A Course in Time Series Analysis

DOI10.1002/9781118032978zbMath0960.62093OpenAlexW2489004443MaRDI QIDQ2707029

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Publication date: 28 March 2001

Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/9781118032978

zbMATH Keywords

outliersKalman filterLecturescointegrationMadrid (Spain)Coursesmultivariate time seriesTime series analysissignal extractionARIMA modelvector ARMA modelsunivariate time seriesGarch modelECAS '97multivariate linear systems

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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