Elements of Multivariate Time Series Analysis
Reinsel, Gregory C.
Department of Statistics, University of Wisconsin, Madison, USA
creator
text
New York, Berlin, Heidelberg
Springer-Verlag
1995
2. Pr., corr.
monographic
eng
xiv, 263 pp., 11 Illustrations
from the Table of Contents: Preface; Vector Time Series and Model Representations; Vector ARMA Time Series Models and Forecasting; Canonical Structure of Vector ARMA Models; Initial Model Building and Least Squares Estimation for Vector AR Models; Maximum Likelihood Estimation and Model Checking for Vector ARMA Models; Reduced-Rank and Nonstationary Co-Integrated Models; State-Space Models, Kalman Filtering, and Related Topics; Appendix: Time Series Data Sets; Exercises and Problems;
Time-series analysis
Multivariate analysis
519 Probabilities and applied mathematics
0-387-94063-4
161206
IHS100583003