Henrik Madsen

Time Series Analysis

• Gebundenes Buch

Produktbeschreibung

Helping readers understand the relationship between linear dynamic systems and linear stochastic processes, Time Series Analysis presents an accessible yet thorough introduction to the methods for modeling linear stochastic systems. It links systems theory with time series theory and explores static and dynamic models to illustrate the differences between model types. The text also examines the significant topics of ARMA and ARIMA processes, the autocovariance function, and the Kalman filter. It provides numerous real-world examples from economics, physics, and engineering, several exercises at the end of most chapters, and a web page with computer-based exercises and a complete collection of slides.

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Produktdetails

• Verlag: Taylor & Francis Ltd (Sales)
• Seitenzahl: 396
• Erscheinungstermin: 1. November 2007
• Englisch
• Abmessung: 243mm x 161mm x 25mm
• Gewicht: 689g
• ISBN-13: 9781420059670
• ISBN-10: 142005967X
• Artikelnr.: 23017582

Autorenporträt

Henrik Madsen

Inhaltsangabe

Preface. Introduction. Multivariate Random Variables. Regression-Based
Methods. Linear Dynamic Systems. Stochastic Processes. Identification,
Estimation, and Model Checking. Spectral Analysis. Linear Systems and
Stochastic Processes. Multivariate Time Series. State Space Models of
Dynamic Systems. Recursive Estimation. Real Life Inspired Problems.
Appendices. Bibliography. Index.