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Bücher Englische Bücher Wissen & Bildung Naturwissenschaft, Medizin, Informatik, Technik Mathematik Wahrscheinlichkeitstheorie & Statistik Stochastic Models for Time Series
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Stochastic Models for Time Series
Paul Doukhan (Taschenbuch, Englisch)
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Beschreibung
This book presents essential tools for modelling non-linear time series. The first part of the book describes the main standard tools of probability and statistics that directly apply to the time series context to obtain a wide range of modelling possibilities. Functional estimation and bootstrap are discussed, and stationarity is reviewed. The second part describes a number of tools from Gaussian… chaos and proposes a tour of linear time series models. It goes on to address nonlinearity from polynomial or chaotic models for which explicit expansions are available, then turns to Markov and non-Markov linear models and discusses Bernoulli shifts time series models. Finally, the volume focuses on the limit theory, starting with the ergodic theorem, which is seen as the first step for statistics of time series. It defines the distributional range to obtain generic tools for limit theory under long or short-range dependences (LRD/SRD) and explains examples of LRD behaviours. More general techniques (central limit theorems) are described under SRD; mixing and weak dependence are also reviewed. In closing, it describes moment techniques together with their relations to cumulant sums as well as an application to kernel type estimation.The appendix reviews basic probability theory facts and discusses useful laws stemming from the Gaussian laws as well as the basic principles of probability, and is completed by R-scripts used for the figures. Richly illustrated with examples and simulations, the book is recommended for advanced master courses for mathematicians just entering the field of time series, and statisticians who want more mathematical insights into the background of non-linear time series. 90,94 €
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Technische Daten
Erscheinungsdatum
25.05.2018
Sprache
Englisch
EAN
9783319769370
Herausgeber
Springer International Publishing
Serien- oder Bandtitel
Mathématiques et Applications
Sonderedition
Nein
Autor
Paul Doukhan
Seitenanzahl
308
Auflage
1st edition 2018
Einbandart
Taschenbuch
Schlagwörter
60G10 37M10 32A25 60F05 60F15 60G18, 60G12 60J05 62J12 62M10 62M15 91B84, Non-linear time series, Integer valued models, Markov chains, Stochastic processes, Gaussian convergence, Spectral estimation, Memory models, LARCH-type models, Weak dependence conditions, Functional estimation, Bootstrap, Non-Markove linear models
Thema-Inhalt
PBT - Wahrscheinlichkeitsrechnung und Statistik
PBWL - Stochastik
KCH - Ökonometrie und Wirtschaftsstatistik
GPFC - Kybernetik und Systemtheorie
Höhe
235 mm
Breite
15.5 cm
Transparenz & Sicherheit
Hersteller: Springer, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com, Springer Nature Customer Service Center GmbH
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