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We have attempted in this book to give a systematic 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 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 has been used both at the M. S. level, emphasizing the more practical aspects of modelling, and at the Ph. D. level, where the detailed mathematical derivations of the deeper results can be included. 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, a thorough treatment of the asymptotic behavior of the maximum likelihood estimators of the coefficients of univariate ARMA models, extensive illustrations of the tech niques by means of numerical examples, and a large number of problems for the reader. The companion diskette contains programs written for the IBM PC, which can be used to apply the methods described in the text.
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Time-series analysis, Mathematical modelsShowing 6 featured editions. View all 6 editions?
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Time Series: Theory and Methods (Springer Series in Statistics)
September 18, 1998, Springer
in English
0387974296 9780387974293
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Time series: theory and methods
1991, Springer-Verlag, Springer
in English
- 2nd ed.
0387974296 9780387974293
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Time Series: Theory and Methods
1987, Springer New York, Springer
in English
1489900047 9781489900043
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Book Details
First Sentence
"In this chapter we introduce some basic ideas of time series analysis and stochastic processes."
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- Created April 29, 2008
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July 30, 2019 | Edited by MARC Bot | associate edition with work OL2574670W |
August 5, 2010 | Edited by IdentifierBot | added LibraryThing ID |
April 24, 2010 | Edited by Open Library Bot | Fixed duplicate goodreads IDs. |
April 16, 2010 | Edited by bgimpertBot | Added goodreads ID. |
April 29, 2008 | Created by an anonymous user | Imported from amazon.com record |