Introduction to Statistical Time Series (Hardcover)

Wayne A. Fuller

ISBN 10: 0471552399 / ISBN 13: 9780471552390

Published by John Wiley & Sons Inc, New York, 1996

About this Item

Hardcover. 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. This second edition covers new developments in the analysis of statistical time series since the 1st edition was published in 1976. There is a considerable expansion of material, including added discussion of central limit theorems, estimation and generalized least squares. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. Seller Inventory # 9780471552390

Bibliographic Details

Title: Introduction to Statistical Time Series (...

Publisher: John Wiley & Sons Inc, New York

Publication Date: 1996

Binding: Hardcover

Condition: new

Edition: 2nd Edition

About this title

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.

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.