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Time series analysis/ James D. Hamilton

By: Hamilton, James DMaterial type: Text

TextPublication details: Princeton: Priceton University Press, 1994Description: xiv, 799 p. : ill. ; 26 cmISBN: 9780691042893Subject(s): Statistical analysisDDC classification: 519.55

Contents:

Difference equations -- Lag operators -- Stationary ARMA processes -- Forecasting -- Maximum likelihood estimation -- Spectral analysis -- Asymptotic distribution theory -- Linear regression models -- Linear systems of simultaneous equations -- Covariance-stationary vector processes -- Vector autoregressions -- Bayesian analysis -- The Kalman filter -- Generalized method of moments -- Models of sonstationary time series -- Processes with deterministic time trends -- Univariate processes with unit roots -- Unit roots in multivariate time series -- Cointegration -- Full-information maximum likelihood analysis of cointegrated systems -- Time series models of heteroskedasticity -- Modeling time series with changes in regime.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
General Books	Central Library, Sikkim University General Book Section	519.55 HAM/T (Browse shelf(Opens below))	Available		P07547

Total holds: 0

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Previous	519.542 BOL/I Introduction to Bayesian statistics/	519.542 LIN/B Bayesian Inference/	519.55 CHA/T The analysis of time series: an introduction/	519.55 HAM/T Time series analysis/	519.55 MON/I Introduction to time series analysis and forecasting/	519.56 KAN/S 100 statistical tests/	519.57 GON/D Data analysis for experimental design/	Next

Difference equations --
Lag operators --
Stationary ARMA processes --
Forecasting --
Maximum likelihood estimation --
Spectral analysis --
Asymptotic distribution theory --
Linear regression models --
Linear systems of simultaneous equations --
Covariance-stationary vector processes --
Vector autoregressions --
Bayesian analysis --
The Kalman filter --
Generalized method of moments --
Models of sonstationary time series --
Processes with deterministic time trends --
Univariate processes with unit roots --
Unit roots in multivariate time series --
Cointegration --
Full-information maximum likelihood analysis of cointegrated systems --
Time series models of heteroskedasticity --
Modeling time series with changes in regime.

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