Multidimensional stationary time series dimension reduction and prediction
"This book gives a brief survey of the theory of multidimensional (multivariate), weakly stationary time series, with emphasis on dimension reduction and prediction. Understanding the covered material requires a certain mathematical maturity, a degree of knowledge in probability theory, linear...
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| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
Boca Raton, London, New York
CRC Press, Taylor & Francis Group
2021
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| Ausgabe: | First edition |
| Schlagworte: | |
| Online Zugang: | Inhaltsverzeichnis |
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Tag hinzufügen | Zusammenfassung: | "This book gives a brief survey of the theory of multidimensional (multivariate), weakly stationary time series, with emphasis on dimension reduction and prediction. Understanding the covered material requires a certain mathematical maturity, a degree of knowledge in probability theory, linear algebra, and also in real, complex and functional analysis. For this, the cited literature and the Appendix contain all necessary material. The main tools of the book include harmonic analysis, some abstract algebra, and state space methods: linear time-invariant filters, factorization of rational spectral densities, and methods that reduce the rank of the spectral density matrix"-- |
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| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | xxii, 273 Seiten Diagramme |
| ISBN: | 9780367569327 978-0-367-56932-7 9780367619701 978-0-367-61970-1 |