Multidimensional Stationary Time Series: Dimension Reduction and Prediction Contributor(s): Bolla, Marianna (Author), Szabados, Tamás (Author) |
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ISBN: 0367569329 ISBN-13: 9780367569327 Publisher: CRC Press OUR PRICE: $171.00 Product Type: Hardcover - Other Formats Published: April 2021 |
Additional Information |
BISAC Categories: - Mathematics | Probability & Statistics - Time Series - Mathematics | Probability & Statistics - Multivariate Analysis |
Dewey: 519.535 |
LCCN: 2020056856 |
Physical Information: 0.69" H x 6.14" W x 9.21" (1.30 lbs) 318 pages |
Descriptions, Reviews, Etc. |
Publisher Description: This book gives a brief survey of the theory of multidimensional (multivariate), weakly stationary time series, with emphasis on dimension reduction and prediction. Understanding the covered material requires a certain mathematical maturity, a degree of knowledge in probability theory, linear algebra, and also in real, complex and functional analysis. For this, the cited literature and the Appendix contain all necessary material. The main tools of the book include harmonic analysis, some abstract algebra, and state space methods: linear time-invariant filters, factorization of rational spectral densities, and methods that reduce the rank of the spectral density matrix. * Serves to find analogies between classical results (Cramer, Wold, Kolmogorov, Wiener, Kálmán, Rozanov) and up-to-date methods for dimension reduction in multidimensional time series. It is an ideal companion for graduate students studying the theory of multivariate time series and researchers working in this field. |