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Time series analysisnonstationary an...

Tanaka, Katsuto, (1950-)

Time series analysisnonstationary and noninvertible distribution theory /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Time series analysisKatsuto Tanaka.
Reminder of title:	nonstationary and noninvertible distribution theory /
Author:	Tanaka, Katsuto,
Published:	Hoboken, NJ :John Wiley & Sons,2017.
Description:	1 online resource.
Subject:	Time-series analysis.
Online resource:	https://onlinelibrary.wiley.com/doi/book/10.1002/9781119132165
ISBN:	9781119132165$q(electronic bk.)

Time series analysisnonstationary and noninvertible distribution theory /
Tanaka, Katsuto,1950-

Time series analysisnonstationary and noninvertible distribution theory /[electronic resource] :Katsuto Tanaka. - 2nd ed. - Hoboken, NJ :John Wiley & Sons,2017. - 1 online resource. - Wiley series in probability and statistics. - Wiley series in probability and statistics..

Includes bibliographical references and indexes.

"This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition have been compressed into ten chapters, with a chapter on nonstationary panel added and located under Part I: Analysis of Non-fractional Time Series. Chapters 12 to 14 have been newly written under Part II: Analysis of Fractional Time Series. Chapter 12 discusses the basic theory of long-memory processes by introducing ARFIMA models and the fractional Brownian motion (fBm). Chapter 13 is concerned with the computation of distributions of quadratic functionals of the fBm and its ratio. Next, Chapter 14 introduces the fractional Ornstein-Uhlenbeck process, on which the statistical inference is discussed. Finally, Chapter 15 gives a complete set of solutions to problems posed at the end of most sections."--Publisher description.

ISBN: 9781119132165$q(electronic bk.)

LCCN: 2016052636Subjects--Topical Terms:

181890
Time-series analysis.

LC Class. No.: QA280

Dewey Class. No.: 519.5/5

Time series analysisnonstationary and noninvertible distribution theory /
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245 1 0 $a Time series analysis $h [electronic resource] : $b nonstationary and noninvertible distribution theory / $c Katsuto Tanaka.
250 $a 2nd ed.
260 $a Hoboken, NJ : $b John Wiley & Sons, $c 2017.
300 $a 1 online resource.
490 1 $a Wiley series in probability and statistics
504 $a Includes bibliographical references and indexes.
520 $a "This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition have been compressed into ten chapters, with a chapter on nonstationary panel added and located under Part I: Analysis of Non-fractional Time Series. Chapters 12 to 14 have been newly written under Part II: Analysis of Fractional Time Series. Chapter 12 discusses the basic theory of long-memory processes by introducing ARFIMA models and the fractional Brownian motion (fBm). Chapter 13 is concerned with the computation of distributions of quadratic functionals of the fBm and its ratio. Next, Chapter 14 introduces the fractional Ornstein-Uhlenbeck process, on which the statistical inference is discussed. Finally, Chapter 15 gives a complete set of solutions to problems posed at the end of most sections."--Publisher description.
588 0 $a Print version record and CIP data provided by publisher.
650 0 $a Time-series analysis. $3 181890
830 0 $a Wiley series in probability and statistics. $3 324851
856 4 0 $u https://onlinelibrary.wiley.com/doi/book/10.1002/9781119132165