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Science/Engineering Time Series Analysis : Univariate and Multivariate Methods

Posted on 2010-03-16

Name:	Science/Engineering Time Series Analysis : Univariate and Multivariate Methods
ASIN/ISBN:	0321322169
Language:	English
File size:	13.45 Mb
Publisher:	Addison Wesley
Pages:	624 pages
Publish Date:	2005-07-17
ISBN:	0321322169
Language:	English
File Type:	PDF
File Size:	13.45 MB

Science/Engineering Time Series Analysis : Univariate and Multivariate Methods

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Time Series Analysis : Univariate and Multivariate Methods (2nd Edition)

By William W.S. Wei

Product Description:

With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications.

Overview. Fundamental Concepts. Stationary Time Series Models. Nonstationary Time Series Models. Forecasting. Model Identification. Parameter Estimation, Diagnostic Checking, and Model Selection. Seasonal Time Series Models. Testing for a Unit Root. Intervention Analysis and Outlier Detection. Fourier Analysis. Spectral Theory of Stationary Processes. Estimation of the Spectrum. Transfer Function Models. Time Series Regression and GARCH Models. Vector Time Series Models. More on Vector Time Series. State Space Models and the Kalman Filter. Long Memory and Nonlinear Processes. Aggregation and Systematic Sampling in Time Series.

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