RegressionModelsforTimeSeriesAnalysis
- 作者
- 出版社 Wiley-Interscience
- 出版时间 2002年8月
- ISBN 9780471363552
- 定价 1863.70
内容简介
AthoroughreviewofthemostcurrentregressionmethodsintimeseriesanalysisRegressionmethodshavebeenanintegralpartoftimeseriesanalysisforoveracentury.Recently,newdevelopmentshavemademajorstridesinsuchareasasnon-continuousdatawherealinearmodelisnotappropriate.Thisbookintroducesthereadertonewerdevelopmentsandmorediverseregressionmodelsandmethodsfortimeseriesanalysis.Accessibletoanyonewhoisfamiliarwiththebasicmodernconceptsofstatisticalinference,RegressionModelsforTimeSeriesAnalysisprovidesamuch-neededexaminationofrecentstatisticaldevelopments.Primaryamongthemistheimportantclassofmodelsknownasgeneralizedlinearmodels(GLM)whichprovides,undersomeconditions,aunifiedregressiontheorysuitableforcontinuous,categorical,andcountdata.TheauthorsextendGLMmethodologysystematicallytotimeserieswheretheprimaryandcovariatedataarebothrandomandstochasticallydependent.Theyintroducereaderstovariousregressionmodelsdevelopedduringthelastthirtyyearsorsoandsummarizeclassicalandmorerecentresultsconcerningstatespacemodels.Toconclude,theypresentaBayesianapproachtopredictionandinterpolationinspatialdataadaptedtotimeseriesthatmaybeshortand/orobservedirregularly.Realdataapplicationsandfurtherresultsarepresentedthroughoutbymeansofchapterproblemsandcomplements.Notably,thebookcovers:*ImportantrecentdevelopmentsinKalmanfiltering,dynamicGLMs,andstate-spacemodeling*AssociatedcomputationalissuessuchasMarkovchain,MonteCarlo,andtheEM-algorithm*Predictionandinterpolation*Stationaryprocesses
丛书
WileySeriesinProabilityandStatistics— END —