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chatfield chris; xing haipeng - the analysis of time series

The Analysis of Time Series An Introduction with R

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Dettagli

Genere:Libro
Lingua: Inglese
Pubblicazione: 05/2019
Edizione: Edizione nuova, 7° edizione





Note Editore

This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis. The book covers a wide range of topics, including ARIMA models, forecasting methods, spectral analysis, linear systems, state-space models, the Kalman filters, nonlinear models, volatility models, and multivariate models.




Sommario

Introduction Basic Descriptive Techniques Some Linear Time Series Models Fitting Time Series Models in the Time Domain Forecasting Stationary Processes in the Frequency Domain Spectral Analysis Bivariate Processes Linear Systems State-Space Models and the Kalman Filter Non-Linear Models Volatility Models Multivariate Time Series Modelling Some More Advanced Topics Appendix A Fourier, Laplace, and z-Transforms Appendix B Dirac Delta Function Appendix C Covariance and Correlation Answers to Exercises




Autore

Chris Chatfield is a retired Reader in Statistics at the University of Bath, UK, the author of five books and numerous research papers, and an elected Honorary Fellow of the International Institute of Forecasters. Haipeng Xing is an associate professor in Applied Mathematics and Statistics at the State University of New York, Stony Brook, USA, the author of two books and numerous research papers. His research interests include quantitative finance and risk management, econometrics, applied stochastic control, and sequential statistical methodology.










Altre Informazioni

ISBN:

9781498795630

Condizione: Nuovo
Collana: Chapman & Hall/CRC Texts in Statistical Science
Dimensioni: 9.25 x 6.25 in Ø 1.38 lb
Formato: Brossura
Illustration Notes:85 b/w images and 85 line drawings
Pagine Arabe: 414


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