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ARMA Model Identification

By (author) ByoungSeon Choi

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During the last two decades, considerable progress has been made in statistical time series analysis. The aim of this book is to present a survey of one of the most active areas in this field: the identification of autoregressive moving-average models, i.e., determining their orders. Readers are assumed to have already taken one course on time series analysis as might be offered in a graduate course, but otherwise this account is self-contained. The main topics covered include: Box-Jenkins' method, inverse autocorrelation functions, penalty function identification such as AIC, BIC techniques and Hannan and Quinn's method, instrumental regression, and a range of pattern identification methods. Rather than cover all the methods in detail, the emphasis is on exploring the fundamental ideas underlying them. Extensive references are given to the research literature and as a result, all those engaged in research in this subject will find this an invaluable aid to their work.

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Helgoland: The Strange and Beautiful Story of Quantum Physics

Carlo Rovelli
Paperback / softback
208 pages
was: R 295.95
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The Coming Wave: AI, Power and Our Future

Mustafa Suleyman
Paperback / softback
352 pages
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The Order of Time

Carlo Rovelli
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224 pages
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Originally published in Italian: L'ordine del tempo (Milan: Adelphi Edizioni, 2017).

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