Introduction to time series and forecasting /
by Peter J. Brockwell, Ricard A. Davis
- 3 rd
- New York, Springer 2016
- xiv,425 pages; Illustrations: 11*8 cms.
Introduction -- Stationary Processes -- ARMA Models -- Spectral Analysis -- Modeling and Forecasting with ARMA Processes -- Nonstationary and Seasonal Time Series Models -- Time Series Models for Financial Data -- Multivariate Time Series -- State-Space Models -- Forecasting Techniques -- Further Topics -- Appendix A: Random Variables and Probability Distributions -- Appendix B: Statistical Complements -- Appendix C: Mean Square Convergence -- Appendix D: Lévy Processes, Brownian Motion and Itô Calculus -- Appendix E: An ITSM Tutorial -- References -- Index.
This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering, and the natural and social sciences.
9783319298528
Time-series analysis. Distribution (Probability theory) Mathematical statistics.