Statistical Analysis of Time Series

Tomas Cipra ()
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Tomas Cipra: Charles University of Prague, Dept. of Statistics, Faculty of Mathematics and Physics

Chapter Chapter 31 in Financial and Insurance Formulas, 2010, pp 361-385 from Springer

Abstract: Abstract Chapter 31 contains formulas relevant for time series analysis: 31.1. Predictions in Time Series, 31.2. Decomposition of (Economic) Time Series, 31.3. Estimation of Correlation and Spectral Characteristics, 31.4. Linear Time Series, 31.5 Nonlinear and Financial Time Series, 31.6 Multivariate Time Series, 31.7. Kalman Filter.

Keywords: White Noise; Kalman Filter; Model ARMA; Stationary Time Series; Stationary Stochastic Process (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2593-0_31

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DOI: 10.1007/978-3-7908-2593-0_31

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