"This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends h…
This text combines stochastic modeling and statistical inference in a variety of standard and less common models, such as point processes, Markov random fields and hidden Markov models, in a clear, thoughtful and succinct manner. The main distinguishing feature of this work is t…
If you are a business person, who desires to forecast demands and sales, or a researcher, who wishes to predict a future event, this textbook is for you. The book is also written for upper-division undergraduate students, first year MBA students, and other readers who wish to ac…
Time series: theory and methods
by Davis, Richard A., Brockwell, Peter J.
fromSpringer Series in Statistics
Empirical studies have revealed that many financial asset returns are characterized by an asymmetric behavior of the volatility. Aside from asymmetry, another important stylized fact about the volatility is its long memory effect. Given that the computation of the volatility is …