| Autore |
Palma Wilfredo
|
| Pubbl/distr/stampa |
Hoboken, New Jersey : , : Wiley, , 2016
|
| Descrizione fisica |
1 online resource (623 p.)
|
| Disciplina |
519.5/5
|
| Collana |
Wiley Series in Probability and Statistics
|
| Soggetto topico |
Time-series analysis
|
| Soggetto genere / forma |
Electronic books.
|
| ISBN |
1-118-63434-9
1-118-63423-3
|
| Formato |
Materiale a stampa  |
| Livello bibliografico |
Monografia |
| Lingua di pubblicazione |
eng
|
| Nota di contenuto |
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 DEPENDENCE
2.7 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 REPRESENTATION
4.9 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 INTRODUCTION
CHAPTER 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 TREND
10.7 HARMONIC REGRESSION
|
| Record Nr. | UNINA-9910465587903321 |
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Time series analysis / / Wilfredo Palma
