Time Series: Modeling, Computation, and Inference, Second Edition

ISBN-13: 9781498747028 / Angielski / Twarda / 2021 / 452 str.

Raquel Prado; Marco A. R. Ferreira; Mike West

Opis

This is the second edition of a popular graduate level textbook on time series modeling, computation and inference. The book is essentially unique in its approach, with a focus on Bayesian methods, although classical methods are also covered.

Spis treści

1. Notation, definitions, and basic inference
2. Traditional time domain models
3. The frequency domain
4. Dynamic linear models
5. State-space TVAR models
6. SMC methods for state-space models
7. Mixture models in time series
8. Topics and examples in multiple time series
9. Vector AR and ARMA models
10. General classes of multivariate dynamic models
11. Latent factor models