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Multivariate time series analysis :w...

Tsay, Ruey S., (1951-)

Multivariate time series analysis :with R and financial applications /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Multivariate time series analysis :Ruey S. Tsay.
其他題名:	with R and financial applications /
作者:	Tsay, Ruey S.,
出版者:	Hoboken, New Jersey :John Wiley & Sons,c2014.
面頁冊數:	xvii, 492 p. :ill. ;25 cm.
標題:	Econometric models.
ISBN:	9781118617908 :

Multivariate time series analysis :with R and financial applications /
Tsay, Ruey S.,1951-

Multivariate time series analysis :with R and financial applications /Ruey S. Tsay. - Hoboken, New Jersey :John Wiley & Sons,c2014. - xvii, 492 p. :ill. ;25 cm. - Wiley series in probability and statistics.

Includes bibliographical references and index.

"Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this sequel book emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The book utilizes the freely available R software package to explore complex data and illustrate related computation and analyses in a user-friendly way. An author-maintained website features additional data sets in R, Matlab and Stata scripts so readers can create their own simulations and test their comprehension of the presented techniques"--

ISBN: 9781118617908 :$145.95

LCCN: 2013009453Subjects--Topical Terms:

183244
Econometric models.

LC Class. No.: QA280 / .T73 2014

Dewey Class. No.: 519.5/5

Multivariate time series analysis :with R and financial applications /
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245 1 0 $a Multivariate time series analysis : $b with R and financial applications / $c Ruey S. Tsay.
260 $a Hoboken, New Jersey : $b John Wiley & Sons, $c c2014.
300 $a xvii, 492 p. : $b ill. ; $c 25 cm.
490 0 $a Wiley series in probability and statistics
504 $a Includes bibliographical references and index.
520 $a "Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this sequel book emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The book utilizes the freely available R software package to explore complex data and illustrate related computation and analyses in a user-friendly way. An author-maintained website features additional data sets in R, Matlab and Stata scripts so readers can create their own simulations and test their comprehension of the presented techniques"-- $c Provided by publisher.
650 0 $a Econometric models. $3 183244
650 0 $a R (Computer program language) $3 210846
650 0 $a Time-series analysis. $3 181890
776 0 8 $i Online version: $a Tsay, Ruey S., 1951- $t Multivariate time series analysis $d Hoboken, New Jersey : John Wiley & Sons, Inc., [2013] $z 9781118617793 $w (DLC) 2013017803