Elements of Multivariate Time Series Analysis is popular PDF and ePub book, written by Gregory C. Reinsel in 2012-12-06, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Elements of Multivariate Time Series Analysis can be Read Online from any device for your convenience.
Elements of Multivariate Time Series Analysis Book PDF Summary
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.
Detail Book of Elements of Multivariate Time Series Analysis PDF
- Author : Gregory C. Reinsel
- Release : 06 December 2012
- Publisher : Springer Science & Business Media
- ISBN : 9781468401981
- Genre : Mathematics
- Total Page : 278 pages
- Language : English
- PDF File Size : 21,6 Mb
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