Introduction to time series and forecasting
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Автор   Brockwell P.J., Davis R.A. 

Описание:
This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied in economics, engineering, and the natural and social sciences. The book assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This second edition contains detailed instructions on the use of the new totally windowsbased computer package ITSM2000, the student version of which is included with the text. Expanded treatments are also given of several topics treated only briefly in the first edition. These include regression with time series errors, which plays an important role in forecasting and inference, and ARCH and GARCH models, which are widely used for the modeling of financial time series. These models can be fitted using the new version of ITSM. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and statespace models, with an optional chapter on spectral analysis. Additional topics include the Burg and HannanRissanen algorithms, unit roots, the EM algorithm, structural models, generalized statespace models with applications to time series of count data, exponential smoothing, the HoltWinters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introductions are also given to cointegration and to nonlinear, continuoustime and longmemory models.Похожие книги