Beschreibung:
This book presents an introduction to linear univariate and multivariate time series analysis, providing brief theoretical insights into each topic, and from the beginning illustrating the theory with software examples. As such, it quickly introduces readers to the peculiarities of each subject from both theoretical and the practical points of view. It also includes numerous examples and real-world applications that demonstrate how to handle different types of time series data. The associated software package, SSMMATLAB, is written in MATLAB and also runs on the free OCTAVE platform.
Preface.- Software Installation.- Stationarity, VARMA and ARIMA Models.- VARMAX and Transfer Function Models.- Unobserved Components in Univariate Series.- Spectral Analysis.- Computing Echelon Forms by Polynomial Methods.- Multivariate Structural Models.- Cointegrated VARMA Models.- Simulation of Common Univariate and Multivariate Models.- The State Space Model.- SSMMATLAB Examples by Subject.- Author Index.- Subject Index.