Description
Book SynopsisThis text provides a mathematical foundation for prediction theory and time series analysis using the geometry of Hilbert spaces. Emphasis is on foundation and structure, supported by theory, application and exercises to provide reinforcement and to extend discussions.
Trade Review"...provides a foundation for times series analysis and predictiontheory for researchers and advanced students..." (SciTech BookNews, Vol. 25, No. 4, December 2001)
"...can be recommended as an excellent textbook (one of the bestwhich I have seen)." (Mathematical Reviews, 2002f)
"...an excellent introduction to the remarkable developmentsduring the 20th century in the theory of time series analysis."(Journal of the American Statistical Association, December2002)
Table of ContentsPreface.
Acknowledgements.
Acronyms.
Introduction.
Time Series Analysis: One Long Series.
Time Series Analysis: Many Short Series.
Stationary ARMA Models.
Stationary Processes.
Parameterization and Prediction.
Finite Prediction and Partial Correlations.
Missing Values: Past and Future.
Stationary Sequences in Hilbert Spaces.
Stationarity and Hardy Spaces.
Appendix A: Multivariate Distributions.
Appendix B: The Bayesian Forecasting.
References.
Index.
Author Index.
