Granville Tunnicliffe Wilson, Marco Reale, John Haywood

Models for Dependent Time Series

• Gebundenes Buch

Produktbeschreibung

This book addresses the issues that arise and the methodology that can be applied when the dependence between time series is described and modeled. It shows how to draw meaningful, applicable, and statistically valid conclusions from multivariate (or vector) time series data. The book presents several extensions to the standard autoregressive model and other novel material developed by the authors that has not been published elsewhere. Data sets, MATLAB® code, and additional material are available on a supplementary website.

Produktdetails

• Verlag: Taylor & Francis Ltd (Sales)
• Seitenzahl: 340
• Erscheinungstermin: 6. August 2015
• Englisch
• Abmessung: 234mm x 157mm x 23mm
• Gewicht: 612g
• ISBN-13: 9781584886501
• ISBN-10: 1584886501
• Artikelnr.: 42573737

Autorenporträt

Granville Tunnicliffe Wilson is a reader emeritus in the Department of Mathematics and Statistics at Lancaster University, UK. His research focuses on methodology and software for time series modeling and prediction. Marco Reale is an associate professor in the School of Mathematics and Statistics at the University of Canterbury, New Zealand. His research interests include time series analysis, statistical learning, and stochastic optimization. John Haywood is a senior lecturer in the School of Mathematics and Statistics at Victoria University of Wellington, New Zealand. His research interests include time series analysis, seasonal modeling, and statistical applications, particularly in ecology.

Inhaltsangabe

Introduction and Overview. Lagged Regression and Autoregressive Models.
Spectral Analysis of Dependent Series. The Estimation of Vector
Autoregressions. Graphical Modeling of Structural VARs. VZAR: An Extension
of the VAR Model. Continuous Time VZAR Models. Irregularly Sampled Series.
Linking Graphical, Spectral and VZAR Methods. Bibliography. Index.