Multivariate Time Series Analysis pdf epub mobi txt 电子书下载 2025

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RUEY S. TSAY, PhD, is H.G.B. Alexander Professor of Econometrics and Statistics at The University of Chicago Booth School of Business. He has written over 125 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control. A Fellow of the American Statistical Association, the Institute of Mathematical Statistics, and Academia Sinica, Dr. Tsay is author of Analysis of Financial Time Series, Third Edition and An Introduction to Analysis of Financial Data with R, and coauthor of A Course in Time Series Analysis, all published by Wiley.

出版者:Wiley

作者:Ruey S. Tsay

出品人:

页数:520

译者:

出版时间:2013-12-9

价格:USD 135.00

装帧:Hardcover

isbn号码:9781118617908

丛书系列:Wiley Series in Probability and Statistics

图书标签:

R
TimeSeries
金融
统计学
统计
经济学
科普
时间序列

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Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this sequel book emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The book utilizes the freely available R software package to explore complex data and illustrate related computation and analyses in a user-friendly way. An author-maintained website features additional data sets in R, Matlab and Stata scripts so readers can create their own simulations and test their comprehension of the presented techniques.