Introduction to modern time series analysis
著者
書誌事項
Introduction to modern time series analysis
Springer, c2008
- : [pbk.]
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
This book contains the most important approaches to analyze time series which may be stationary or nonstationary. It starts with modeling and forecasting univariate time series and then presents Granger causality tests and vector autoregressive models for multiple stationary time series. It also covers modeling volatilities of financial time series with autoregressive conditional heteroskedastic models.
目次
and Basics.- Univariate Stationary Processes.- Granger Causality.- Vector Autoregressive Processes.- Nonstationary Processes.- Cointegration.- Autoregressive Conditional Heteroskedasticity.
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