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Time Series Models

Name: Time Series Models
Brand: Springer, Berlin
SKU: 9783031132124
Price: 2234 CZK
Availability: InStock

Autor: Manfred Deistler, Wolfgang Scherrer

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer, Berlin

Dostupnost: Skladem u dodavatele

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2 234 Kč

This textbook provides a self-contained presentation of the theory and models of time series analysi...

Informace o knize

Autor

Manfred Deistler, Wolfgang Scherrer

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2022

Stránek

201

EAN

9783031132124

Enbook ID

39439340

Vydavatel

Springer, Berlin

Hmotnost

335

Rozměry

155 x 235 x 12

Kompletní popis

This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.

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Time Series Models

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