Time series models
著者
書誌事項
Time series models
Harvester Wheatsheaf, 1993
2nd ed
- : hard
- : pbk
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注記
Bibliography: p. 295-302
Includes indexes
内容説明・目次
内容説明
A companion volume to "The Econometric Analysis of Time" series, this book focuses on the estimation, testing and specification of dynamic models which are not based on any behavioural theory. It covers univariate and multivariate time series and emphasizes autoregressive moving-average processes. The book has been updated for this edition. It aims to provide a wide-ranging survey of the whole subject and and is intended for advanced undergraduates and graduate students of econometrics. It can also be used by students in other disciplines such as geography and engineering where the use of time series analysis is important.
目次
- Stationary stochastic processes and their properties in the time domain
- the frequency domain
- state space models and the Kalman filter
- estimation of autoregressive-moving average models
- model building and prediction
- selected topics in the time series regression.
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