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9780321322166

Time Series Analysis Univariate and Multivariate Methods

Time Series Analysis Univariate and Multivariate Methods
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  • ISBN-13: 9780321322166
  • ISBN: 0321322169
  • Edition: 2
  • Publication Date: 2005
  • Publisher: Addison-Wesley

AUTHOR

Wei, William W. S.

SUMMARY

With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Overview. Fundamental Concepts. Stationary Time Series Models. Nonstationary Time Series Models. Forecasting. Model Identification. Parameter Estimation, Diagnostic Checking, and Model Selection. Seasonal Time Series Models. Testing for a Unit Root. Intervention Analysis and Outlier Detection. Fourier Analysis. Spectral Theory of Stationary Processes. Estimation of the Spectrum. Transfer Function Models. Time Series Regression and GARCH Models. Vector Time Series Models. More on Vector Time Series. State Space Models and the Kalman Filter. Long Memory and Nonlinear Processes. Aggregation and Systematic Sampling in Time Series. For all readers interested in time series analysis.Wei, William W. S. is the author of 'Time Series Analysis Univariate and Multivariate Methods', published 2005 under ISBN 9780321322166 and ISBN 0321322169.

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