发帖
雷达卡
Long-Memory Time Series: Theory and Methods
ISBN: 978-0-470-11402-5
Hardcover
304 pages
April 2007
During the last decades long-memory processes have evolved as a vital and important part of time series analysis. This book attempts to give an overview of the theory and methods developed to deal with long-range dependent data as well as describe some applications of these methodologies to real-life time series. The topics are systematically organized in a progressive manner, starting from foundations (the first three chapters), progressing to the analysis of methodological implications (the next six chapters), and finally extending to more complex long-range dependent data structures (the final three chapters).
Contents
Preface.
Acronyms.
1. Stationary Processes.
2. State Space Systems.
3. Long-Memory Processes.
4. Estimation Methods.
5. Asymptotic Theory.
6. Heteroskedastic Models.
7. Transformations.
8. Bayesian Methods.
9. Prediction.
10. Regression.
11. Missing Data.
12. Seasonality.
References.
Topic Index.
Author Index.
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[此贴子已经被作者于2007-3-13 12:44:07编辑过]
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