Multivariate time series analysis and applications
An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis-Univariate and Multivariate Methods , this new work by William W.S. Wei focuses on h...
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| Format: | eBook |
| Language: | English |
| Published: |
Hoboken, NJ
John Wiley & Sons
2019
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| Series: | Wiley series in probability and statistics
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| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Fundamental concepts and issues of multivariate time series analysis
- Vector time series models
- Multivariate time series regression models
- Principle component analysis of multivariate time series
- Factor analysis of multivariate time series
- Multivariate garch models
- Repeated measurements
- Space-time series models
- Multivariate spectral analysis of time series
- Dimension reduction in high dimensional multivariate time series analysis
- Includes bibliographical references and indexes