Overview
- Authors:
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Peter J. Brockwell
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Department of Statistics, Colorado State University, Fort Collins, USA
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Richard A. Davis
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Department of Statistics, Colorado State University, Fort Collins, USA
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Table of contents (12 chapters)
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- Peter J. Brockwell, Richard A. Davis
Pages 1-41
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- Peter J. Brockwell, Richard A. Davis
Pages 42-76
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- Peter J. Brockwell, Richard A. Davis
Pages 77-111
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- Peter J. Brockwell, Richard A. Davis
Pages 112-158
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- Peter J. Brockwell, Richard A. Davis
Pages 159-190
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- Peter J. Brockwell, Richard A. Davis
Pages 191-210
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- Peter J. Brockwell, Richard A. Davis
Pages 211-230
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- Peter J. Brockwell, Richard A. Davis
Pages 231-264
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- Peter J. Brockwell, Richard A. Davis
Pages 265-319
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- Peter J. Brockwell, Richard A. Davis
Pages 320-390
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- Peter J. Brockwell, Richard A. Davis
Pages 391-446
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- Peter J. Brockwell, Richard A. Davis
Pages 447-498
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Back Matter
Pages 499-519
About this book
We have attempted in this book to give 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 the 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 is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It has been used both at the M. S. level, emphasizing the more practical aspects of modelling, and at the Ph. D. level, where the detailed mathematical derivations of the deeper results can be included. Distinctive features of the book are the extensive use of elementary Hilbert space methods and recursive prediction techniques based on innovations, use of the exact Gaussian likelihood and AIC for inference, a thorough treatment of the asymptotic behavior of the maximum likelihood estimators of the coefficients of univariate ARMA models, extensive illustrations of the tech niques by means of numerical examples, and a large number of problems for the reader. The companion diskette contains programs written for the IBM PC, which can be used to apply the methods described in the text.
