Elements of Multivariate Time Series Analysis (Paperback, Softcover reprint of the original 2nd ed. 1997)

Elements of Multivariate Time Series Analysis, Second Edition introduces the basic concepts and methods that are useful in the analysis and modeling of multivariate time series data that may arise in business and economics, engineering, geophysical sciences, and other fields. The book concentrates on the time-domain analysis of multivariate time series, and assumes a background in univariate time series analysis. It covers basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares and maximum likelihood estimation for ARMA models, associated likelihood ratio testing procedures, and other model specification methods useful for model building and model checking. In this revised edition, additional topics have been added and parts of the first edition have been expanded. The most notable addition is a new chapter that discusses topics that arise when exogenous variables are involved in model structures, generally through consideration of the ARMAX models. The book also includes exercise sets and multivariate time series data sets. In addition to serving as a textbook, this book will also be useful to researchers and graduate students in the areas of statistics, econometrics, business, and engineering.

General

Imprint:	Springer-Verlag New York
Country of origin:	United States
Series:	Springer Series in Statistics
Release date:	October 2003
First published:	1997
Authors:	Gregory C. Reinsel
Dimensions:	235 x 155 x 22mm (L x W x T)
Format:	Paperback
Pages:	358
Edition:	Softcover reprint of the original 2nd ed. 1997
ISBN-13:	978-0-387-40619-0
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Promotions
LSN:	0-387-40619-0
Barcode:	9780387406190

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!