Time series analysis

Princeton University Press

1994

xiv, 799 p.

9780691042893

Difference equations --Lag operators --Stationary ARMA processes --Forecasting --Maximum likelihood estimation --Spectral analysis --Asymptotic distribution theory --Linear regression models --Linear systems of simultaneous equations --Covariance-stationary vector processes --Vector autoregressions --Bayesian analysis --The Kalman filter --Generalized method of moments --Models of sonstationary time series --Processes with deterministic time trends --Univariate processes with unit roots --Unit roots in multivariate time series --Cointegration --Full-information maximum likelihood analysis of cointegrated systems --Time series models of heteroskedasticity --Modeling time series with changes in regime.

Английский