Multivariate time series analysis and applications / William W.S. Wei.
By: Wei, William W. S [author.]
Language: English Series: Wiley series in probability and statisticsPublisher: Hoboken, NJ : John Wiley & Sons, 2019Description: 1 online resource (536 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9781119502944 (Adobe PDF); 9781119502937 (ePub)Subject(s): Time-series analysisGenre/Form: Electronic books.DDC classification: 519.55 LOC classification: QA280Online resources: Full text available at Wiley Online Library Click here to view| Item type | Current location | Home library | Call number | Status | Date due | Barcode | Item holds |
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EBOOK
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COLLEGE LIBRARY | COLLEGE LIBRARY LIC Gateway | 519.55 W4242 2019 (Browse shelf) | Available | CL-50600 |
ABOUT THE AUTHOR
William W.S. Wei, PhD, is a Professor of Statistics at Temple University in Philadelphia, Pennsylvania, USA. He has been a Visiting Professor at many universities including Nankai University in China, National University of Colombia in Colombia, Korea University in Korea, National Chiao Tung University, National Sun Yat-Sen University, and National Taiwan University in Taiwan, and Middle East Technical University in Turkey. His research interests include time series analysis, forecasting methods, high dimensional problems, statistical modeling, and their applications.
Includes bibliographical references and indexes.
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.
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 high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series.
With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis.
Written by bestselling author and leading expert in the field
Covers topics not yet explored in current multivariate books
Features classroom tested material
Written specifically for time series courses
Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
500-599 519
Description based on print version record and CIP data provided by publisher.
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