Introduction to time series modeling
by
Kitagawa, G. (Genshiro), 1948-
Title
:
Introduction to time series modeling
Author
:
Kitagawa, G. (Genshiro), 1948-
ISBN
:
9781584889229
Publication Information
:
Boca Raton : Chapman & Hall/CRC, 2010.
Physical Description
:
307 p. : ill.
Series
:
Monographs on statistics and applied probability ; 114
Series Title
:
Monographs on statistics and applied probability ; 114
Contents
:
1. Introduction and preparatory analysis -- 2. The covariance function -- 3. The power spectrum and the periodogram -- 4. Statistical modeling -- 5. The least squares method -- 6. Analysis of time series using ARMA models -- 7. Estimation of an AR model -- 8. The locally stationary AR model -- 9. Analysis of time series with a state-space model -- 10. Estimation of the ARMA model -- 11. Estimation of trends -- 12. The seasonal adjustment model -- 13. Time-varying coefficient AR model -- 14. Non-gaussian state-space model -- 15. The sequential Monte Carlo filter -- 16. Simulation -- A. Algorithms for nonlinear optimization -- B. Derivation of Levinson's algorithm -- C. Derivation of the Kalman filter and smoother algorithms -- D. Algorithm for the Monte Carlo filter.
Subject Term
:
State-space methods.
Time-series analysis.
Electronic Access
:
Library | Material Type | Item Barcode | Shelf Number | [[missing key: search.ChildField.HOLDING]] | Status |
---|
Online Library | E-Book | 291681-1001 | ONLINE | | Elektronik Kütüphane |