Mathematical Foundations of Time Series Analysis

A Concise Introduction
1. Auflage 2017
ISBN: 978-3-319-74378-3
Verlag: Springer International Publishing

Buch, Englisch, 307 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 647 g

This book provides a concise introduction to the mathematical foundations of time series analysis, with an emphasis on mathematical clarity. The text is reduced to the essential logical core, mostly using the symbolic language of mathematics, thus enabling readers to very quickly grasp the essential reasoning behind time series analysis. It appeals to anybody wanting to understand time series in a precise, mathematical manner. It is suitable for graduate courses in time series analysis but is equally useful as a reference work for students and researchers alike.

Zielgruppe

Research

Autoren/Hrsg.

Beran, Jan

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Mathematik Allgemein Grundlagen der Mathematik
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung

Inhaltsverzeichnis

Introduction.- Typical assumptions.- Defining probability measure for time series.- Spectral representation of univariate time series.- Spectral representation of real valued vector time series.- Univariate ARMA processes.- Generalized autoregressive processes.- Prediction.- Inference for µ, ? and F.- Parametric estimation.- References.

Über Autor(innen)

Jan Beran is Professor of Statistics at the Department of Mathematics and Statistics at the University of Konstanz, Germany. After completing his Ph.D. in mathematics at the ETH Zurich, Switzerland, he worked at several universities in the USA and at the University of Zurich in Switzerland. He has a broad range of interests, from long-memory processes and asymptotic theory to applications in finance, biology, and musicology.