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Time Series: Theory and Methods

Peter J. Brockwell and Richard A. Davis
Publisher: 
Springer Verlag
Publication Date: 
1998
Number of Pages: 
577
Format: 
Hardcover
Edition: 
2
Series: 
Springer Series in Statistics
Price: 
99.00
ISBN: 
978-0387974293
Category: 
Textbook
BLL Rating: 

The Basic Library List Committee suggests that undergraduate mathematics libraries consider this book for acquisition.

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Stationary Time Series.- Hilbert Spaces.- Stationary ARMA Processes.- The Spectral Representation of a Stationary Process.- Prediction of Stationary Processes.- Asymptotic Theory.- Estimation of the Mean and the Autocovariance Function.- Estimation for ARMA Models.- Model Building and Forecasting with ARIMA Processes.- Inference for the Spectrum of a Stationary Process.- Multivariate Time Series.- State-Space Models and the Kalman Recursions.- Further Topics.- Appendix: Data Sets.- Bibliography.- Index.

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