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Synopsis
The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter.
Major topics include:
* Moving average and autoregressive processes
* Introduction to Fourier analysis
* Spectral theory and filtering
* Large sample theory
* Estimation of the mean and autocorrelations
* Estimation of the spectrum
* Parameter estimation
* Regression, trend, and seasonality
* Unit root and explosive time series
To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
"synopsis" may belong to another edition of this title.
About the Author
WAYNE A. FULLER is Distinguished Professor in the Departments of Statistics and Economics at Iowa State University. He is the author of Measurement Error Models and numerous articles in time series, survey sampling, and econometrics. A Fellow of the American Statistical Association, the Institute of Mathematical Statistics, and the Econometric Society, he received his PhD in agricultural economics from Iowa State University.
"About this title" may belong to another edition of this title.
- PublisherWiley-Interscience
- Publication date1995
- ISBN 10 0471552399
- ISBN 13 9780471552390
- BindingHardcover
- LanguageEnglish
- Edition number2
- Number of pages728
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Introduction to Statistical Time Series
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Wiley-Interscience Publishing, 1995
ISBN 10: 0471552399
ISBN 13: 9780471552390
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