Time Series Models

Name: Time Series Models
Brand: Springer, Berlin
SKU: 9783031132124
Price: 417.86 PLN
Availability: InStock

Autor: Manfred Deistler, Wolfgang Scherrer

Język:

Oprawa: Miękka

Wydawca: Springer, Berlin

Dostępność: Dostępna u dostawcy

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

Informacje o książce

Autor

Manfred Deistler, Wolfgang Scherrer

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2022

strony

201

EAN

9783031132124

Enbook ID

39439340

Wydawca

Springer, Berlin

Waga

335

Wymiary

155 x 235 x 12

Pełny opis

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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