTRIBUTIONS 379 APPENDIX B THE BAYESIAN FORECASTING 381 B.L BAYESIAN REGRESSION MODELS 382 B.2 EFFICIENCY OFBFS 385 B.3 EFFICIENCY OFA PLUG-IN SFS 385 B.4 PROBABILITY FORECASTING SYSTEMS 386 REFERENCES 389 INDEX 405 AUTHOR INDEX 411
any_adam_object	1
author	Pourahmadi, Mohsen
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dewey-search	519.5/5 519.5/5 21
dewey-sort	3519.5 15
dewey-tens	510 - Mathematics
discipline	Mathematik Wirtschaftswissenschaften
format	Book
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spelling	Pourahmadi, Mohsen Verfasser aut Foundations of time series analysis and prediction theory Mohsen Pourahmadi New York [u.a.] Wiley 2001 XVIII, 414 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley series in probability and statistics : Applied probability and statistics section Prognoses gtt Prévision, Théorie de la Série chronologique Tijdreeksen gtt Time-series analysis Prediction theory Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s Prognoseverfahren (DE-588)4358095-6 s DE-604 http://www.loc.gov/catdir/description/wiley035/2001017918.html Publisher description http://www.loc.gov/catdir/toc/onix06/2001017918.html Table of Contents GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009553212&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Pourahmadi, Mohsen Foundations of time series analysis and prediction theory Prognoses gtt Prévision, Théorie de la Série chronologique Tijdreeksen gtt Time-series analysis Prediction theory Prognoseverfahren (DE-588)4358095-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd
subject_GND	(DE-588)4358095-6 (DE-588)4067486-1
title	Foundations of time series analysis and prediction theory
title_auth	Foundations of time series analysis and prediction theory
title_exact_search	Foundations of time series analysis and prediction theory
title_full	Foundations of time series analysis and prediction theory Mohsen Pourahmadi
title_fullStr	Foundations of time series analysis and prediction theory Mohsen Pourahmadi
title_full_unstemmed	Foundations of time series analysis and prediction theory Mohsen Pourahmadi
title_short	Foundations of time series analysis and prediction theory
title_sort	foundations of time series analysis and prediction theory
topic	Prognoses gtt Prévision, Théorie de la Série chronologique Tijdreeksen gtt Time-series analysis Prediction theory Prognoseverfahren (DE-588)4358095-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd
topic_facet	Prognoses Prévision, Théorie de la Série chronologique Tijdreeksen Time-series analysis Prediction theory Prognoseverfahren Zeitreihenanalyse
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work_keys_str_mv	AT pourahmadimohsen foundationsoftimeseriesanalysisandpredictiontheory

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