Time Series Models : Lecture Notes in Statistics - Manfred Deistler

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Time Series Models

By: Manfred Deistler, Wolfgang Scherrer

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Paperback | 22 October 2022

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216 Pages

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23.5 x 15.5 x 1.17

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This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.

Industry Reviews

"This lecture note is recommended as a textbook that is quite plainly written for graduate students and research workers who are interested in deeply understanding time series modeling." (Yuzo Hosoya, Mathematical Reviews, October, 2023)

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