Time series: theory and methods.
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Publication:1188830
DOI10.1007/978-1-4419-0320-4zbMath0709.62080OpenAlexW4292963524MaRDI QIDQ1188830
Richard A. Davis, Peter J. Brockwell
Publication date: 17 September 1992
Published in: Springer Series in Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4419-0320-4
predictionidentificationtransfer functionmissing observationsspectral representationKalman filteringautocovariance functionstate-space modelsARMA modelsmultivariate time seriesARIMA modelscross-spectrumvector ARMA modelsbest linear predictorsestimation problems in time domainHilbert space theoryInteractive Time Series Modelling Packagesoftware package ITSMstationary ARMA processes
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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