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End User License Agreement
by William W. S. Wei
Multivariate Time Series Analysis and Applications
Cover
About the author
Preface
About the companion website
1 Fundamental concepts and issues in multivariate time series analysis
1.1 Introduction
1.2 Fundamental concepts
Projects
References
2 Vector time series models
2.1 Vector moving average processes
2.2 Vector autoregressive processes
2.3 Vector autoregressive moving average processes
2.4 Nonstationary vector autoregressive moving average processes
2.5 Vector time series model building
2.6 Seasonal vector time series model
2.7 Multivariate time series outliers
2.8 Empirical examples
Software code
Projects
References
3 Multivariate time series regression models
3.1 Introduction
3.2 Multivariate multiple time series regression models
3.3 Estimation of the multivariate multiple time series regression model
3.4 Vector time series regression models
3.5 Empirical Example III – Total mortality and air pollution in California
Software code
Projects
References
4 Principle component analysis of multivariate time series
4.1 Introduction
4.2 Population PCA
4.3 Implications of PCA
4.4 Sample principle components
4.5 Empirical examples
Software code
Projects
References
5 Factor analysis of multivariate time series
5.1 Introduction
5.2 The orthogonal factor model
5.3 Estimation of the factor model
5.4 Factor rotation
5.5 Factor scores
5.6 Factor models with observable factors
5.7 Another empirical example – Yearly U.S. sexually transmitted diseases (STD)
5.8 Concluding remarks
Software code
Projects
References
6 Multivariate GARCH models
6.1 Introduction
6.2 Representations of multivariate GARCH models
6.3 O‐GARCH and GO‐GARCH models
6.4 Estimation of GO‐GARCH models
6.5 Properties of the weighted scatter estimator
6.6 Empirical examples
Software code
Projects
References
7 Repeated measurements
7.1 Introduction
7.2 Multivariate analysis of variance
7.3 Models utilizing time series structure
7.4 Nested random effects model
7.5 Further generalization and remarks
7.6 Another empirical example – the oral condition of neck cancer patients
Software code
Projects
References
8 Space–time series models
8.1 Introduction
8.2 Space–time autoregressive integrated moving average (STARIMA) models
8.3 Generalized space–time autoregressive integrated moving average (GSTARIMA) models
8.4 Iterative model building of STARMA and GSTARMA models
8.5 Empirical examples
Software code
Projects
References
9 Multivariate spectral analysis of time series
9.1 Introduction
9.2 Spectral representations of multivariate time series processes
9.3 The estimation of the spectral density matrix
9.4 Empirical examples of stationary vector time series
9.5 Spectrum analysis of a nonstationary vector time series
9.6 Empirical spectrum example of nonstationary vector time series
Software code
Projects
References
10 Dimension reduction in high‐dimensional multivariate time series analysis
10.1 Introduction
10.2 Existing methods
10.3 The proposed method for high‐dimension reduction
10.4 Simulation studies
10.5 Empirical examples
10.6 Further discussions and remarks
10.A Appendix: Parameter estimation results of various procedures
Software code
Projects
References
Author index
Subject index
End User License Agreement
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WILEY END USER LICENSE AGREEMENT
WILEY END USER LICENSE AGREEMENT
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