Time Series Analysis with Long Memory in View
- ISBN-10
- 1119470420
- ISBN-13
- 9781119470427
- Category
- Mathematics
- Pages
- 288
- Language
- English
- Published
- 2018-09-07
- Publisher
- John Wiley & Sons
- Author
- Uwe Hassler
Description
Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.
Get the book
Similar books
-
Integral Geometry and Tomography: Proceedings of the AMS-IMS-SIAM Joint Summer Research Conference, Held June 24-30, 1989, with Support from the...
By Eric Grinberg, Eric Todd QuintoIn Section 2 we will deal with the “discrete” case. Let S be a locally finite tree T endowed with the natural integer-valued distance function: the ...
-
Ordinary Differential Equations and Linear Algebra: A Systems Approach
By Todd Kapitula... for in this case [yp](s)=s[yp](s), [yp](s)=s2[yp](s). As we will see in the examples, this assumption also makes it possible to deal with the initial ...
-
Cognition and Intractability: A Guide to Classical and Parameterized Complexity Analysis
By Iris van Rooij, Mark Blokpoel, Johan Kwisthoutx,y∈S δ(x,y) is maximum. u(x) + ADDITIVE SUBSET CHOICE Input: A set X = {x1 ,x2 ... F Tractability cycle Test 8.2 How (Not) to Deal with Intractability 173.
-
Mymathlab -- Standalone Access Card
By Pearson Education, David P Pearson Education, Hall H Pearson EducationSeveral versions of Pearson's MyLab & Mastering products exist for each title, including customized versions for individual schools, and registrations are not transferable.
-
Mymathlab Student Acc Kit + Intro Alg Wrkshts
By Inc. Pearson EducationMymathlab Student Acc Kit + Intro Alg Wrkshts
-
Pearson Mathematics 7: H.P
By Pearson Education Australia StaffPearson Mathematics homework program for Year 7 provides tear-out sheets which correspond with student book sections, providing systematic and cumulative skills revision of basic skills and current class topics in the form of take-home ...
-
Worksheets for Classroom Or Lab Practice for Intermediate Algebra: Graphs & Models
By Addison-WesleyWorksheets for Classroom Or Lab Practice for Intermediate Algebra: Graphs & Models
-
Pearson Mathematics New South Wales 8 Student Book: Australian Curriculum
By Pearson Education Australia Staff, Gael McLeod, David CoffeyThe Student Book provides an easy-to-use 'nuts and bolts' book at each year level.
-
Matrix Iterative Analysis
By Richard S. Varga... partial differential equations have received a great deal of attention. For excellent bibliographical coverage, see Todd (1956), Richtmyer (1957), ...
-
Mathematical Modelling: Education, Engineering and Economics - ICTMA 12
By C Haines, P Galbraith, W BlumTodd, P. A., McKeen, .l. ... ANALYTICAL SUPPORT PROBLEM SOLVING Cognitive Perspectives on Modelling HOW DO STUDENTS AND TEACHERS DEAL Sodhi and Son 219 NOTE ...