By Wilfredo Palma
A self-contained, modern therapy of the research of long-range based data
Long-Memory Time sequence: conception and techniques presents an summary of the speculation and techniques constructed to accommodate long-range based info and describes the functions of those methodologies to real-life time sequence. Systematically geared up, it starts with the foundational necessities, proceeds to the research of methodological features (Estimation tools, Asymptotic thought, Heteroskedastic versions, variations, Bayesian equipment, and Prediction), after which extends those concepts to extra advanced information structures.
To facilitate realizing, the book:
Assumes a simple wisdom of calculus and linear algebra and explains the extra complicated statistical and mathematical concepts
Features a variety of examples that speed up figuring out and illustrate numerous effects of the theoretical results
Proves all theoretical effects (theorems, lemmas, corollaries, etc.) or refers readers to assets with extra demonstration
Includes targeted analyses of computational points regarding the implementation of the methodologies defined, together with set of rules potency, mathematics complexity, CPU instances, and more
Includes proposed difficulties on the finish of every bankruptcy to aid readers solidify their knowing and perform their skills
A beneficial real-world reference for researchers and practitioners in time sequence research, economerics, finance, and comparable fields, this ebook can be very good for a starting graduate-level path in long-memory strategies or as a supplemental textbook for these learning complex statistics, arithmetic, economics, finance, engineering, or physics. A spouse site is on the market for readers to entry the S-Plus and R info units used in the text.