MULTIVARIATE TIME SERIES ANALYSIS AND APPLICATIONS 2019 <JW>

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書名：MULTIVARIATE TIME SERIES ANALYSIS AND APPLICATIONS 作者：WEI 出版年：2020 出版社：John Wiley ISBN：9781119502852 內容簡介： DESCRIPTION An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering. TABLE OF CONTENTS About the author xiii Preface xv About the Companion website xvii 1 Fundamental Concepts and Issues in Multivariate Time Series Analysis 1 2 Vector Time Series Models 11 3 Multivariate Time Series Regression Models 105 4 Principle Component Analysis of Multivariate Time Series 139 5 Factor Analysis of Multivariate Time Series 163 6 Multivariate GARCH Models 203 7 Repeated Measurements 237 8 Space–Time Series Models 261 9 Multivariate Spectral Analysis of Time Series 301 10 Dimension Reduction in High-Dimensional Multivariate Time Series Analysis 437 Software code 490 Projects 505 References 506 Author index 509 Subject index 515