Springer Statistics

By: Murray Rosenblatt

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Hardcover | 21 December 1999

At a Glance

Hardcover
268 Pages

Dimensions(cm)
23.39 x 15.6 x 1.6

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The book is concerned with linear time series and random fields in both the Gaussian and especially the non-Gaussian context. The principal focus is on autoregressive moving average models and analogous random fields. Probabilistic and statistical questions are both discussed. The Gaussian models are contrasted with noncausal or noninvertible (nonminimum phase) non-Gaussian models which can have a much richer structure than Gaussian models. The book deals with problems of prediction (which can have a nonlinear character) and estimation. New results for nonminimum phase non-Gaussian processes are exposited and open questions are noted. The book is intended as a text for graduate students in statistics, mathematics, engineering, the natural sciences and economics. An initial background in probability theory and statistics is suggested. Notes on background, history and open problems are given at the end of the book. Murray Rosenblatt is Professor of Mathematics at the University of California, San Diego. He was a Guggenheim Fellow in 1965 and 1972 and is a member of the National Academy of Sciences, U.S.A. He is the author of Random Processes (1962), Markov Processes: Structure and Asymptotic Behavior (1971), Stationary Sequences and Random Fields (1985), and Stochastic Curve Estimation (1991).

Industry Reviews

From the reviews:

SHORT BOOK REVIEWS

"...will make this book useful as a reference source to the more theoretical among time series specialists."

ZENTRALBLATT MATH

"This publication can be recommended to readers familiar with the basic concepts of time series who are interested in estimation problems in nonminimum phase processes."

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Preface
Reversibility and Identifiability	p. 1
Minimum Phase Estimation	p. 15
Homogeneous Gaussian Random Fields	p. 27
Cumulants, Mixing and Estimation for Gaussian Fields	p. 41
Prediction for Minimum and Nonminimum Phase Models	p. 83
The Fluctuation of the Quasi-Gaussian Likelihood	p. 117
Random Fields	p. 141
Estimation for Possibly Nonminimum Phase Schemes	p. 155
Bibliographic Notes	p. 211
References	p. 227
Notation	p. 235
Author Index	p. 239
Index	p. 243
Table of Contents provided by Blackwell. All Rights Reserved.

Springer Statistics

At a Glance

Hardcover

Industry Reviews

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How to return your order

Defective items

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