Time series analysis /
Hamilton, James Douglas
Time series analysis / James Douglas Hamilton. - Princeton, N.J. : Princeton University Press, 1994 - xiv, 799 p. : il.
Incluye bibliografía.
1. Difference equations -- 2. Lang operators -- 3. Stationary ARMA processes -- 4. Forecasting -- 5. Maximum likelihood estimation -- 6. Spectral analysis -- 7. Asymptotic distribution theory -- 8. Linear regression models -- 9. Linear systems of simultaneous equations -- 10. Covariance-stationary vector processes -- 11. Vector autoregressions -- 12. Bayesian analysis -- 13. The Kalman filter -- 14. Generalized method of moments -- 15. Models of nonstationary time series -- 16. Processes with deterministic time trends -- 17. Univariate processes with unit roots -- 18. Unit roots in multivariate time series -- 19. Cointegration -- 20. Full-information maximum likelihood analysis of cointegrated systems -- 21. Time series models of heteroscedasticity -- 22. Modeling time series with changes in regime -- A. Mathematical review -- B. Statistical tables -- C. Answers to selected exercises -- D. Greek letters and mathematical symbols used in the text.
0-691-04289-6
ANALISIS DE SERIES TEMPORALES
ECUACIONES DIFERENCIALES
MODELO ARIMA
TEORIA ESPECTRAL
MODELO DE REGRESION
ECUACIONES SIMULTANEAS
VECTORES AUTORREGRESIVOS
FILTRO DE KALMAN
EJERCICIOS
MODELO ARMAX ANALISIS ESPECTRAL
519.55
Time series analysis / James Douglas Hamilton. - Princeton, N.J. : Princeton University Press, 1994 - xiv, 799 p. : il.
Incluye bibliografía.
1. Difference equations -- 2. Lang operators -- 3. Stationary ARMA processes -- 4. Forecasting -- 5. Maximum likelihood estimation -- 6. Spectral analysis -- 7. Asymptotic distribution theory -- 8. Linear regression models -- 9. Linear systems of simultaneous equations -- 10. Covariance-stationary vector processes -- 11. Vector autoregressions -- 12. Bayesian analysis -- 13. The Kalman filter -- 14. Generalized method of moments -- 15. Models of nonstationary time series -- 16. Processes with deterministic time trends -- 17. Univariate processes with unit roots -- 18. Unit roots in multivariate time series -- 19. Cointegration -- 20. Full-information maximum likelihood analysis of cointegrated systems -- 21. Time series models of heteroscedasticity -- 22. Modeling time series with changes in regime -- A. Mathematical review -- B. Statistical tables -- C. Answers to selected exercises -- D. Greek letters and mathematical symbols used in the text.
0-691-04289-6
ANALISIS DE SERIES TEMPORALES
ECUACIONES DIFERENCIALES
MODELO ARIMA
TEORIA ESPECTRAL
MODELO DE REGRESION
ECUACIONES SIMULTANEAS
VECTORES AUTORREGRESIVOS
FILTRO DE KALMAN
EJERCICIOS
MODELO ARMAX ANALISIS ESPECTRAL
519.55