Time Series

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  • Edition: 2nd
  • Format: Hardcover
  • Copyright: 1991-01-01
  • Publisher: Springer Verlag
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Time Series: Theory and Methodsis 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 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 intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes and non-linear models. Most of the programs used in the book are available on diskettes for the IBM-PC. These diskettes, with the accompanying manual, ITSM: The Interactive Time SeriesModelling Packagefor thePC, also by Brockwell and Davis, can be purchased from Springer-Verlag.

Table of Contents

Stationary Time Series
Hilbert Spaces
Stationary ARMA Processes
The Spectral Representation of a Stationary Process
Prediction of Stationary Processes
Asymptotic Theory
Estimation of the Mean and the Autocovariance Function
Estimation for ARMA Models
Model Building and Forecasting with ARIMA Processes
Inference for the Spectrum of a Stationary Process
Multivariate Time Series
State-Space Models and the Kalman Recursions
Further Topics
Appendix: Data Sets
Table of Contents provided by Publisher. All Rights Reserved.

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