Product Information
Foundations of time series for researchers and students This volume provides a mathematical foundation for time seriesanalysis and prediction theory using the idea of regression and thegeometry of Hilbert spaces. It presents an overview of the tools oftime series data analysis, a detailed structural analysis ofstationary processes through various reparameterizations employingtechniques from prediction theory, digital signal processing, andlinear algebra. The author emphasizes the foundation and structureof time series and backs up this coverage with theory andapplication. End-of-chapter exercises provide reinforcement for self-study andappendices covering multivariate distributions and Bayesianforecasting add useful reference material. Further coveragefeatures: * Similarities between time series analysis and longitudinal dataanalysis * Parsimonious modeling of covariance matrices through ARMA-likemodels * Fundamental roles of the Wold decomposition andorthogonalization * Applications in digital signal processing and Kalmanfiltering * Review of functional and harmonic analysis and predictiontheory Foundations of Time Series Analysis and Prediction Theory guidesreaders from the very applied principles of time series analysisthrough the most theoretical underpinnings of prediction theory. Itprovides a firm foundation for a widely applicable subject forstudents, researchers, and professionals in diverse scientificfields.Product Identifiers
PublisherJohn Wiley & Sons Inc
ISBN-139780471394341
eBay Product ID (ePID)96803512
Product Key Features
Publication NameFoundations of Time Series Analysis and Prediction Theory
SubjectMathematics
Publication Year2001
TypeTextbook
FormatHardcover
LanguageEnglish
AuthorMohsen Pourahmadi
Number of Pages448 Pages
Dimensions
Item Height237 mm
Item Weight820 g
Additional Product Features
Country/Region of ManufactureUnited States
Title_AuthorMohsen Pourahmadi
Series TitleWiley Series in Probability and Statistics