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Main Author:	Harvey, Andrew C. 1947- (Author)
Format:	Book
Language:	English
Published:	New York [u.a.] Harvester Wheatsheaf 1993
Edition:	2. ed.
Subjects:	Stochastischer Prozess Zeitreihenanalyse Stochastisches System Modellierung Zeitreihe
Online Access:	Inhaltsverzeichnis
Physical Description:	XVIII, 308 S. graph. Darst.
ISBN:	0745012000

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adam_text	Contents List of Figures x Preface to Second Edition xii From the Preface to the First Edition xiv Note xvi Abbreviations xvii 1 Introduction 1 1.1 Analysing and Modelling Time Series 1 1.2 Outline of the Book 7 2 Stationary Stochastic Processes and their Properties in the Time 9 Domain 2.1 Basic Concepts 9 2.2 Autoregressive Processes 16 2.3 Moving Average Processes 23 2.4 Mixed Processes 25 2.5 Unobserved Components 30 2.6 Prediction and Signal Extraction 32 2.7 Properties of the Correlogram and Other Sample Statistics 39 2.8 Tests for Randomness and Normality 43 3 Estimation and Testing of Autoregressive-Moving Average Models 48 3.1 Introduction 48 3.2 Autoregressive Models 55 3.3 Moving Average and Mixed Processes 60 3.4 Hypothesis Tests and Confidence Intervals 64 3.5 Small Sample Properties 68 3.6 Model Selection 73 vii viii CONTENTS 4 State Space Models and the Kalman Filter 82 4.1 State Space Form 82 4.2 Filtering, Smoothing and Prediction 85 4.3 Gaussian Models and the Likelihood Function 89 4.4 Autoregressive-Moving Average Models 95 4.5 Regression and Time-Varying Parameters 98 Appendix A Properties of the Multivariate Normal Distribution 103 Appendix B Matrix Inversion Lemma 104 5 Time Series Models 106 5.1 Introduction 106 5.2 Autoregressive-Integrated-Moving Average Models 114 5.3 Structural Time Series Models 120 5.4 Autoregressive Models 129 5.5 Seasonality 134 5.6 Seasonal ARIMA and Structural Models 139 5.7 Long Memory and Growth Curves 147 5.8 Explanatory Variables 152 5.9 Intervention Analysis 160 6 The Frequency Domain 166 6.1 Introduction 166 6.2 Fixed Cycles 169 6.3 Spectral Representation of a Stochastic Process 175 6.4 Properties of Autoregressive-Moving Average Processes 179 6.5 Stochastic Cycles 182 6.6 Linear Filters 189 6.7 Estimation of the Spectrum 198 6.8 Maximum Likelihood Estimation of Time Series Models 205 6.9 Testing 214 6.10 Regression in the Frequency Domain 218 Appendix A Trigonometric Identities 227 Appendix B Orthogonality Relationships 228 Appendix C Fourier Transforms 229 7 Multivariate Time Series 233 7.1 Stationary Series and their Properties in the Time Domain 233 7.2 Cross-Spectral Analysis 235 7.3 Vector Autoregressive-Moving Average Processes 240 7.4 Estimation 245 7.5 Multivariate ARIMA Modelling 249 7.6 Structural Time Series Models 253 7.7 Co-integration 257 8 Non-Linear Models 265 8.1 Introduction 265 8.2 Conditionally Gaussian Models 272 8.3 Autoregressive Conditional Heteroscedasticity 275 CONTENTS ix 8.4 Stochastic Variance Models 281 8.5 Qualitative Observations and Markov Chains 285 8.6 Switching Regimes 288 Appendix Law of Iterated Expectations 291 Answers to Selected Exercises 293 References 295 i Subject Index 303 Author Index 307
any_adam_object	1
author	Harvey, Andrew C. 1947-
author_GND	(DE-588)121875032
author_facet	Harvey, Andrew C. 1947-
author_role	aut
author_sort	Harvey, Andrew C. 1947-
author_variant	a c h ac ach
building	Verbundindex
bvnumber	BV025889774
classification_rvk	QH 237
ctrlnum	(OCoLC)263257791 (DE-599)BVBBV025889774
discipline	Wirtschaftswissenschaften
edition	2. ed.
format	Book
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illustrated	Illustrated
indexdate	2024-07-09T22:14:27Z
institution	BVB
isbn	0745012000
language	English
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physical	XVIII, 308 S. graph. Darst.
publishDate	1993
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publisher	Harvester Wheatsheaf
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spelling	Harvey, Andrew C. 1947- Verfasser (DE-588)121875032 aut Time series models Andrew C. Harvey 2. ed. New York [u.a.] Harvester Wheatsheaf 1993 XVIII, 308 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Stochastisches System (DE-588)4057635-8 gnd rswk-swf Modellierung (DE-588)4170297-9 gnd rswk-swf Zeitreihe (DE-588)4127298-5 gnd rswk-swf Zeitreihe (DE-588)4127298-5 s Modellierung (DE-588)4170297-9 s Stochastischer Prozess (DE-588)4057630-9 s 1\p DE-604 Zeitreihenanalyse (DE-588)4067486-1 s 2\p DE-604 Stochastisches System (DE-588)4057635-8 s 3\p DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019136328&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	Harvey, Andrew C. 1947- Time series models Stochastischer Prozess (DE-588)4057630-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Stochastisches System (DE-588)4057635-8 gnd Modellierung (DE-588)4170297-9 gnd Zeitreihe (DE-588)4127298-5 gnd
subject_GND	(DE-588)4057630-9 (DE-588)4067486-1 (DE-588)4057635-8 (DE-588)4170297-9 (DE-588)4127298-5
title	Time series models
title_auth	Time series models
title_exact_search	Time series models
title_full	Time series models Andrew C. Harvey
title_fullStr	Time series models Andrew C. Harvey
title_full_unstemmed	Time series models Andrew C. Harvey
title_short	Time series models
title_sort	time series models
topic	Stochastischer Prozess (DE-588)4057630-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Stochastisches System (DE-588)4057635-8 gnd Modellierung (DE-588)4170297-9 gnd Zeitreihe (DE-588)4127298-5 gnd
topic_facet	Stochastischer Prozess Zeitreihenanalyse Stochastisches System Modellierung Zeitreihe
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019136328&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT harveyandrewc timeseriesmodels

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