| Description |
xvii, 357 pages : illustrations ; 24 cm |
| Series |
Springer series in statistics |
|
Springer series in statistics.
|
| Contents |
1. Vector Time Series and Model Representations -- 2. Vector ARMA Time Series Models and Forecasting -- 3. Canonical Structure of Vector ARMA Models -- 4. Initial Model Building and Least Squares Estimation for Vector AR Models -- 5. Maximum Likelihood Estimation and Model Checking for Vector ARMA Models -- 6. Reduced-Rank and Nonstationary Cointegrated Models -- 7. State-Space Models, Kalman Filtering, and Related Topics -- 8. Linear Models with Exogenous Variables -- Appendix. Time Series Data Sets |
| Bibliography |
Includes bibliographical references (pages [332]-344) and indexes |
| Subject |
Multivariate analysis.
|
|
Time-series analysis.
|
| LC no. |
96049573 |
| ISBN |
0387406190 |
|
0387949186 (New York : hc : acid-free paper) |
|
