Logotipo librería Marcial Pons
New introduction to multiple time series analysis

New introduction to multiple time series analysis

  • ISBN: 9783540401728
  • Editorial: Springer International Publishing AG
  • Lugar de la edición: New York. Estados Unidos de Norteamérica
  • Encuadernación: Cartoné
  • Medidas: 24 cm
  • Nº Pág.: 764
  • Idiomas: Inglés

Papel: Cartoné
175,39 €
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Resumen

This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. The models covered include vector autoregressive, cointegrated, vector autoregressive moving average, multivariate ARCH and periodic processes as well as dynamic simultaneous equations and state space models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced. Causality analysis, impulse response analysis and innovation accounting are presented as tools for structural analysis.

Resumen

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