[求助]关于多元ARMA模型

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

请教诸位一下，多元ARMA模型有什么书介绍的比较详细啊？？现在正在写论文，不知道该怎么写啊：（最好是有实证方面的介绍的。

跪谢~~~~~~

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：arma模型 MA模型 ARMA ARM RMA 模型 ARMA

Time Series Analysis and Its Applications

edited by Robert H. Shumway and David S. Stoffer

Springer Texts in Statistics

Springer-Verlag New York, 2000, 549 pp.

ISBN 0-387-98950-1

Introduction to Time Series and Forecasting by Peter J. Brockwell, Richard A. Davis

Editorial Reviews

Book Info The emphasis is on methods and the analysis of data sets. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series analysis and state-space models, with an optional chapter on spectral analysis. Product Description: This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied in economics, engineering, and the natural and social sciences. The book assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This second edition contains detailed instructions on the use of the new totally windows-based computer package ITSM2000, the student version of which is included with the text. Expanded treatments are also given of several topics treated only briefly in the first edition. These include regression with time series errors, which plays an important role in forecasting and inference, and ARCH and GARCH models, which are widely used for the modeling of financial time series. These models can be fitted using the new version of ITSM. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include the Burg and Hannan-Rissanen algorithms, unit roots, the EM algorithm, structural models, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introductions are also given to cointegration and to non-linear, continuous-time and long-memory models.

＜STYLE type=text/css＞＜/STYLE＞

Time Series Analysis and Its Applications (Springer Texts in Statistics) by Robert H. Shumway, David S. Stoffer

Editorial Reviews

Book Info Presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Designed to be a useful text for graduate students in the physical, biological, and social sciences. DLC: Time-series analysis. Product Description: Time Series Analysis and Its Applications presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using non-trivial data illustrate solutions to problems such as evaluating pain perception experiments using magnetic resonance imaging or monitoring a nuclear test ban treaty. The book is designed to be useful as a text for graduate level students in the physical, biological and social sciences and as a graduate level text in statistics. Some parts may also serve as an undergraduate introductory course. Theory and methodology are separated to allow presentations on different levels. Material from the earlier 1988 Prentice-Hall text Applied Statistical Time Series Analysis has been updated by adding modern developments involving categorical time sries analysis and the spectral envelope, multivariate spectral methods, long memory series, nonlinear models, longitudinal data analysis, resampling techniques, ARCH models, stochastic volatility, wavelets and Monte Carlo Markov chain integration methods. These add to a classical coverage of time series regression, univariate and multivariate ARIMA models, spectral analysis and state-space models. The book is complemented by ofering accessibility, via the World Wide Web, to the data and an exploratory time series analysis program ASTSA for Windows that can be downloaded as Freeware. Robert H. Shumway is Professor of Statistics at the University of California, Davis. He is a Fellow of the American Statistical Association and a member of the Inernational Statistical Institute. He won the 1986 American Statistical Association Award for Outstanding Statistical Application and the 1992 Communicable Diseases Center Statistics Award; both awards were for joint papers on time series applications. He is the author of a previous 1988 Prentice-Hall text on applied time series analysis and is currenlty a Departmental Editor for the Journal of Forecasting. David S. Stoffer is Professor of Statistics at the University of Pittsburgh. He has made seminal contributions to the analysis of categorical time series and won the 1989 American Statistical Association Award for Outstanding Statistical Application in a joint paper analyzing categorical time series arising in infant sleep-state cycling. He is currently an Associate Editor of the Journal of Forecasting and has served as an Associate Editor for the Journal fo the American Statistical Association.

楼上的兄台有这本书吗？能不能共享一下？

感谢楼上的诸位，在哪里才能找到这些书啊？？

建议楼主可以下载一些相关的论文看一下，对于ARMA模型，主要是观察其自相关和偏自相关函数。