Time Series: A First Course with Bootstrap Starter

ISBN-13: 9781439876510 / Angielski / Twarda / 2019 / 566 str.

Dimitris N. Politis; Tucker S. McElroy

Opis

The book provides the foundation of time series methods, including linear filters and a geometric approach to prediction. The important paradigm of ARMA models is studied in-depth, as well as frequency domain methods. Entropy and other information theoretic notions are introduced, with applications to time series modeling

Spis treści

1. Introduction, 2. The Probabilistic Structure of Time Series, 3. Trends, Seasonality, and Filtering, 4. The Geometry of Random Variables, 5. ARMA Models with White Noise Residuals, 6. Time Series in the Frequency Domain, 7. The Spectral Representation,  8. Information and Entropy, 9. Statistical Estimation, 10. Fitting Time Series Models, 11. Nonlinear Time Series Analysis, 12. The Bootstrap, A. Probability, B. Mathematical Statistics, C. Asymptotics, D. Fourier Series, E. Stieltjes Integration