Non-Fiction Books:

Robust and Nonlinear Time Series Analysis

Proceedings of a Workshop Organized by the Sonderforschungsbereich 123 “Stochastische Mathematische Modelle”, Heidelberg 1983
Click to share your rating 0 ratings (0.0/5.0 average) Thanks for your vote!

Format:

Paperback / softback
$264.99
RRP:
$273.95 save $8.96
Available from supplier

The item is brand new and in-stock with one of our preferred suppliers. The item will ship from a Mighty Ape warehouse within the timeframe shown.

Usually ships in 2-3 weeks

Buy Now, Pay Later with:

4 payments of $66.25 with Afterpay Learn more

Availability

Delivering to:

Estimated arrival:

  • Around 8-20 May using International Courier

Description

Classical time series methods are based on the assumption that a particular stochastic process model generates the observed data. The, most commonly used assumption is that the data is a realization of a stationary Gaussian process. However, since the Gaussian assumption is a fairly stringent one, this assumption is frequently replaced by the weaker assumption that the process is wide~sense stationary and that only the mean and covariance sequence is specified. This approach of specifying the probabilistic behavior only up to "second order" has of course been extremely popular from a theoretical point of view be­ cause it has allowed one to treat a large variety of problems, such as prediction, filtering and smoothing, using the geometry of Hilbert spaces. While the literature abounds with a variety of optimal estimation results based on either the Gaussian assumption or the specification of second-order properties, time series workers have not always believed in the literal truth of either the Gaussian or second-order specifica­ tion. They have none-the-less stressed the importance of such optimali­ ty results, probably for two main reasons: First, the results come from a rich and very workable theory. Second, the researchers often relied on a vague belief in a kind of continuity principle according to which the results of time series inference would change only a small amount if the actual model deviated only a small amount from the assum­ ed model.
Release date Australia
December 3rd, 1984
Audience
  • Professional & Vocational
Contributors
  • Edited by D. Martin
  • Edited by J. Franke
  • Edited by W Hardle
Edition
Softcover reprint of the original 1st ed. 1984
Illustrations
286 p.
Pages
286
Dimensions
170x244x15
ISBN-13
9780387961026
Product ID
15030597

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here

Help & options

Filed under...