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Books > Business & Economics > Economics > Econometrics > Economic statistics
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Models for Dependent Time Series (Paperback)
Loot Price: R1,594
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Models for Dependent Time Series (Paperback)
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability
Expected to ship within 10 - 15 working days
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Models for Dependent Time Series addresses the issues that arise
and the methodology that can be applied when the dependence between
time series is described and modeled. Whether you work in the
economic, physical, or life sciences, the book shows you how to
draw meaningful, applicable, and statistically valid conclusions
from multivariate (or vector) time series data. The first four
chapters discuss the two main pillars of the subject that have been
developed over the last 60 years: vector autoregressive modeling
and multivariate spectral analysis. These chapters provide the
foundational material for the remaining chapters, which cover the
construction of structural models and the extension of vector
autoregressive modeling to high frequency, continuously recorded,
and irregularly sampled series. The final chapter combines these
approaches with spectral methods for identifying causal dependence
between time series. Web ResourceA supplementary website provides
the data sets used in the examples as well as documented MATLAB (R)
functions and other code for analyzing the examples and producing
the illustrations. The site also offers technical details on the
estimation theory and methods and the implementation of the models.
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