Introduction to Statistical Time Series (Probability & Mathematical Statistics)

Fuller, Wayne A.

ISBN 10: 0471287156 / ISBN 13: 9780471287155

Published by John Wiley & Sons Inc 01.06.1976., 1976

About this Item

480 Seiten Exemplar aus einer wissenchaftlichen Bibliothek Sprache: Englisch Gewicht in Gramm: 969 23,1 x 15,7 x 3,3 cm, Gebundene Ausgabe. Seller Inventory # 382438

Bibliographic Details

Title: Introduction to Statistical Time Series (...

Publisher: John Wiley & Sons Inc 01.06.1976.

Publication Date: 1976

Binding: Hardcover

Condition: Sehr gut

About this title

Synopsis:

The subject of time series is of considerable interest, especially among researchers in econometrics, engineering, and the natural sciences. As part of the prestigious Wiley Series in Probability and Statistics, this book provides a lucid introduction to the field and, in this new Second Edition, covers the important advances of recent years, including nonstationary models, nonlinear estimation, multivariate models, state space representations, and empirical model identification. New sections have also been added on the Wold decomposition, partial autocorrelation, long memory processes, and the Kalman filter.

Major topics include:
∗ Moving average and autoregressive processes
∗ Introduction to Fourier analysis
∗ Spectral theory and filtering
∗ Large sample theory
∗ Estimation of the mean and autocorrelations
∗ Estimation of the spectrum
∗ Parameter estimation
∗ Regression, trend, and seasonality
∗ Unit root and explosive time series
To accommodate a wide variety of readers, review material, especially on elementary results in Fourier analysis, large sample statistics, and difference equations, has been included.

About the Author:

WAYNE A. FULLER is Distinguished Professor in the Departments of Statistics and Economics at Iowa State University. He is the author of Measurement Error Models and numerous articles in time series, survey sampling, and econometrics. A Fellow of the American Statistical Association, the Institute of Mathematical Statistics, and the Econometric Society, he received his PhD in agricultural economics from Iowa State University.