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Time Series Models

Name: Time Series Models
Brand: Springer, Berlin
SKU: 39439340
Price: 38898 HUF
Availability: InStock
Author: Manfred Deistler
ISBN: 9783031132124

Manfred Deistler

Wolfgang Scherrer

Language

English

Book Paperback

Libristo code: 39439340

Publishers Springer, Berlin, November 2021

This textbook provides a self-contained presentation of the theory and models of time series analysi... Full description

Libristo code: 39439340

265 b

38 898 Ft

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This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.