Time Series: Theory and Methods (Undergraduate Texts in Mathematics) - Hardcover

Richard-a-davis-peter-j-brockwell

Hardcover

ISBN 10: 0387964061 ISBN 13: 9780387964065

Publisher: Springer Verlag Gmbh, 1987

Synopsis

This study gives an account of linear time series models and their application to the modelling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to instill an understanding of the mathematical basis behind these techniques. The text contains chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes and non-linear models. Distinctive features of the book are the extensive use of elementary Hilbert space methods and recursive prediction techniques based on innovations, use of the exact Gaussian likelihood and AIC for inference, treatment of the asymptotic behaviour of the maximum likelihood estimators of the coefficients of univariate ARMA models, illustrations of the techniques by means of numerical examples, and a number of problems for the reader.

About this title

From the Back Cover

This paperback edition is a reprint of the 1991 edition. Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for the techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes, and nonlinear models. Most of the programs used in the book are available in the modeling package ITSM2000, the student version of which can be downloaded from http://www.stat.colostate.edu/~pjbrock/student06.

Edition details

• Publisher: Springer Verlag Gmbh
• Publication date: 1987
• Language: English
• ISBN 10: 0387964061
• ISBN 13: 9780387964065
• Binding: Hardcover
• Edition number: 2