Introduction to time series modeling / Genshiro Kitagawa.
Material type:
TextSeries: Monographs on statistics and applied probability ; 114.Publication details: Boca Raton : Chapman & Hall/CRC, 2010.Description: 307 p. : ill. ; [ca. 23-29] cmISBN: - 9781584889212
- QA402 .K55 2010
- Also available as an electronic resource.
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata NBHM Collection | 000SA.3 K62 (Browse shelf(Opens below)) | Available | 131927 |
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| 000SA.3 J33 Practical time series | 000SA.3 K16 Nonlinear time series analysis | 000SA.3 K58 Introduction to modern time series analysis | 000SA.3 K62 Introduction to time series modeling / | 000SA.3 P523 Analysis of integrated and cointegrated time series with R | 000SA.3 P896 Time series | 000SA.3 Sp771 Chaos and time-series analysis |
Includes bibliographical references and index.
1. Introduction and preparatory analysis -- 2. The covariance function -- 3. The power spectrum and the periodogram -- 4. Statistical modeling -- 5. The least squares method -- 6. Analysis of time series using ARMA models -- 7. Estimation of an AR model -- 8. The locally stationary AR model -- 9. Analysis of time series with a state-space model -- 10. Estimation of the ARMA model -- 11. Estimation of trends -- 12. The seasonal adjustment model -- 13. Time-varying coefficient AR model -- 14. Non-gaussian state-space model -- 15. The sequential Monte Carlo filter -- 16. Simulation -- A. Algorithms for nonlinear optimization -- B. Derivation of Levinson's algorithm -- C. Derivation of the Kalman filter and smoother algorithms -- D. Algorithm for the Monte Carlo filter.
Also available as an electronic resource.
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