Long-Memory Time Series (eBook)

Theory and Methods

Wilfredo Palma (Autor)

eBook Download: PDF

2007 | 1. Auflage
304 Seiten
John Wiley & Sons (Verlag)
978-0-470-13145-9 (ISBN)

Infos

A self-contained, contemporary treatment of the analysis of
long-range dependent data

Long-Memory Time Series: Theory and Methods provides an overview
of the theory and methods developed to deal with long-range
dependent data and describes the applications of these
methodologies to real-life time series. Systematically organized,
it begins with the foundational essentials, proceeds to the
analysis of methodological aspects (Estimation Methods, Asymptotic
Theory, Heteroskedastic Models, Transformations, Bayesian Methods,
and Prediction), and then extends these techniques to more complex
data structures.

To facilitate understanding, the book:

* Assumes a basic knowledge of calculus and linear algebra and
explains the more advanced statistical and mathematical
concepts

* Features numerous examples that accelerate understanding and
illustrate various consequences of the theoretical results

* Proves all theoretical results (theorems, lemmas, corollaries,
etc.) or refers readers to resources with further demonstration

* Includes detailed analyses of computational aspects related to
the implementation of the methodologies described, including
algorithm efficiency, arithmetic complexity, CPU times, and
more

* Includes proposed problems at the end of each chapter to help
readers solidify their understanding and practice their skills

A valuable real-world reference for researchers and
practitioners in time series analysis, economerics, finance, and
related fields, this book is also excellent for a beginning
graduate-level course in long-memory processes or as a supplemental
textbook for those studying advanced statistics, mathematics,
economics, finance, engineering, or physics. A companion Web site
is available for readers to access the S-Plus and R data sets used
within the text.

Autor

Wilfredo Palma, PhD, is Chairman and Professor of Statistics in the Department of Statistics at Pontificia Universidad Católica de Chile. Dr. Palma has published several refereed articles and has received over a dozen academic honors and awards. His research interests include time series analysis, prediction theory, state space systems, linear models, and econometrics.

Inhalt

Preface.

Acronyms.

1. Stationary Processes.

2. State Space Systems.

3. Long-Memory Processes.

4. Estimation Methods.

5. Asymptotic Theory.

6. Heteroskedastic Models.

7. Transformations.

8. Bayesian Methods.

9. Prediction.

10. Regression.

11. Missing Data.

12. Seasonality.

References.

Topic Index.

Author Index.

Rezensionen

"...Palma presents a textbook for a graduate course summarizing the
theory and methods developed to deal with long-range-dependent
data, and describing some applications to real-life time series."
(SciTech Book Reviews, June 2007)

"...textbook for a graduate course summarizing the theory and
methods developed to deal with long-range-dependent data, and
describing some applications to real-life time series.... Problems
and bibliographic notes are provided at the end of each chapter."
(SciTech Book News, June 2007)

"I believe that this text provides an important contribution to
the long-memory time series literature. I feel that it largely
achieves its aims and could be useful for those instructors wishing
to teach a semester-long special topics course.... I strongly
recommend this book to anyone interested in long-memory time
series. Both researchers and beginners alike will find this text
extremely useful." (Journal of the American Statisticial
Association, Dec 2008)

"Very well-organized catalogue of long-memory time series
analysis." (Mathematical Reviews, 2008)

"Judging by its contents and scope [the aim of this book] has
been largely achieved.... The list of references is selective but
quite comprehensive. Each chapter concludes with a 'Problems'
section which should be helpful to instructors wishing to use this
book as standalone basis for a course in its subject area..."
(International Statistical Review, 2007)

Produkt-Details

• Erscheint lt. Verlag: 16.8.2007
• Reihe/Serie: Wiley Series in Probability and Statistics
• Reihe/Serie: Wiley Series in Probability and Statistics
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Technik
• Schlagworte: Angewandte Wahrscheinlichkeitsrechnung u. Statistik • Applied Probability & Statistics • Regression Analysis • Regressionsanalyse • Statistics • Statistik • Time Series • Zeitreihe • Zeitreihen
• ISBN-10: 0-470-13145-4 / 0470131454
• ISBN-13: 978-0-470-13145-9 / 9780470131459