04053nam 22007935 450 991062019570332120251118142448.03-031-13213-010.1007/978-3-031-13213-1(MiAaPQ)EBC7120668(Au-PeEL)EBL7120668(CKB)25188927200041(PPN)265856434(DE-He213)978-3-031-13213-1(EXLCZ)992518892720004120221021d2022 u| 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierTime Series Models /by Manfred Deistler, Wolfgang Scherrer1st ed. 2022.Cham :Springer International Publishing :Imprint: Springer,2022.1 online resource (213 pages)Lecture Notes in Statistics,2197-7186 ;224Includes index.Print version: Deistler, Manfred Time Series Models Cham : Springer International Publishing AG,c2022 9783031132124 Preface -- 1 Time Series and Stationary Processes -- 2 Prediction -- 3 Spectral Representation -- 4 Filter -- 5 Autoregressive Processes -- 6 ARMA Systems and ARMA Processes -- 7 State-Space Systems -- 8 Models with Exogenous Variables -- 9 Granger Causality -- 10 Dynamic Factor Models -- 10 ARCH and GARCH Models -- Index.This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.Lecture Notes in Statistics,2197-7186 ;224Time-series analysisStochastic processesEconometricsStatisticsStatisticsSignal processingTime Series AnalysisStochastic ProcessesEconometricsStatistical Theory and MethodsStatistics in Engineering, Physics, Computer Science, Chemistry and Earth SciencesSignal, Speech and Image ProcessingAnàlisi de sèries temporalsthubLlibres electrònicsthubTime-series analysis.Stochastic processes.Econometrics.Statistics.Statistics.Signal processing.Time Series Analysis.Stochastic Processes.Econometrics.Statistical Theory and Methods.Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences.Signal, Speech and Image Processing.Anàlisi de sèries temporals519.55519.55Deistler M(Manfred),21011Scherrer WolfgangMiAaPQMiAaPQMiAaPQBOOK9910620195703321Time Series Models2960587UNINA