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Preface
Scope of the Book
Note to Students and Instructors
Ito's Lemma
Expected Value and Higher Moments
Markov's and Chebyshev's Inequality
2.3 Joint and Conditional Distributions
Joint Distribution and Independence
2.4 Stochastic Processes (SP)
Definition
Stationary and Gaussian Processes
Markov Processes and Martingales
3.3 Lag Polynomials and Invertibility
Causal Linear Filters
Invertibility of Lag Polynomials
3.4 Autoregressive and Mixed Processes
AR(1)
Autoregressive Moving Average Processes
4.2 Definition and Interpretation
Periodic Cycles
4.4 Examples of ARMA Spectra
Summation over the Diagonal
Multiplicative Seasonal AR Process
5.2 Persistence and Long Memory
Persistence
Fractional Differencing and Integration
5.3 Fractionally Integrated Noise
Fractional Noise and Long Memory
Long Memory in the Frequency Domain
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