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Time Series Models
Engelsk Paperback
Time Series Models
Engelsk Paperback

811 kr
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Om denne bog

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.

Product detaljer
Sprog:
Engelsk
Sider:
201
ISBN-13:
9783031132124
Indbinding:
Paperback
Udgave:
ISBN-10:
3031132122
Kategori:
Udg. Dato:
22 okt 2022
Længde:
0mm
Bredde:
155mm
Højde:
235mm
Forlag:
Springer International Publishing AG
Oplagsdato:
22 okt 2022
Kategori sammenhænge