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A course in time series analysis /

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New statistical methods and future directions of research in time series A Course in Time Series Analysis demonstrates how to build time series models for univariate and multivariate time series data. It brings together material previously available only in the professional literature and presents a...

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Bibliographic Details
Other Authors: Peña, Daniel, 1948-, Tiao, George C., 1933-, Tsay, Ruey S., 1951-, Wilson, G. Tunnicliffe (Contributor), Gómez, Víctor (Writer on time-series analysis) (Contributor), Maravall, Agustín (Contributor), Heiler, Siegfried (Contributor), Hornik, Kurt, 1963- (Contributor), Leisch, Friedrich (Contributor), Johansen, Søren, 1939- (Contributor), Deistler, M. (Manfred) (Contributor)
Format: eBook
Language:English
Language Notes:English.
Published: New York : J. Wiley, ©2001.
Subjects:
Time-series analysis.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 1, Introduction / Daniel Peña, George C. Tiao
  • Part I, BASIC CONCEPTS IN UNIVARIATE TIME SERIES. 2, Univariate time series : autocorrelation, linear prediction, spectrum, and state-space model / G. Tunnicliffe Wilson
  • 3, Univariate autoregressive moving-average models / George C. Tiao
  • 4, Model fitting and checking, and the Kalman filter / G. Tunnicliffe Wilson
  • 5, Prediction and model selection / Daniel Peña
  • 6, Outliers, influential observations, and missing data / Daniel Peña
  • 6, Automatic modeling methods for univariate series / Victor Gómez, Agust̕ín Maravall
  • 7, Seasonal adjustment and signal extraction time series / Victor Gómez, Agust̕ín Maravall
  • 8, Advanced topics in univariate time series
  • PART II ADVANCED TOPICS IN UNIVARIATE TIME SERIES. 9, Heteroscedastic models / Ruey S. Tsay
  • 10, Nonlinear time series models : testing and applications / Ruey S. Tsay
  • 11, Bayesian time series analysis / Ruey S. Tsay
  • 12, Nonparametric time series analysis : nonparametric regression, locally weighted regression, autoregression, and quantile regression / Siegfried Heiler
  • 13, Neural network models / Kurt Hornik, Friedrich Leisch
  • PART III, MULTIVARIATE TIME SERIES. 14, Vector Arma models / George C. Tiao
  • 15, Cointegration in the VAR model / Søren Johansen
  • 16, Identification of linear dynamic multiinput/multioutput systems / Manfred Deistler - Index.
  • Univariate time series : autocorrelation, linear prediction, spectrum, and state-space model / G.T. Wilson
  • Univariate autoregressive moving-average models / G.C. Tiao
  • Model fitting and checking, and the Kalman filter / G.T. Wilson
  • Prediction and model selection / D. Peña
  • Outliers, influential observations, and missing data / D. Peña
  • Automatic modeling methods for univariate series / V. Gómez and A. Maravall
  • Seasonal adjustment and signal extraction time series / V. Gómez and A. Maravall
  • Heteroscedastic models / R.S. Tsay
  • Nonlinear time series models : testing and applications / R.S. Tsay
  • Bayesian time series analysis / R.S. Tsay
  • Nonparametric time series analysis : nonparametric regression, locally weighted regression, autoregression, and quantile regression / S. Heiler
  • Neural network models / K. Hornik and F. Leisch
  • Vector ARMA models / G.C. Tiao
  • Cointegration in the VAR model / S. Johansen
  • Identification of linear dynamic multiinput/multioutput systems / M. Deistler.