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OCoLC |
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20240329122006.0 |
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230209s2013 xx o ||| 0 eng d |
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|a EBLCP
|b eng
|c EBLCP
|d OCLCO
|d OCLCQ
|d EBLCP
|d OCLCQ
|d OCLCL
|d OCLCQ
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| 020 |
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|a 9781118617793
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| 020 |
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|a 1118617797
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| 035 |
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|a (OCoLC)1347024999
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| 082 |
0 |
4 |
|a 519.5/5
|q OCoLC
|2 23/eng/20231120
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| 049 |
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|a UAMI
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| 100 |
1 |
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|a Tsay, Ruey S.
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| 245 |
1 |
0 |
|a Multivariate Time Series Analysis
|h [electronic resource] :
|b With R and Financial Applications.
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| 260 |
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|a Newark :
|b John Wiley & Sons, Incorporated,
|c 2013.
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| 300 |
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|a 1 online resource (522 p.).
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| 490 |
1 |
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|a New York Academy of Sciences Ser.
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| 500 |
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|a Description based upon print version of record.
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| 505 |
0 |
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|a Intro -- Multivariate Time Series Analysis: With R and Financial Applications -- Copyright -- Contents -- Preface -- Acknowledgements -- 1 Multivariate Linear Time Series -- 1.1 Introduction -- 1.2 Some Basic Concepts -- 1.2.1 Stationarity -- 1.2.2 Linearity -- 1.2.3 Invertibility -- 1.3 Cross-Covariance and Correlation Matrices -- 1.4 Sample CCM -- 1.5 Testing Zero Cross-Correlations -- 1.6 Forecasting -- 1.7 Model Representations -- 1.8 Outline of the Book -- 1.9 Software -- Exercises -- 2 Stationary Vector Autoregressive Time Series -- 2.1 Introduction -- 2.2 VAR(1) Models
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| 505 |
8 |
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|a 2.2.1 Model Structure and Granger Causality -- 2.2.2 Relation to Transfer Function Model -- 2.2.3 Stationarity Condition -- 2.2.4 Invertibility -- 2.2.5 Moment Equations -- 2.2.6 Implied Models for the Components -- 2.2.7 Moving-Average Representation -- 2.3 VAR(2) Models -- 2.3.1 Stationarity Condition -- 2.3.2 Moment Equations -- 2.3.3 Implied Marginal Component Models -- 2.3.4 Moving-Average Representation -- 2.4 VAR(p) Models -- 2.4.1 A VAR(1) Representation -- 2.4.2 Stationarity Condition -- 2.4.3 Moment Equations -- 2.4.4 Implied Component Models -- 2.4.5 Moving-Average Representation
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| 505 |
8 |
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|a 2.5 Estimation -- 2.5.1 Least-Squares Methods -- 2.5.2 Maximum Likelihood Estimate -- 2.5.3 Limiting Properties of LS Estimate -- 2.5.4 Bayesian Estimation -- 2.6 Order Selection -- 2.6.1 Sequential Likelihood Ratio Tests -- 2.6.2 Information Criteria -- 2.7 Model Checking -- 2.7.1 Residual Cross-Correlations -- 2.7.2 Multivariate Portmanteau Statistics -- 2.7.3 Model Simplification -- 2.8 Linear Constraints -- 2.9 Forecasting -- 2.9.1 Forecasts of a Given Model -- 2.9.2 Forecasts of an Estimated Model -- 2.10 Impulse Response Functions -- 2.10.1 Orthogonal Innovations
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| 505 |
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|a 2.11 Forecast ErrorVariance Decomposition -- 2.12 Proofs -- Exercises -- References -- 3 Vector Autoregressive Moving-Average Time Series -- 3.1 Vector MA Models -- 3.1.1 VMA(1) Model -- 3.1.2 Properties of VMA(q) Models -- 3.2 Specifying VMA Order -- 3.3 Estimation of VMA Models -- 3.3.1 Conditional Likelihood Estimation -- 3.3.2 Exact Likelihood Estimation -- 3.3.3 Initial Parameter Estimation -- 3.4 Forecasting of VMA Models -- 3.5 VARMA Models -- 3.5.1 Identifiability -- 3.5.2 VARMA(1,1) Models -- 3.5.3 Some Properties of VARMA Models -- 3.6 Implications of VARMA Models
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| 505 |
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|a 3.6.1 Granger Causality -- 3.6.2 Impulse Response Functions -- 3.7 Linear Transforms of VARMA Processes -- 3.8 Temporal Aggregation of VARMA Processes -- 3.9 Likelihood Function of a VARMA Model -- 3.9.1 Conditional Likelihood Function -- 3.9.2 Exact Likelihood Function -- 3.9.3 Interpreting the Likelihood Function -- 3.9.4 Computation of Likelihood Function -- 3.10 Innovations Approach to Exact Likelihood Function -- 3.10.1 Block Cholesky Decomposition -- 3.11 Asymptotic Distribution of Maximum Likelihood Estimates -- 3.11.1 Linear Parameter Constraints
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| 500 |
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|a 3.12 Model Checking of Fitted VARMA Models
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 655 |
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0 |
|a Electronic books.
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| 758 |
|
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|i has work:
|a Multivariate time series analysis (Text)
|1 https://id.oclc.org/worldcat/entity/E39PD3QMbqR3pCpFdGWvkjkGFq
|4 https://id.oclc.org/worldcat/ontology/hasWork
|
| 776 |
0 |
8 |
|i Print version:
|a Tsay, Ruey S.
|t Multivariate Time Series Analysis
|d Newark : John Wiley & Sons, Incorporated,c2013
|z 9781118617908
|
| 830 |
|
0 |
|a New York Academy of Sciences Ser.
|
| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=7103878
|z Texto completo
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| 938 |
|
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|a ProQuest Ebook Central
|b EBLB
|n EBL7103878
|
| 994 |
|
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|a 92
|b IZTAP
|
