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The Resource Time series analysis with long memory in view, Uwe Hassler

Time series analysis with long memory in view, Uwe Hassler

Label
Time series analysis with long memory in view
Title
Time series analysis with long memory in view
Statement of responsibility
Uwe Hassler
Creator
Subject
Language
eng
Summary
"Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof. Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs; Contains many new results on long memory processes which have not appeared in previous and existing textbooks; Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory; Contains 25 illustrative figures as well as lists of notations and acronyms; Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis" --
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Hassler, Uwe
Index
index present
Literary form
non fiction
Nature of contents
bibliography
Series statement
Wiley series in probability and statistics
http://library.link/vocab/subjectName
Time-series analysis
Label
Time series analysis with long memory in view, Uwe Hassler
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Stationary processes -- Moving averages and linear processes -- Frequency domain analysis -- Differencing and integration -- Fractionally integrated processes -- Sample mean -- Parametric estimators -- Semiparametric estimators -- Testing -- Further topics
Control code
on1012343955
Dimensions
24 cm.
Extent
xvii, 270 pages
Isbn
9781119470403
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
(OCoLC)1012343955
Label
Time series analysis with long memory in view, Uwe Hassler
Publication
Copyright
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Stationary processes -- Moving averages and linear processes -- Frequency domain analysis -- Differencing and integration -- Fractionally integrated processes -- Sample mean -- Parametric estimators -- Semiparametric estimators -- Testing -- Further topics
Control code
on1012343955
Dimensions
24 cm.
Extent
xvii, 270 pages
Isbn
9781119470403
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
(OCoLC)1012343955

Library Locations

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      43.803074 11.283055
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