Wei, William W. S.
Time series analysis: univariate an multivariate methods. / William W. S. Wei - 2nd ed. - Boston: Pearson, 2006. - xxii, 614p.: ill; 23cm
Includes appendix and index.
Content: 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 kalman filter -- Long memory and nonlinear processes -- Aggregation and systematic sampling in time series.
0321322169
QA280.W45
Time series analysis: univariate an multivariate methods. / William W. S. Wei - 2nd ed. - Boston: Pearson, 2006. - xxii, 614p.: ill; 23cm
Includes appendix and index.
Content: 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 kalman filter -- Long memory and nonlinear processes -- Aggregation and systematic sampling in time series.
0321322169
QA280.W45