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Springer Series in Statistics

Time Series: Theory and Methods

Authors: Brockwell, Peter J., Davis, Richard A.

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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.

Table of contents (12 chapters)

Table of contents (12 chapters)

Buy this book

eBook $74.99
price for USA in USD (gross)
  • ISBN 978-1-4899-0004-3
  • 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
Time Series: Theory and Methods
Authors
Series Title
Springer Series in Statistics
Copyright
1987
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York
eBook ISBN
978-1-4899-0004-3
DOI
10.1007/978-1-4899-0004-3
Series ISSN
0172-7397
Edition Number
1
Number of Pages
XIV, 520
Topics