Elements of Multivariate Time Series Analysis:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
New York, NY
Springer US
1993
|
| Schriftenreihe: | Springer Series in Statistics
|
| Schlagwörter: | |
| Links: | https://doi.org/10.1007/978-1-4684-0198-1 |
| Beschreibung: | The use of methods of time series analysis in the study of multivariate time series has become of increased interest in recent years. Although the methods are rather well developed and understood for univarjate time series analysis, the situation is not so complete for the multivariate case. This book is designed to introduce the basic concepts and methods that are useful in the analysis and modeling of multivariate time series, with illustrations of these basic ideas. The development includes both traditional topics such as autocovariance and auto correlation matrices of stationary processes, properties of vector ARMA models, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and model checking diagnostics for residuals, as well as topics of more recent interest for vector ARMA models such as reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate unit-root models and cointegration structure, and state-space models and Kalman filtering techniques and applications. This book concentrates on the time-domain analysis of multivariate time series, and the important subject of spectral analysis is not considered here. For that topic, the reader is referred to the excellent books by Jenkins and Watts (1968), Hannan (1970), Priestley (1981), and others |
| Umfang: | 1 Online-Ressource (XIV, 263p. 11 illus) |
| ISBN: | 9781468401981 9781468402001 |
| ISSN: | 0172-7397 |
| DOI: | 10.1007/978-1-4684-0198-1 |
Internformat
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Datensatz im Suchindex
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| discipline | Mathematik |
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| id | DE-604.BV042421017 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:10:43Z |
| institution | BVB |
| isbn | 9781468401981 9781468402001 |
| issn | 0172-7397 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027856434 |
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| physical | 1 Online-Ressource (XIV, 263p. 11 illus) |
| psigel | ZDB-2-SMA ZDB-2-BAE ZDB-2-SMA_Archive |
| publishDate | 1993 |
| publishDateSearch | 1993 |
| publishDateSort | 1993 |
| publisher | Springer US |
| record_format | marc |
| series2 | Springer Series in Statistics |
| spellingShingle | Reinsel, Gregory C. Elements of Multivariate Time Series Analysis Statistics Chemistry / Mathematics Physiology / Mathematics Engineering Economics Statistics, general Economic Theory Mathematical and Computational Biology Math. Applications in Chemistry Computational Intelligence Physiological, Cellular and Medical Topics Chemie Ingenieurwissenschaften Mathematik Statistik Wirtschaft Multivariate Analyse (DE-588)4040708-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4040708-1 (DE-588)4067486-1 |
| title | Elements of Multivariate Time Series Analysis |
| title_auth | Elements of Multivariate Time Series Analysis |
| title_exact_search | Elements of Multivariate Time Series Analysis |
| title_full | Elements of Multivariate Time Series Analysis by Gregory C. Reinsel |
| title_fullStr | Elements of Multivariate Time Series Analysis by Gregory C. Reinsel |
| title_full_unstemmed | Elements of Multivariate Time Series Analysis by Gregory C. Reinsel |
| title_short | Elements of Multivariate Time Series Analysis |
| title_sort | elements of multivariate time series analysis |
| topic | Statistics Chemistry / Mathematics Physiology / Mathematics Engineering Economics Statistics, general Economic Theory Mathematical and Computational Biology Math. Applications in Chemistry Computational Intelligence Physiological, Cellular and Medical Topics Chemie Ingenieurwissenschaften Mathematik Statistik Wirtschaft Multivariate Analyse (DE-588)4040708-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Statistics Chemistry / Mathematics Physiology / Mathematics Engineering Economics Statistics, general Economic Theory Mathematical and Computational Biology Math. Applications in Chemistry Computational Intelligence Physiological, Cellular and Medical Topics Chemie Ingenieurwissenschaften Mathematik Statistik Wirtschaft Multivariate Analyse Zeitreihenanalyse |
| url | https://doi.org/10.1007/978-1-4684-0198-1 |
| work_keys_str_mv | AT reinselgregoryc elementsofmultivariatetimeseriesanalysis |