Long-Memory Time Series: Theory and Methods: 662 - Rilegato

Palma, Wilfredo

Rilegato

ISBN 10: 0470114029 ISBN 13: 9780470114025

Casa editrice: Wiley-Interscience, 2007

Riassunto

A self-contained, contemporary treatment of the analysis of long-range dependent data

Long-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures.

To facilitate understanding, the book:

• Assumes a basic knowledge of calculus and linear algebra and explains the more advanced statistical and mathematical concepts

• Features numerous examples that accelerate understanding and illustrate various consequences of the theoretical results

• Proves all theoretical results (theorems, lemmas, corollaries, etc.) or refers readers to resources with further demonstration

• Includes detailed analyses of computational aspects related to the implementation of the methodologies described, including algorithm efficiency, arithmetic complexity, CPU times, and more

• Includes proposed problems at the end of each chapter to help readers solidify their understanding and practice their skills

A valuable real-world reference for researchers and practitioners in time series analysis, economerics, finance, and related fields, this book is also excellent for a beginning graduate-level course in long-memory processes or as a supplemental textbook for those studying advanced statistics, mathematics, economics, finance, engineering, or physics. A companion Web site is available for readers to access the S-Plus and R data sets used within the text.

Su questo libro

Informazioni sull'autore

Wilfredo Palma, PhD, is Chairman and Professor of Statistics in the Department of Statistics at Pontificia Universidad Católica de Chile. Dr. Palma has published several refereed articles and has received over a dozen academic honors and awards. His research interests include time series analysis, prediction theory, state space systems, linear models, and econometrics.

Dalla quarta di copertina

A self-contained, contemporary treatment of the analysis of long-range dependent data

Long-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures.

To facilitate understanding, the book:

• Assumes a basic knowledge of calculus and linear algebra and explains the more advanced statistical and mathematical concepts

• Features numerous examples that accelerate understanding and illustrate various consequences of the theoretical results

• Proves all theoretical results (theorems, lemmas, corollaries, etc.) or refers readers to resources with further demonstration

• Includes detailed analyses of computational aspects related to the implementation of the methodologies described, including algorithm efficiency, arithmetic complexity, CPU times, and more

• Includes proposed problems at the end of each chapter to help readers solidify their understanding and practice their skills

A valuable real-world reference for researchers and practitioners in time series analysis, economerics, finance, and related fields, this book is also excellent for a beginning graduate-level course in long-memory processes or as a supplemental textbook for those studying advanced statistics, mathematics, economics, finance, engineering, or physics. A companion Web site is available for readers to access the S-Plus® and R data sets used within the text.

Dettagli dell'edizione

• Editore: Wiley-Interscience
• Data di pubblicazione: 2007
• Lingua: Inglese
• ISBN 10: 0470114029
• ISBN 13: 9780470114025
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 285
• Contatto del produttore: Easy Access System Europe Oü, 16879218; gpsr.requests@easproject.com; ; Mustamäe tee 50, 10621, Tallinn, Estonia; Tallinn; 10621; Estonia