04157nam 2200649 450 991046558790332120200520144314.01-118-63434-91-118-63423-3(CKB)3710000000655022(EBL)4517503(SSID)ssj0001663790(PQKBManifestationID)16449710(PQKBTitleCode)TC0001663790(PQKBWorkID)14995260(PQKB)10343940(PQKBManifestationID)16453527(PQKB)22890325(MiAaPQ)EBC4517503(DLC) 2015025132(Au-PeEL)EBL4517503(CaPaEBR)ebr11211485(CaONFJC)MIL919795(OCoLC)911618243(EXLCZ)99371000000065502220160601h20162016 uy 0engur|n|---|||||txtccrTime series analysis /Wilfredo PalmaHoboken, New Jersey :Wiley,2016.©20161 online resource (623 p.)Wiley Series in Probability and StatisticsDescription based upon print version of record.1-118-63432-2 Includes bibliographical references and indexes.Title Page; Copyright; Table of Contents; PREFACE; ACKNOWLEDGMENTS; ACRONYMS; ABOUT THE COMPANION WEBSITE; CHAPTER 1: INTRODUCTION; 1.1 TIME SERIES DATA; 1.2 RANDOM VARIABLES AND STATISTICAL MODELING; 1.3 DISCRETE-TIME MODELS; 1.4 SERIAL DEPENDENCE; 1.5 NONSTATIONARITY; 1.6 WHITENESS TESTING; 1.7 PARAMETRIC AND NONPARAMETRIC MODELING; 1.8 FORECASTING; 1.9 TIME SERIES MODELING; 1.10 BIBLIOGRAPHIC NOTES; Problems; CHAPTER 2: LINEAR PROCESSES; 2.1 DEFINITION; 2.2 STATIONARITY; 2.3 INVERTIBILITY; 2.4 CAUSALITY; 2.5 REPRESENTATIONS OF LINEAR PROCESSES; 2.6 WEAK AND STRONG DEPENDENCE2.7 ARMA MODELS2.8 AUTOCOVARIANCE FUNCTION; 2.9 ACF AND PARTIAL ACF FUNCTIONS; 2.10 ARFIMA PROCESSES; 2.11 FRACTIONAL GAUSSIAN NOISE; 2.12 BIBLIOGRAPHIC NOTES; Problems; CHAPTER 3: STATE SPACE MODELS; 3.1 INTRODUCTION; 3.2 LINEAR DYNAMICAL SYSTEMS; 3.3 STATE SPACE MODELING OF LINEAR PROCESSES; 3.4 STATE ESTIMATION; 3.5 EXOGENOUS VARIABLES; 3.6 BIBLIOGRAPHIC NOTES; Problems; CHAPTER 4: SPECTRAL ANALYSIS; 4.1 TIME AND FREQUENCY DOMAINS; 4.2 LINEAR FILTERS; 4.3 SPECTRAL DENSITY; 4.4 PERIODOGRAM; 4.5 SMOOTHED PERIODOGRAM; 4.6 EXAMPLES; 4.7 WAVELETS; 4.8 SPECTRAL REPRESENTATION4.9 TIME-VARYING SPECTRUM4.10 BIBLIOGRAPHIC NOTES; Problems; CHAPTER 5: ESTIMATION METHODS; 5.1 MODEL BUILDING; 5.2 PARSIMONY; 5.3 AKAIKE AND SCHWARTZ INFORMATION CRITERIA; 5.4 ESTIMATION OF THE MEAN; 5.5 ESTIMATION OF AUTOCOVARIANCES; 5.6 MOMENT ESTIMATION; 5.7 MAXIMUM-LIKELIHOOD ESTIMATION; 5.8 WHITTLE ESTIMATION; 5.9 STATE SPACE ESTIMATION; 5.10 ESTIMATION OF LONG-MEMORY PROCESSES; 5.11 NUMERICAL EXPERIMENTS; 5.12 BAYESIAN ESTIMATION; 5.13 STATISTICAL INFERENCE; 5.14 ILLUSTRATIONS; 5.15 BIBLIOGRAPHIC NOTES; Problems; CHAPTER 6: NONLINEAR TIME SERIES; 6.1 INTRODUCTIONCHAPTER 8: NONSTATIONARY PROCESSES8.1 INTRODUCTION; 8.2 UNIT ROOT TESTING; 8.3 ARIMA PROCESSES; 8.4 LOCALLY STATIONARY PROCESSES; 8.5 STRUCTURAL BREAKS; 8.6 BIBLIOGRAPHIC NOTES; Problems; CHAPTER 9: SEASONALITY; 9.1 SARIMA MODELS; 9.2 SARFIMA MODELS; 9.3 GARMA MODELS; 9.4 CALCULATION OF THE ASYMPTOTIC VARIANCE; 9.5 AUTOCOVARIANCE FUNCTION; 9.6 MONTE CARLO STUDIES; 9.7 ILLUSTRATION; 9.8 BIBLIOGRAPHIC NOTES; Problems; CHAPTER 10: TIME SERIES REGRESSION; 10.1 MOTIVATION; 10.2 DEFINITIONS; 10.3 PROPERTIES OF THE LSE; 10.4 PROPERTIES OF THE BLUE; 10.5 ESTIMATION OF THE MEAN; 10.6 POLYNOMIAL TREND10.7 HARMONIC REGRESSIONWiley series in probability and statistics.Time-series analysisElectronic books.Time-series analysis.519.5/5Palma Wilfredo304435MiAaPQMiAaPQMiAaPQBOOK9910465587903321Time series analysis2085710UNINA