Overview

Time series analysis concerns the mathematical modelling of time varying phenomena (eg: ocean waves, water levels in lakes and rivers, demand for electrical power, radar signals, muscular reactions, ECG-signals, or option prices at the stock market). This book gives a comprehensive presentation of stochastic models and methods in time series analysis. The book treats stochastic vectors and both univariate and multivariate stochastic processes, as well as how these can be used to identify suitable models for various forms of observations. Furthermore, different approaches such as least squares, the prediction error method, and maximum likelihood are treated in detail, together with results on the Cramer-Rao lower bound, dictating the theoretically possible estimation accuracy. Residual analysis and prediction of stochastic models are also treated, as well as how one may form time-varying models, including the recursive least squares and the Kalman filter. The book discusses how to implement the various methods using Matlab, and several Matlab functions and data sets are provided with the book. The book provides an introduction to time series modelling of various forms of measurements, focusing on how such models may be identified and detailed. It has a practical approach, and include several examples illustrating the theory. The book is aimed at advanced undergraduate and junior graduate students in statistics, mathematics, or engineering. Helpful prerequisites include courses in multivariate analysis, linear systems, basic probability, and stochastic processes.

Full Product Details

Author:   Andreas Jakobsson
Publisher:   Studentlitteratur AB
Imprint:   Studentlitteratur AB
Dimensions:   Width: 14.50cm , Height: 2.10cm , Length: 17.00cm
Weight:   0.514kg
ISBN:  

9789144083742

ISBN 10:   9144083742
Pages:   367
Publication Date:   26 September 2013
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In stock  
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Table of Contents

Preface; Introduction; Stochasticvectors; Stochastic Processes; Identification & Modelling; Estimation & Testing; Prediction of Stochastic Processes; Multivariateprocesses; Tracking Dynamic Systems; Index.

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Author Information

Andreas Jakobsson received his MSc from Lund Institute of Technology and his Ph.D. in Signal Processing from Uppsala University in 1993 and 2000, respectively. Since, he has held positions with Global IP Sound AB, the Swedish Royal Institute of Technology, Kings College London, and Karlstad University, held an Honorary Research Fellowship at Cardiff University, as well as acted as an expert for the IAEA. He is currently Professor of Mathematical Statistics at Lund University, Sweden. His research interests include statistical and array signal processing, detection and estimation theory, and related application in remote sensing, telecommunication and biomedicine.

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