Verfügbarkeit: Time series analysis and its applications

Time series analysis and its applications:

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Bibliographische Detailangaben
Beteiligte Personen:	Shumway, Robert H. (VerfasserIn), Stoffer, David S. (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	New York [u.a.] Springer 2000
Schriftenreihe:	Springer texts in statistics
Schlagwörter:	Série chronologique Tijdreeksen Toepassingen Time-series analysis Zeitreihenanalyse
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008875641&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XIII, 549 S. graph. Darst.
ISBN:	0387989501

Internformat

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Datensatz im Suchindex

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adam_text	ROBERT H. SHUMWAY DAVID S. STOFFER TIME SERIES ANALYSIS AND ITS APPLICATIONS WITH 152 FIGURES SPRINGER CONTENTS PREFACE VII CHAPTER 1: CHARACTERISTICS OF TIME SERIES 1.1 INTRODUCTION 1 1.2 THE NATURE OF TIME SERIES DATA 4 1.3 TIME SERIES STATISTICAL MODELS 9 1.4 MEASURES OF DEPENDENCE: AUTO AND CROSS CORRELATION 15 1.5 STATIONARY TIME SERIES 19 1.6 ESTIMATION OF CORRELATION 25 1.7 EXPLORATORY DATA ANALYSIS 31 1.8 CLASSICAL REGRESSION AND SMOOTHING IN THE TIME SERIES CONTEXT... 38 1.9 VECTOR VALUED AND MULTIDIMENSIONAL SERIES 51 T1.10 CONVERGENCE MODES 56 TL.LL CENTRAL LIMIT THEOREMS 65 T1.12 THE MEAN AND AUTOCORRELATION FUNCTIONS 69 PROBLEMS 78 CHAPTER 2: TIME SERIES REGRESSION AND ARIMA MODELS 2.1 INTRODUCTION 89 2.2 AUTOREGRESSIVE MOVING AVERAGE MODELS 90 XII CONTENTS 2.3 HOMOGENEOUS DIFFERENCE EQUATIONS 102 2.4 AUTOCORRELATION AND PARTIAL AUTOCORRELATION FUNCTIONS 107 2.5 FORECASTING 114 2.6 ESTIMATION 125 2.7 INTEGRATED MODELS FOR NONSTATIONARY DATA 142 2.8 BUILDING ARIMA MODELS 144 2.9 MULTIPLICATIVE SEASONAL ARIMA MODELS 155 2.10 LONG MEMORY ARMA AND FRACTIONAL DIFFERENCING 166 2.11 THRESHOLD MODELS 171 2.12 REGRESSION WITH AUTOCORRELATED ERRORS 175 2.13 LAGGED REGRESSION: TRANSFER FUNCTION MODELING 178 2.14 ARCH MODELS 184 T2.14 HILBERT SPACES AND THE PROJECTION THEOREM 190 T2.16 CAUSAL CONDITIONS FOR ARMA MODELS 195 T2.17 LARGE SAMPLE DISTRIBUTION OF AR ESTIMATORS 197 PROBLEMS 201 CHAPTER 3: SPECTRAL ANALYSIS AND FILTERING 3.1 INTRODUCTION 213 3.2 CYCLICAL BEHAVIOR AND PERIODICITY 215 3.3 POWER SPECTRUM AND CROSS SPECTRUM 218 3.4 LINEAR FILTERS 227 3.5 DISCRETE FOURIER TRANSFORM, PERIODOGRAM 234 3.6 NONPARAMETRIC SPECTRAL ESTIMATION 242 3.7 PARAMETRIC SPECTRAL ESTIMATION 251 3.8 LAGGED REGRESSION MODELS 258 3.9 SIGNAL EXTRACTION AND OPTIMUM FILTERING 263 3.10 SPECTRAL ANALYSIS OF MULTIDIMENSIONAL SERIES 268 T3.LL SPECTRAL REPRESENTATION THEOREM 270 T3.12 LARGE SAMPLE DISTRIBUTION OF DISCRETE FOURIER TRANSFORM 275 T3.13 COMPLEX MULTIVARIATE NORMAL DISTRIBUTION 284 PROBLEMS 289 CHAPTER 4: STATE-SPACE AND MULTIVARIATE ARMAX MODELS 4.1 INTRODUCTION 301 4.2 FILTERING, SMOOTHING, AND FORECASTING 312 4.3 MAXIMUM LIKELIHOOD ESTIMATION 321 CONTENTS XM 4.4 MISSING DATA MODIFICATIONS 329 4.5 STRUCTURAL MODELS: SIGNAL EXTRACTION AND FORECASTING 333 4.6 ARMAX MODELS IN STATE-SPACE FORM 336 4.7 BOOTSTRAPPING STATE-SPACE MODELS 339 4.8 DYNAMIC LINEAR MODELS WITH SWITCHING 345 4.9 NONLINEAR AND NONNORMAL STATE-SPACE MODELS USING MONTE CARLO METHODS 358 4.10 STOCHASTIC VOLATILITY 370 4.11 STATE-SPACE AND ARMAX MODELS FOR LONGITUDINAL DATA ANALYSIS 372 4.12 FURTHER ASPECTS OF MULTIVARIATE ARMA AND ARMAX MODELS ... 383 PROBLEMS 404 CHAPTER 5: STATISTICAL METHODS IN THE FREQUENCY DOMAIN 5.1 INTRODUCTION 413 5.2 SPECTRAL MATRICES AND LIKELIHOOD FUNCTIONS 417 5.3 REGRESSION FOR JOINTLY STATIONARY SERIES 418 5.4 REGRESSION WITH DETERMINISTIC INPUTS 427 5.5 RANDOM COEFFICIENT REGRESSION 435 5.6 ANALYSIS OF DESIGNED EXPERIMENTS 440 5.7 DISCRIMINATION AND CLUSTER ANALYSIS 450 5.8 PRINCIPAL COMPONENTS, CANONICAL, AND FACTOR ANALYSIS 465 5.9 THE SPECTRAL ENVELOPE 483 5.10 DYNAMIC FOURIER ANALYSIS AND WAVELETS 507 PROBLEMS 521 REFERENCES 529 INDEX 543
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author	Shumway, Robert H. Stoffer, David S.
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indexdate	2024-12-20T10:40:14Z
institution	BVB
isbn	0387989501
language	English
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physical	XIII, 549 S. graph. Darst.
publishDate	2000
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spellingShingle	Shumway, Robert H. Stoffer, David S. Time series analysis and its applications Série chronologique Tijdreeksen gtt Toepassingen gtt Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd
subject_GND	(DE-588)4067486-1
title	Time series analysis and its applications
title_auth	Time series analysis and its applications
title_exact_search	Time series analysis and its applications
title_full	Time series analysis and its applications Robert H. Shumway ; David S. Stoffer
title_fullStr	Time series analysis and its applications Robert H. Shumway ; David S. Stoffer
title_full_unstemmed	Time series analysis and its applications Robert H. Shumway ; David S. Stoffer
title_short	Time series analysis and its applications
title_sort	time series analysis and its applications
topic	Série chronologique Tijdreeksen gtt Toepassingen gtt Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd
topic_facet	Série chronologique Tijdreeksen Toepassingen Time-series analysis Zeitreihenanalyse
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008875641&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT shumwayroberth timeseriesanalysisanditsapplications AT stofferdavids timeseriesanalysisanditsapplications

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Teilbibliothek Mathematik & Informatik

Bestandsangaben von Teilbibliothek Mathematik & Informatik
Signatur:	0102 MAT 634f 2001 A 31442 Lageplan 0102 MAT 634f 2001 A 31443 Lageplan
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Exemplar 2	Ausleihbar Am Standort