Time series : theory and methods
Peter J. Brockwell, Richard A. Davis.
2nd ed.
New York : Springer-Verlag, ©1991.
xvi, 577 págs. : ilustraciones ; 25 cm.
Serie: Springer series in statistics
ISBN: 0387974296, 3540974296 (Berlin)
Incluye referencias bibliográficas (p. [561]-566) e índice.
Reseña: MathSciNet, 92d:62001
Contenido
- 1. Stationary time series
- 2. Hilbert spaces
- 3. Stationary ARMA processes
- 4. The spectral representation of a stationary process
- 5. Prediction of stationary processes
- 6. Asymptotic theory
- 7. Estimation of the mean and the autocovariance function
- 8. Estimation for ARMA models
- 9. Model building and forecasting with ARIMA processes
- 10. Inference for the spectrum of a stationary process
- 11. Multivariate time series
- 12. State-space models and the Kalman recursions
- 13. Further topics.
