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Time series analysis / James D. Hamilton.

By: Material type: TextTextLanguage: English Publication details: Princeton : Princeton University Press, 1994.Description: xiv, 799 páginas : tablas, gráficas ; 25 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 0691042896
Subject(s): DDC classification:
  • 519.55  H15t  21
Other classification:
  • C22
Contents:
Difference equations -- Lag operators – Stationary ARMA processes -- Forecasting -- Maximum likelihood estimation -- Spectral analysis -- Asymptotic distribution theory -- Linear regression models -- Linear systems of simultaneous equations -- Covariance-stationary vector processes -- Vector autoregressions -- Bayesian analysis -- The Kalman filter -- Generalized method of moments -- Models of nonstationary time series -- Processes with deterministic time trends -- Univariate processes with unit roots -- Unit roots in multivariate time series – Cointegration -- Full-information maximum likelihood analysis of cointegrated systems -- Time series models of heteroscedasticity -- Modeling time series with changes in regime -- Mathematical review.
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Holdings
Item type Home library Call number Copy number Status Notes Date due Barcode Item holds
LIBRO FISICO Biblioteca Principal 519.55 H15t (Browse shelf(Opens below)) Ejemplar 1 In transit from Biblioteca Principal to Bodega 2 Descarte Material since 2023-06-14 Mantener en colección 29004018980523
LIBRO FISICO Biblioteca Principal 519.55 H15t (Browse shelf(Opens below)) Ejemplar 2 Available Mantener en colección 29004018986074
Total holds: 0

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Difference equations -- Lag operators – Stationary ARMA processes -- Forecasting -- Maximum likelihood estimation -- Spectral analysis -- Asymptotic distribution theory -- Linear regression models -- Linear systems of simultaneous equations -- Covariance-stationary vector processes -- Vector autoregressions -- Bayesian analysis -- The Kalman filter -- Generalized method of moments -- Models of nonstationary time series -- Processes with deterministic time trends -- Univariate processes with unit roots -- Unit roots in multivariate time series – Cointegration -- Full-information maximum likelihood analysis of cointegrated systems -- Time series models of heteroscedasticity -- Modeling time series with changes in regime -- Mathematical review.

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