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Wei, William W. S.

Multivariate Time Series Analysis and Applications

Wei, William W. S. - Multivariate Time Series Analysis and Applications, ebook

105,15€

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ISBN: 9781119502937
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An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field

Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series.

With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis.

  • Written by bestselling author and leading expert in the field
  • Covers topics not yet explored in current multivariate books
  • Features classroom tested material
  • Written specifically for time series courses

Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.

Keywords:

multivariate time series analysis; fundamentalconcepts of multivariate time series analysis; understanding multivariate time series analysis; multivariate time series analysis methodology; guide to multivariate time series analysis; analyzing multivariate time series; clustering; cointegration; multivariate time series outliers; multivariate time series regression; multivariate GARCH models; space-time series models; high dimensional multivariate time series; dimension reduction in high dimensional multivariate time series analysis; aggregation; spectral density matrix estimation; spectrum analysis of nonstationary vector time series; multivariate time series analysis theory; multivariate time series analysis applications; Time Series Analysis—Univariate and Multivariate Methods; William W.S. Wei; Multivariate Time Series Analysis and its Applications

, Multivariate Analysis, Applied Probability & Statistics, Multivariate Analysis, Applied Probability & Statistics
Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2019
Language
en
Edition
1
Series
Wiley Series in Probability and Statistics
Page amount
536 pages
Category
Natural Sciences
Format
Ebook
eISBN (ePUB)
9781119502937
Printed ISBN
9781119502852

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