Introduction to Time Series and Forecasting

DOI10.1007/978-3-319-29854-2zbMath1355.62001OpenAlexW4292081177MaRDI QIDQ2821706

Richard A. Davis, Peter J. Brockwell

Publication date: 22 September 2016

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

Full work available at URL: https://doi.org/10.1007/978-3-319-29854-2

zbMATH Keywords

prediction time series Brownian motion filtering forecasting Lévy process state-space models regression financial time series multivariate time series Itô calculus auto-correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to social sciences (62P25) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics in engineering and industry; control charts (62P30) Inference from stochastic processes and spectral analysis (62M15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Brownian motion (60J65) Applications of statistics to physics (62P35) Prediction theory (aspects of stochastic processes) (60G25)

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