Introduction to Time Series Modeling

[ska51]

Introduction to Time Series Modeling

Introduction to Time Series Modeling
Author(s): Genshiro Kitagawa
Publisher: Chapman and Hall/CRC
Date : 2010
Pages : 296
Format : PDF
Language : English
ISBN : 1584889217

In time series modeling, the behavior of a certain phenomenon is expressed in relation to the past values of itself and other covariates. Since many important phenomena in statistical analysis are actually time series and the identification of conditional distribution of the phenomenon is an essential part of the statistical modeling, it is very important and useful to learn fundamental methods of time series modeling. Illustrating how to build models for time series using basic methods, Introduction to Time Series Modeling covers numerous time series models and the various tools for handling them.

The book employs the state-space model as a generic tool for time series modeling and presents convenient recursive filtering and smoothing methods, including the Kalman filter, the non-Gaussian filter, and the sequential Monte Carlo filter, for the state-space models. Taking a unified approach to model evaluation based on the entropy maximization principle advocated by Dr. Akaike, the author derives various methods of parameter estimation, such as the least squares method, the maximum likelihood method, recursive estimation for state-space models, and model selection by the Akaike information criterion (AIC). Along with simulation methods, he also covers standard stationary time series models, such as AR and ARMA models, as well as nonstationary time series models, including the locally stationary AR model, the trend model, the seasonal adjustment model, and the time-varying coefficient AR model.

With a focus on the description, modeling, prediction, and signal extraction of times series, this book provides basic tools for analyzing time series that arise in real-world problems. It encourages readers to build models for their own real-life problems.

Code:

***************************************
Content of this section is hidden, You must be registered and activate your account to see this content. See this link to read how you can remove this limitation:

http://forum.civilea.com/thread-27464.html
***************************************

[kowheng]

Mirror Links:

Bookmark PDF|RAR 7.36|6.47 MB

Code:

***************************************
Content of this section is hidden, You must be registered and activate your account to see this content. See this link to read how you can remove this limitation:

http://forum.civilea.com/thread-27464.html
***************************************