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Stationary Sequences and Random Fields (Paperback, 1985 ed.)
Loot Price: R2,937
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Stationary Sequences and Random Fields (Paperback, 1985 ed.)
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This book has a dual purpose. One of these is to present material
which selec tively will be appropriate for a quarter or semester
course in time series analysis and which will cover both the finite
parameter and spectral approach. The second object is the
presentation of topics of current research interest and some open
questions. I mention these now. In particular, there is a
discussion in Chapter III of the types of limit theorems that will
imply asymptotic nor mality for covariance estimates and smoothings
of the periodogram. This dis cussion allows one to get results on
the asymptotic distribution of finite para meter estimates that are
broader than those usually given in the literature in Chapter IV. A
derivation of the asymptotic distribution for spectral (second
order) estimates is given under an assumption of strong mixing in
Chapter V. A discussion of higher order cumulant spectra and their
large sample properties under appropriate moment conditions follows
in Chapter VI. Probability density, conditional probability density
and regression estimates are considered in Chapter VII under
conditions of short range dependence. Chapter VIII deals with a
number of topics. At first estimates for the structure function of
a large class of non-Gaussian linear processes are constructed. One
can determine much more about this structure or transfer function
in the non-Gaussian case than one can for Gaussian processes. In
particular, one can determine almost all the phase information."
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