Time series models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Harvester Wheatsheaf
1993
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 308 S. graph. Darst. |
| ISBN: | 0745012000 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804141348708679680 |
|---|---|
| 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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| id | DE-604.BV025889774 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:14:27Z |
| institution | BVB |
| isbn | 0745012000 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-019136328 |
| oclc_num | 263257791 |
| open_access_boolean | |
| owner | DE-11 |
| owner_facet | DE-11 |
| physical | XVIII, 308 S. graph. Darst. |
| publishDate | 1993 |
| publishDateSearch | 1993 |
| publishDateSort | 1993 |
| publisher | Harvester Wheatsheaf |
| record_format | marc |
| 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 |
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