Introduction to Multiple Time Series Analysis

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9783540531944: Introduction to Multiple Time Series Analysis

This graduate-level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average, cointegrated and periodic processes as well as state space and dynamic simultaneous equations models. Least squares, maximum likelihood and Bayesian methods are considered for estimating these models. Different procedures for model selection or specification are treated and a range of tests and criteria for evaluating the adequacy of a chosen model are introduced. The choice of point and interval forecasts as well as innovation accounting are presented as tools for structural analysis within the multiple time series context.

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Lütkepohl, Helmut:
Published by Springer, Berlin, Heidelberg, New York (1991)
ISBN 10: 3540531947 ISBN 13: 9783540531944
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Book Description Springer, Berlin, Heidelberg, New York, 1991. Broschiert; Book Condition: Gut. 545 Seiten Das hier angebotene Buch stammt aus einer teilaufgelösten wissenschaftlichen Bibliothek und trägt die entsprechenden Kennzeichnungen (Rückenschild, Instituts-Stempel.).Der Buchzustand ist ansonsten ordentlich und dem Alter entsprechend gut. Sprache: Englisch Gewicht in Gramm: 1000. Bookseller Inventory # 947505

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