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Elements of Multivariate Time Series Analysis

  • Gregory C. Reinsel

Part of the Springer Series in Statistics book series (SSS)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Gregory C. Reinsel
    Pages 1-20
  3. Gregory C. Reinsel
    Pages 21-51
  4. Gregory C. Reinsel
    Pages 52-73
  5. Gregory C. Reinsel
    Pages 154-191
  6. Back Matter
    Pages 226-264

About this book

Introduction

The use of methods of time series analysis in the study of multivariate time series has become of increased interest in recent years. Although the methods are rather well developed and understood for univarjate time series analysis, the situation is not so complete for the multivariate case. This book is designed to introduce the basic concepts and methods that are useful in the analysis and modeling of multivariate time series, with illustrations of these basic ideas. The development includes both traditional topics such as autocovariance and auto­ correlation matrices of stationary processes, properties of vector ARMA models, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and model checking diagnostics for residuals, as well as topics of more recent interest for vector ARMA models such as reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate unit-root models and cointegration structure, and state-space models and Kalman filtering techniques and applications. This book concentrates on the time-domain analysis of multivariate time series, and the important subject of spectral analysis is not considered here. For that topic, the reader is referred to the excellent books by Jenkins and Watts (1968), Hannan (1970), Priestley (1981), and others.

Keywords

Likelihood Radiologieinformationssystem correlation economics forecasting integration time series analysis

Authors and affiliations

  • Gregory C. Reinsel
    • 1
  1. 1.Department of StatisticsUniversity of Wisconsin, MadisonMadisonUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4684-0198-1
  • Copyright Information Springer-Verlag New York 1993
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4684-0200-1
  • Online ISBN 978-1-4684-0198-1
  • Series Print ISSN 0172-7397
  • Buy this book on publisher's site
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