Elements of Multivariate Time Series Analysis
Download or Read eBook Elements of Multivariate Time Series Analysis PDF written by Gregory C. Reinsel and published by Springer Science & Business Media. This book was released on 2003-10-31 with total page 384 pages. Available in PDF, EPUB and Kindle.
| Author | : Gregory C. Reinsel |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 384 |
| Release | : 2003-10-31 |
| ISBN-10 | : 0387406190 |
| ISBN-13 | : 9780387406190 |
| Rating | : 4/5 (90 Downloads) |
Book Synopsis Elements of Multivariate Time Series Analysis by : Gregory C. Reinsel
Book excerpt: Now available in paperback, this book introduces basic concepts and methods useful in the analysis and modeling of multivariate time series data. It concentrates on the time-domain analysis of multivariate time series, and assumes univariate time series analysis, while covering basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares and maximum likelihood estimation for ARMA models, associated likelihood ratio testing procedures.
