Multidimensional Stationary Time Series: Dimension Reduction and Prediction

ISBN-13: 9780367569327 / Angielski / Twarda / 2021 / 270 str.

Marianna Bolla; Tamás Szabados

Opis

This book gives a brief survey of the theory of multidimensional (multivariate), weakly stationary time series, with emphasis on dimension reduction and prediction.

Spis treści

1. Harmonic analysis of stationary time series. 2. ARMA, regular, and singular time series in 1D. 3. Linear system theory, state space models. 4. Multidimensional time series. 5. Dimension reduction and prediction in the time and frequency domain. Appendices.