Introduction to statistical time series
Gespeichert in:
| Autor*in: |
Fuller, Wayne A. - 1931- [verfasserIn] |
|---|
| Format: |
Buch |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
New York u.a.: Wiley ; 1996 |
|---|---|
| Ausgabe: |
2. ed. |
| Schlagwörter: | |
|---|---|
| Schlagwörter: |
| Systematik: |
|
|---|
| Anmerkung: |
Literaturverz. S. 664 - 688 |
|---|---|
| Umfang: |
XII, 698 S. ; graph. Darst. |
| Weitere Ausgabe: |
Digitalisierte Ausg. Fuller, Wayne A.: Introduction to statistical time series - New York, NY [u.a.] : Wiley, 1996 |
|---|
| Reihe: |
Wiley series in probability and statistics |
|---|
| Links: |
Zentralblatt MATH |
|---|---|
| ISBN: |
978-0-471-55239-0 0-471-55239-9 |
| Katalog-ID: |
1605787000 |
|---|
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| 245 | 1 | 0 | |a Introduction to statistical time series |c Wayne A. Fuller |
| 250 | |a 2. ed. | ||
| 263 | |a : £ 60.00 | ||
| 264 | 1 | |a New York [u.a.] |b Wiley |c 1996 | |
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| 650 | 0 | |a Time-series analysis | |
| 650 | 0 | |a Regression analysis | |
| 650 | 4 | |a Mathematics | |
| 650 | 4 | |a Zeitreihenanalyse | |
| 650 | 4 | |a Statistische Methodenlehre | |
| 650 | 4 | |a Wahrscheinlichkeitstheorie | |
| 650 | 4 | |a Multivariate Verfahren | |
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Anwendungen stochastischer Prozesse, stochastische Prozesse, stochastische Differentialgleichungen Wirtschaftswissenschaften Mathematik. Statistik. Ökonometrie. Unternehmensforschung Statistik Theoretische Statistik Zeitreihenanalyse. 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Anwendungen stochastischer Prozesse, stochastische Prozesse, stochastische Differentialgleichungen Wirtschaftswissenschaften Mathematik. Statistik. Ökonometrie. Unternehmensforschung Statistik Theoretische Statistik Zeitreihenanalyse. 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ocr-text: Contents Preface to the First Edition xi Preface to the Second Edition xiii List of Principal Results xv List of Examples xxi … Introduction … Probability Spaces … Time Series … Examples of Stochastic Processes … Properties of the Autocovariance and Autocorrelation Functions … Complex Valued Time Series … Periodic Functions and Periodic Time Series … Vector Valued Time Series … References … Exercises … Moving Average and Autoregressive Processes … Moving Average Processes … Absolutely Summable Sequences and Infinite Moving Averages … An Introduction to Autoregressive Time Series … Difference Equations … The Second Order Autoregressive Time Series … Alternative Representations of Autoregressive and Moving Average Processes … Autoregressive Moving Average Time Series … Vector Processes … Prediction … The Wold Decomposition … vii Vlii CONTENTS … Long Memory Processes … References … Exercises … Introduction to Fourier Analysis … Systems of Orthogonal Functions—Fourier Coefficients … Complex Representation of Trigonometric Series … Fourier Transform—Functions Defined on the Real Line … Fourier Transform of a Convolution … References … Exercises … Spectral Theory and Filtering … The Spectrum … Circulants—Diagonalization of the Covariance Matrix of Stationary Process … The Spectral Density of Moving Average and Autoregressive Time Series … Vector Processes … Measurement Error—Signal Detection … State Space Models and Kalman Filtering … References … Exercises … Some Large Sample Theory … Order in Probability … Convergence in Distribution … Central Limit Theorems … Approximating a Sequence of Expectations … Estimation for Nonlinear Models … Estimators that Minimize an Objective Function … One-Step Estimation … Instrumental Variables … Estimated Generalized Least Squares … Sequences of Roots of Polynomials … References … Exercises … CONTENTS ix … Estimation of the Mean and Autocorrelations … Estimation of the Mean … Estimators of the Autocovariance and Autocorrelation Functions … Central Limit Theorems for Stationary Time Series … Estimation of the Cross Covariances … References … Exercises … The Periodogram, Estimated Spectrum … The Periodogram … Smoothing, Estimating the Spectrum … Other Estimators of the Spectrum … Multivariate Spectral Estimates … References … Exercises … Parameter Estimation … First Order Autoregressive Time Series … Higher Order Autoregressive Time Series … Least Squares Estimation for Univariate Processes … Alternative Estimators for Autoregressive Time Series … Multivariate Autoregressive Time Series … Moving Average Time Series … Autoregressive Moving Average Time Series … Prediction with Estimated Parameters … Nonlinear Processes … Missing and Outlier Observations … Long Memory Processes … References … Exercises … Regression, Trend, and Seasonality … Global Least Squares … Grafted Polynomials … Estimation Based on Least Squares Residuals … Estimated Autocorrelations … Estimated Variance Functions … x CONTENTS … Moving Averages—Linear Filtering … Moving Averages for the Mean … Moving Averages of Integrated Time Series … Seasonal Adjustment … Differences … Structural Models … Some Effects of Moving Average Operators … Regression with Time Series Errors … Regression Equations with Lagged Dependent Variables and Time Series Errors … References … Exercises … Unit Root and Explosive Time Series … Unit Root Autoregressive Time Series … The Autoregressive Process with a Unit Root … Random Walk with Drift … Alternative Estimators … Prediction for Unit Root Autoregressions … Explosive Autoregressive Time Series … Multivariate Autoregressive Processes with Unit Roots … Multivariate Random Walk … Vector Process with a Single Unit Root … Vector Process with Several Unit Roots … Testing for a Unit Root in a Moving Average Model … References … Exercises … A Percentiles for Unit Root Distributions … B Data Used in Examples … Bibliography … Index … |
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code="c">00</subfield><subfield code="f">1302</subfield><subfield code="d">SK 845 FUL</subfield><subfield code="e">u</subfield><subfield code="j">--%%--</subfield><subfield code="y">n</subfield><subfield code="z">17-11-97</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">285</subfield><subfield code="1">02</subfield><subfield code="x">0517</subfield><subfield code="b">792284798</subfield><subfield code="c">00</subfield><subfield code="f">1305</subfield><subfield code="d">SK 845 FUL</subfield><subfield code="e">u</subfield><subfield code="j">--%%--</subfield><subfield code="y">n</subfield><subfield code="z">17-11-97</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">370</subfield><subfield code="1">01</subfield><subfield code="x">4370</subfield><subfield code="b">841202354</subfield><subfield code="c">00</subfield><subfield code="f">EG</subfield><subfield code="d">SK 845 001 (2)</subfield><subfield code="e">u</subfield><subfield code="j">--%%--</subfield><subfield code="c">01</subfield><subfield code="f">--%%--</subfield><subfield code="d">Cd 1458</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="y">z</subfield><subfield code="z">24-10-07</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">754</subfield><subfield code="1">01</subfield><subfield code="x">3754</subfield><subfield code="b">1225098289</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">E 96/847</subfield><subfield code="e">u</subfield><subfield code="j">--%%--</subfield><subfield code="y">n</subfield><subfield code="z">01-05-10</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2002</subfield><subfield code="1">02</subfield><subfield code="x">DE-21-19</subfield><subfield code="b">311487973X</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">Sf 79b</subfield><subfield code="e">p</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">13-12-96</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2004</subfield><subfield code="1">01</subfield><subfield code="x">DE-25-10</subfield><subfield code="b">3114879829</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">Frei 10: S1/1392</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="k">07-1553</subfield><subfield code="y">l01</subfield><subfield code="z">06-11-07</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2006</subfield><subfield code="1">01</subfield><subfield code="x">DE-14</subfield><subfield code="b">3114879918</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">1997 8 058064</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="k">LSTO: 07</subfield><subfield code="y">l01</subfield><subfield code="z">24-03-98</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2007</subfield><subfield code="1">01</subfield><subfield code="x">DE-352</subfield><subfield code="b">3114879977</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">sta 230/f95(2)</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">17-04-96</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2009</subfield><subfield code="1">01</subfield><subfield code="x">DE-180</subfield><subfield code="b">3114880037</subfield><subfield code="c">00</subfield><subfield code="f">300</subfield><subfield code="d">300 QH 237 F969(2)</subfield><subfield code="e">--%%--</subfield><subfield code="j">n</subfield><subfield code="y">l01</subfield><subfield code="z">28-02-19</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2009</subfield><subfield code="1">03</subfield><subfield code="x">DE-180</subfield><subfield code="b">3114880045</subfield><subfield code="c">00</subfield><subfield code="f">400</subfield><subfield code="d">400 SK 845 F965(2)</subfield><subfield code="e">--%%--</subfield><subfield code="j">n</subfield><subfield code="y">l01</subfield><subfield code="z">04-03-16</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2010</subfield><subfield code="1">01</subfield><subfield code="x">DE-15</subfield><subfield code="b">3114880134</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">--%%--</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">24-07-96</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2011</subfield><subfield code="1">01</subfield><subfield code="x">DE-16</subfield><subfield code="b">3114880150</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">UBN/SK 845 F969(2)</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">26-07-96</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2012</subfield><subfield code="1">01</subfield><subfield code="x">DE-16-144</subfield><subfield code="b">3114880274</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">Bc 77</subfield><subfield code="e">p</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">05-11-96</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2012</subfield><subfield code="1">13</subfield><subfield code="x">DE-16-7</subfield><subfield code="b">3114880290</subfield><subfield code="c">00</subfield><subfield code="f">131</subfield><subfield code="d">Fulle</subfield><subfield code="e">p</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">10-06-97</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2014</subfield><subfield code="1">12</subfield><subfield code="x">DE-90</subfield><subfield code="b">3114880401</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">2011 A 352(2)</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">20-01-11</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2020</subfield><subfield code="1">01</subfield><subfield code="x">DE-Ch1</subfield><subfield code="b">3114880517</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">SK 845 ful</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">02-06-97</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2026</subfield><subfield code="1">02</subfield><subfield code="x">DE-100</subfield><subfield code="b">3114880584</subfield><subfield code="c">00</subfield><subfield code="f">11</subfield><subfield code="d">SK 845 F969(2)</subfield><subfield code="e">--%%--</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">27-02-02</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2026</subfield><subfield code="1">13</subfield><subfield code="x">DE-100-520</subfield><subfield code="b">3114880592</subfield><subfield code="c">00</subfield><subfield code="f">520K</subfield><subfield code="d">Ful 001</subfield><subfield code="e">n</subfield><subfield code="j">n</subfield><subfield code="y">l01</subfield><subfield code="z">20-11-12</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">2194</subfield><subfield code="1">01</subfield><subfield code="x">DE-He209</subfield><subfield code="b">3114880681</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">Bc 29</subfield><subfield code="e">p</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">25-03-99</subfield></datafield><datafield tag="982" ind1=" " ind2=" "><subfield code="2">2020</subfield><subfield code="1">01</subfield><subfield code="x">DE-Ch1</subfield><subfield code="8">00</subfield><subfield code="s">s</subfield><subfield code="0">(DE-627)130643484X</subfield><subfield code="a">Zeitreihenanalyse</subfield></datafield><datafield tag="983" ind1=" " ind2=" "><subfield code="2">11</subfield><subfield code="1">00</subfield><subfield code="x">DE-1a</subfield><subfield code="8">00</subfield><subfield code="0">(DE-627)284671681</subfield><subfield code="a">Mat T 291; Zeitreihe</subfield></datafield><datafield tag="983" ind1=" " ind2=" "><subfield code="2">22</subfield><subfield code="1">01</subfield><subfield code="x">0018</subfield><subfield code="8">00</subfield><subfield code="a">QH 237</subfield></datafield><datafield tag="983" ind1=" " ind2=" "><subfield code="2">39</subfield><subfield code="1">00</subfield><subfield code="x">DE-547</subfield><subfield code="8">00</subfield><subfield code="a">QH 237</subfield></datafield><datafield tag="983" ind1=" " ind2=" "><subfield code="2">60</subfield><subfield code="1">00</subfield><subfield code="x">DE-705</subfield><subfield code="8">04</subfield><subfield code="a">MAT 710</subfield></datafield><datafield tag="983" ind1=" " ind2=" "><subfield code="2">65</subfield><subfield code="1">02</subfield><subfield code="x">3/27</subfield><subfield code="8">00</subfield><subfield code="a">M 01.01.09</subfield></datafield><datafield tag="983" 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7.167445 |