Times series analysis nonstationary and noninvertible distribution theory
Nonstationary and noninvertible time series are unconventional subareas of time series analysis that provide extremely accurate information on certain types of data. In recent years, researchers working in a variety of disciplines--especially in the economic and financial arenas--have developed nume...
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
New York
John Wiley & Sons
1996
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| Series: | Wiley series in probability and statistics.
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| Subjects: | |
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Table of Contents:
- 1. Motivating Examples
- 2. Stochastic Calculus in Mean Square
- 3. Functional Central Limit Theorems
- 4. The Stochastic Process Approach
- 5. The Fredholm Approach
- 6. Numerical Integration
- 7. Estimation Problems in Nonstationary Autoregressive Models
- 8. Estimation Problems in Noninvertible Moving Average Models
- 9. Unit Root Tests in Autoregressive Models
- 10. Unit Root Tests in Moving Average Models
- 11. Statistical Analysis of Cointegration
- 12. Solutions to Problems.