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Springer Series in Statistics Ser.: ARMA Model Identification by B. K. Choi (1992, Hardcover)

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ARMA Model Identification (Springer Series in Statistics).

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Product Identifiers

PublisherSpringer

ISBN-100387977953

ISBN-139780387977959

eBay Product ID (ePID)417860

Product Key Features

Number of PagesXii, 200 Pages

LanguageEnglish

Publication NameArma Model Identification

Publication Year1992

SubjectProbability & Statistics / General, Applied

TypeTextbook

AuthorB. K. Choi

Subject AreaMathematics

SeriesSpringer Series in Statistics Ser.

FormatHardcover

Dimensions

Item Weight16.6 Oz

Additional Product Features

Intended AudienceScholarly & Professional

Number of Volumes1 vol.

IllustratedYes

SynopsisDuring the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.

LC Classification NumberT57-57.97