Time series: theory and methods
Brockwell, Peter J.
Time series: theory and methods Brockwell, Peter J. - 2nd ed. - New York Springer 1991 - xvi, 577 p. - Springer series in statistics .
Includes bibliographical references (p. [561]-566) and index.
Teh book is 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 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 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 non-linear models.
9780387974293
Time-series analysis
519.55
Time series: theory and methods Brockwell, Peter J. - 2nd ed. - New York Springer 1991 - xvi, 577 p. - Springer series in statistics .
Includes bibliographical references (p. [561]-566) and index.
Teh book is 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 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 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 non-linear models.
9780387974293
Time-series analysis
519.55