Elements of Multivariate Time Series Analysis
Description
Now available in paperback. Elements of Multivariate Time Series Analysis, Second Edition introduces the basic concepts and methods that are useful in the analysis and modeling of multivariate time series data that may arise in business and economics, engineering, geophysical sciences, and other fields. The book concentrates on the time-domain analysis of multivariate time series, and assumes a background in univariate time series analysis. It covers basic topics such as stationary processes and their covariance matrix structure, vector AR, MA, and ARMA models, forecasting, least squares an...
ISBN(s)
0387949186, 9780387949185
