Elements of Multivariate Time Series Analysis (Springer Series in Statistics) - Hardcover

Reinsel, Gregory C.

Hardcover

ISBN 10: 0387949186 ISBN 13: 9780387949185

Publisher: Springer-Verlag New York Inc., 1997

Synopsis

Elements of Multivariate Time Series Analysis, Second Edition introduces the basic concepts and methods that are useful in the analysis and modeling of multivariate time series data that may arise in business and economics, engineering, geophysical sciences, and other fields. The book concentrates on the time-domain analysis of multivariate time series, and assumes a background in univariate time series analysis. It covers basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares and maximum likelihood estimation for ARMA models, associated likelihood ratio testing procedures, and other model specification methods useful for model building and model checking. In this revised edition, additional topics have been added and parts of the first edition have been expanded. The most notable addition is a new chapter that discusses topics that arise when exogenous variables are involved in model structures, generally through consideration of the ARMAX models. The book also includes exercise sets and multivariate time series data sets. In addition to serving as a textbook, this book will also be useful to researchers and graduate students in the areas of statistics, econometrics, business, and engineering.

Edition details

• Publisher: Springer-Verlag New York Inc.
• Publication date: 1997
• Language: English
• ISBN 10: 0387949186
• ISBN 13: 9780387949185
• Binding: Hardcover
• Edition number: 2
• Number of pages: 375