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Books > Business & Economics > Economics > Econometrics
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Time Series Models (Paperback, 1st ed. 2022)
Loot Price: R2,678
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Time Series Models (Paperback, 1st ed. 2022)
Series: Lecture Notes in Statistics, 224
Expected to ship within 10 - 15 working days
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This textbook provides a self-contained presentation of the theory
and models of time series analysis. Putting an emphasis on weakly
stationary processes and linear dynamic models, it describes the
basic concepts, ideas, methods and results in a mathematically
well-founded form and includes numerous examples and exercises. The
first part presents the theory of weakly stationary processes in
time and frequency domain, including prediction and filtering. The
second part deals with multivariate AR, ARMA and state space
models, which are the most important model classes for stationary
processes, and addresses the structure of AR, ARMA and state space
systems, Yule-Walker equations, factorization of rational spectral
densities and Kalman filtering. Finally, there is a discussion of
Granger causality, linear dynamic factor models and (G)ARCH models.
The book provides a solid basis for advanced mathematics students
and researchers in fields such as data-driven modeling, forecasting
and filtering, which are important in statistics, control
engineering, financial mathematics, econometrics and signal
processing, among other subjects.
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