Time series: theory and methods

DOI10.1007/978-1-4899-0004-3zbMath0604.62083OpenAlexW4292081285MaRDI QIDQ1083164

Peter J. Brockwell, Richard A. Davis

Publication date: 1987

Published in: Springer Series in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4899-0004-3

zbMATH Keywords

prediction transfer function missing observations spectral representation Kalman filtering Identification autocovariance function ARMA models multivariate time series ARIMA models cross-spectrum vector ARMA models best linear predictors estimation problems in time domain Hilbert space theory Stationary ARMA processes

Mathematics Subject Classification ID

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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