Henrik Madsen: Time Series Analysis | Buch

Cover: 9781420059670 | Time Series Analysis | Henrik Madsen | Buch | Englisch | 2007

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Sprache: Englisch

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Beschreibung

Helping readers understand the relationship between linear dynamic systems and linear stochastic processes, Time Series Analysis presents an accessible yet thorough introduction to the methods for modeling linear stochastic systems. It links systems theory with time series theory and explores static and dynamic models to illustrate the differences between model types. The text also examines the significant topics of ARMA and ARIMA processes, the autocovariance function, and the Kalman filter. It provides numerous real-world examples from economics, physics, and engineering, several exercises at the end of most chapters, and a web page with computer-based exercises and a complete collection of slides.

Über den Autor

Henrik Madsen

Inhaltsverzeichnis

Preface. Introduction. Multivariate Random Variables. Regression-Based Methods. Linear Dynamic Systems. Stochastic Processes. Identification, Estimation, and Model Checking. Spectral Analysis. Linear Systems and Stochastic Processes. Multivariate Time Series. State Space Models of Dynamic Systems. Recursive Estimation. Real Life Inspired Problems. Appendices. Bibliography. Index.

Details

Erscheinungsjahr:	2007
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Importe , Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
ISBN-13:	9781420059670
ISBN-10:	142005967X
Sprache:	Englisch
Einband:	Gebunden
Autor:	Madsen, Henrik
Hersteller:	Chapman and Hall/CRC
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	240 x 161 x 26 mm
Von/Mit:	Henrik Madsen
Erscheinungsdatum:	28.11.2007
Gewicht:	0,76 kg