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Time series analysis /
"The last decade has brought dramatic changes in the way that researchers analyze time series data. This much-needed book synthesizes all of the major recent advances and develops a single, coherent presentation of the current state of the art of this increasingly important field. James Hamilto...
| Call Number: | Libro Electrónico |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | Inglés |
| Published: |
Princeton, N.J. :
Princeton University Press,
c1994.
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| Subjects: | |
| Online Access: | Texto completo |
Table of Contents:
- Difference equations
- Lag operators
- Stationary ARMA processes
- Forecasting
- Maximum likelihood estimation
- Spectral analysis
- Asymptotic distribution theory
- Linear regression models
- Linear systems of simultaneous equations
- Covariance-stationary vector processes
- Vector autoregressions
- Bayesian analysis
- The Kalman filter
- Generalized method of moments
- Models of sonstationary time series
- Processes with deterministic time trends
- Univariate processes with unit roots
- Unit roots in multivariate time series
- Cointegration
- Full-information maximum likelihood analysis of cointegrated systems
- Time series models of heteroskedasticity
- Modeling time series with changes in regime.