Springer Series in Statistics

Elements of Multivariate Time Series Analysis

Authors: Reinsel, Gregory C.

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  • ISBN 978-1-4684-0198-1
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About this Textbook

The use of methods of time series analysis in the study of multivariate time series has become of increased interest in recent years. Although the methods are rather well developed and understood for univarjate time series analysis, the situation is not so complete for the multivariate case. This book is designed to introduce the basic concepts and methods that are useful in the analysis and modeling of multivariate time series, with illustrations of these basic ideas. The development includes both traditional topics such as autocovariance and auto­ correlation matrices of stationary processes, properties of vector ARMA models, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and model checking diagnostics for residuals, as well as topics of more recent interest for vector ARMA models such as reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate unit-root models and cointegration structure, and state-space models and Kalman filtering techniques and applications. This book concentrates on the time-domain analysis of multivariate time series, and the important subject of spectral analysis is not considered here. For that topic, the reader is referred to the excellent books by Jenkins and Watts (1968), Hannan (1970), Priestley (1981), and others.

Table of contents (7 chapters)

  • Vector Time Series and Model Representations

    Reinsel, Gregory C.

    Pages 1-20

  • Vector ARMA Time Series Models and Forecasting

    Reinsel, Gregory C.

    Pages 21-51

  • Canonical Structure of Vector ARMA Models

    Reinsel, Gregory C.

    Pages 52-73

  • Initial Model Building and Least Squares Estimation for Vector AR Models

    Reinsel, Gregory C.

    Pages 74-110

  • Maximum Likelihood Estimation and Model Checking for Vector ARMA Models

    Reinsel, Gregory C.

    Pages 111-153

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-1-4684-0198-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
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Bibliographic Information

Bibliographic Information
Book Title
Elements of Multivariate Time Series Analysis
Authors
Series Title
Springer Series in Statistics
Copyright
1993
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York, Inc.
eBook ISBN
978-1-4684-0198-1
DOI
10.1007/978-1-4684-0198-1
Series ISSN
0172-7397
Edition Number
1
Number of Pages
XIV, 263
Topics