Time Series: Theory and Methods

作者：Eric R. Ziegel, Peter J. Brockwell, Richard A. Davis · 发表于：Technometrics · 年份：1992 · DOI：10.2307/1270070 · 被引用次数：5102 · 研究领域：Financial Risk and Volatility Modeling、Statistical Methods and Inference、Fault Detection and Control Systems

1 Stationary Time Series.- 2 Hilbert Spaces.- 3 Stationary ARMA Processes.- 4 The Spectral Representation of a Stationary Process.- 5 Prediction of Stationary Processes.- 6* Asymptotic Theory.- 7 Estimation of the Mean and the Autocovariance Function.- 8 Estimation for ARMA Models.- 9 Model Building and Forecasting with ARIMA Processes.- 10 Inference for the Spectrum of a Stationary Process.- 11 Multivariate Time Series.- 12 State-Space Models and the Kalman Recursions.- 13 Further Topics.- Appendix: Data Sets.