Time series: theory and methods.

DOI10.1007/978-1-4419-0320-4zbMath0709.62080OpenAlexW4292963524MaRDI QIDQ1188830

Richard A. Davis, Peter J. Brockwell

Publication date: 17 September 1992

Published in: Springer Series in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4419-0320-4

zbMATH Keywords

predictionidentificationtransfer functionmissing observationsspectral representationKalman filteringautocovariance functionstate-space modelsARMA modelsmultivariate time seriesARIMA modelscross-spectrumvector ARMA modelsbest linear predictorsestimation problems in time domainHilbert space theoryInteractive Time Series Modelling Packagesoftware package ITSMstationary ARMA processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Uses Software

• ITSM