Time series analysis
"With a focus on analyzing and modeling linear dynamic systems using statistical methods, Time Series Analysis formulates various linear models, discusses their theoretical characteristics, and explores the connections among stochastic dynamic models. Emphasizing the time domain description, the author presents theorems to highlight the most important results, proofs to clarify some results, and problems to illustrate the use of the results for modeling real-life phenomena." "Concentrating on …
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- Full title :Time series analysis / Henrik Madsen.
Summary
"With a focus on analyzing and modeling linear dynamic systems using statistical methods, Time Series Analysis formulates various linear models, discusses their theoretical characteristics, and explores the connections among stochastic dynamic models. Emphasizing the time domain description, the author presents theorems to highlight the most important results, proofs to clarify some results, and problems to illustrate the use of the results for modeling real-life phenomena."
"Concentrating on the linear aspect of this subject, Time Series Analysis provides an accessible yet thorough introduction to the methods for modeling linear stochastic systems. It will help you understand the relationship between linear dynamic systems and linear stochastic processes."--Jacket.
Edition Statements
- Publication Date:©2008.
Publication Statements
- Publisher(s):Chapman & Hall/CRC
- Place of Publication:Boca Raton
- Language:eng
- Publication Date:©2008.
The Physical Object
- Description:380 pages : : illustrations ; : 25 cm.
Edition Identifiers
- ISBN:9781420059670, 142005967X
- oclc:ocn148877182
- LC Classification:QA280
- Dewey Decimal:519.5/5
Table of Contents
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 -- Appendix A : the solution to difference equations -- Appendix B : partial autocorrelations -- Appendix C : some results from trigonometry.
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