Time series analysis : nonstationary and noninvertible distribution theory /
"This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added....
| Main Author: | |
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| Format: | eBook |
| Language: | English |
| Published: |
Hoboken, NJ :
John Wiley & Sons, Inc.,
[2017]
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| Edition: | Second edition. |
| Series: | Wiley Series in Probability and Statistics
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | "This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition have been compressed into ten chapters, with a chapter on nonstationary panel added and located under Part I: Analysis of Non-fractional Time Series. Chapters 12 to 14 have been newly written under Part II: Analysis of Fractional Time Series. Chapter 12 discusses the basic theory of long-memory processes by introducing ARFIMA models and the fractional Brownian motion (fBm). Chapter 13 is concerned with the computation of distributions of quadratic functionals of the fBm and its ratio. Next, Chapter 14 introduces the fractional Ornstein-Uhlenbeck process, on which the statistical inference is discussed. Finally, Chapter 15 gives a complete set of solutions to problems posed at the end of most sections."--Publisher description. |
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| Physical Description: | 1 online resource |
| Bibliography: | Includes bibliographical references and indexes. |
| ISBN: | 9781119132165 9781119132110 1119132118 9781119132134 1119132134 1119132169 |