The Analysis of Time Series (7th Ed.) An Introduction with R Chapman & Hall/CRC Texts in Statistical Science Series
Auteurs : Chatfield Chris, Xing Haipeng
1. Introduction 2. Basic Descriptive Techniques 3. Some Linear Time Series Models 4. Fitting Time Series Models in the Time Domain 5. Forecasting 6. Stationary Processes in the Frequency Domain 7. Spectral Analysis 8. Bivariate Processes 9. Linear Systems 10. State-Space Models and the Kalman Filter 11. Non-Linear Models 12. Volatility Models 13. Multivariate Time Series Modelling 14. Some More Advanced Topics Appendix A Fourier, Laplace, and z-Transforms. Appendix B Dirac Delta Function. Appendix C Covariance and Correlation. Answers to Exercises.
Chris Chatfield is a retired Reader in Statistics at the University of Bath, UK, the author of five books and numerous research papers, and an elected Honorary Fellow of the International Institute of Forecasters.
Haipeng Xing is an associate professor in Applied Mathematics and Statistics at the State University of New York, Stony Brook, USA, the author of two books and numerous research papers. His research interests include quantitative finance and risk management, econometrics, applied stochastic control, and sequential statistical methodology.
Date de parution : 05-2019
15.6x23.4 cm
Disponible chez l'éditeur (délai d'approvisionnement : 14 jours).
Prix indicatif 196,56 €
Ajouter au panierDate de parution : 05-2019
15.6x23.4 cm
Thèmes de The Analysis of Time Series :
Mots-clés :
Fit ARIMA Model; IBM Stock; volatility models; Standard Time Series Methods; high frequency; ARMA Model; high dimensional; ARIMA Model; spectral analysis; Adjusted Closing Prices; multivariate; Spectral Density Function; Kalman filter; Ma Process; Deseasonalized Series; Daily Return Series; MMSE Forecast; Power Spectral Density Function; Exponential Smoothing; Box Jenkins Approach; Backward Shift Operator; AR Process; Ljung Box Test; Frequency Response Function; GARCH Model; State Space Models; IGARCH Model; Impulse Response Function; Yule Walker Equations; Spectral Distribution Function