New Introduction to Multiple Time Series Analysis
This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. The models covered include vector autoregressive, cointegrated,vector autoregressive moving average, multivariate ARCH and periodic processes as well as dy...
| Κύριος συγγραφέας: | |
|---|---|
| Συγγραφή απο Οργανισμό/Αρχή: | |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2005.
|
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Finite Order Vector Autoregressive Processes
- Stable Vector Autoregressive Processes
- Estimation of Vector Autoregressive Processes
- VAR Order Selection and Checking the Model Adequacy
- VAR Processes with Parameter Constraints
- Cointegrated Processes
- Vector Error Correction Models
- Estimation of Vector Error Correction Models
- Specification of VECMs
- Structural and Conditional Models
- Structural VARs and VECMs
- Systems of Dynamic Simultaneous Equations
- Infinite Order Vector Autoregressive Processes
- Vector Autoregressive Moving Average Processes
- Estimation of VARMA Models
- Specification and Checking the Adequacy of VARMA Models
- Cointegrated VARMA Processes
- Fitting Finite Order VAR Models to Infinite Order Processes
- Time Series Topics
- Multivariate ARCH and GARCH Models
- Periodic VAR Processes and Intervention Models
- State Space Models.
