000			a
999			_c32555 _d32555
008			230902b xxu||||| |||| 00| 0 eng d
020			_a9783031132124
082			_a519.55 _bDEI
100			_aDeistler, Manfred
245			_aTime series models
260			_bSpringer, _c2022 _aCham :
300			_axiv, 201 p. ; _bill., (some col.), _c24 cm
365			_b84.99 _cEUR _d94.90
490			_aLecture notes in statistics; _vv224
504			_aIncludes bibliographical references and index.
520			_aThis textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.
650			_aStationary processes
650			_aTime-series analysis
650			_aTime-series mathematical models
650			_aStochastic Processes
650			_aImaging systems
650			_aARMA processes
650			_aCovariance function
650			_aGranger causality
650			_aHillbert space
650			_aKalman filter
650			_aPolynomial matrix
650			_aPositive semidefinite
650			_aRandom variables
650			_aSpectral density
650			_aSquare integrable' Stationary process
650			_aTransfer function
650			_aWhite noise
650			_aWiener filter
650			_aWold decomposition
700			_aScherrer, Wolfgang
942			_2ddc _cBK