Multivariate time series analysis and applications /

An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis-Univariate and Multivariate Methods , this new work by William W.S. Wei focuses on h...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Wei, William W. S. (Author)
Format: Electronic eBook
Language:Inglés
Published: Hoboken, NJ : John Wiley & Sons, 2019.
Series:Wiley series in probability and statistics.
Subjects:
Time-series analysis.
Série chronologique.
MATHEMATICS > Applied.
MATHEMATICS > Probability & Statistics > General.
Econometric models.
R (Computer program language)
Online Access:Texto completo (Requiere registro previo con correo institucional)
Table of Contents:
  • Fundamental concepts and issues of multivariate time series analysis
  • Vector time series models
  • Multivariate time series regression models
  • Principle component analysis of multivariate time series
  • Factor analysis of multivariate time series
  • Multivariate garch models
  • Repeated measurements
  • Space-time series models
  • Multivariate spectral analysis of time series
  • Dimension reduction in high dimensional multivariate time series analysis.

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