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Arma Model Identification Softcover Repri Edition
Contributor(s): Choi, Byoungseon (Author)

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 ISBN: 1461397472     ISBN-13: 9781461397472
Publisher: Springer
OUR PRICE: $52.24  

Binding Type: Paperback - See All Available Formats & Editions
Published: March 2012
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Additional Information
BISAC Categories:
- Mathematics | Probability & Statistics - General
- Mathematics | Applied
Dewey: 519.536
Series: Springer Statistics
Physical Information: 0.46" H x 6.14" W x 9.21" L (0.68 lbs) 200 pages
 
Descriptions, Reviews, Etc.
Publisher Description:
During the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.
 
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