Arma Model Identification (Lecture Notes in Statistics) - Hardcover

Choi, Byoung Seon

Hardcover

ISBN 10: 3540977953 ISBN 13: 9783540977957

Publisher: Springer

Synopsis

During the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.

Edition details

• Publisher: Springer
• ISBN 10: 3540977953
• ISBN 13: 9783540977957
• Binding: Hardcover
• Language: English
• Number of pages: 200