Elements of Multivariate Time Series Analysis

by Gregory C. Reinsel

Book Overview

Now available in paperback, this book introduces basic concepts and methods useful in the analysis and modeling of multivariate time series data. It concentrates on the time-domain analysis of multivariate time series, and assumes univariate time series analysis, while covering basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares and maximum likelihood estimation...

• Format: Paperback
• Language: English
• ISBN: 0387406190
• ISBN13: 9780387406190
• Release Date: October 2003
• Publisher: Springer
• Length: 358 Pages
• Weight: 1.20 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"