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3 produkter
3 produkter
Del 379 - Wiley Series in Probability and Statistics
Foundations of Time Series Analysis and Prediction Theory
Inbunden, Engelska, 2001
2 268 kr
Skickas inom 5-8 vardagar
Foundations of time series for researchers and students This volume provides a mathematical foundation for time seriesanalysis and prediction theory using the idea of regression and thegeometry of Hilbert spaces. It presents an overview of the tools oftime series data analysis, a detailed structural analysis ofstationary processes through various reparameterizations employingtechniques from prediction theory, digital signal processing, andlinear algebra. The author emphasizes the foundation and structureof time series and backs up this coverage with theory andapplication. End-of-chapter exercises provide reinforcement for self-study andappendices covering multivariate distributions and Bayesianforecasting add useful reference material. Further coveragefeatures:* Similarities between time series analysis and longitudinal dataanalysis* Parsimonious modeling of covariance matrices through ARMA-likemodels* Fundamental roles of the Wold decomposition andorthogonalization* Applications in digital signal processing and Kalmanfiltering* Review of functional and harmonic analysis and predictiontheory Foundations of Time Series Analysis and Prediction Theory guidesreaders from the very applied principles of time series analysisthrough the most theoretical underpinnings of prediction theory. Itprovides a firm foundation for a widely applicable subject forstudents, researchers, and professionals in diverse scientificfields.
Inbunden, Engelska, 2026
1 653 kr
Kommande
Del 882 - Wiley Series in Probability and Statistics
High-Dimensional Covariance Estimation
With High-Dimensional Data
Inbunden, Engelska, 2013
1 070 kr
Skickas inom 5-8 vardagar
Methods for estimating sparse and large covariance matricesCovariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences. High-Dimensional Covariance Estimation provides accessible and comprehensive coverage of the classical and modern approaches for estimating covariance matrices as well as their applications to the rapidly developing areas lying at the intersection of statistics and machine learning.Recently, the classical sample covariance methodologies have been modified and improved upon to meet the needs of statisticians and researchers dealing with large correlated datasets. High-Dimensional Covariance Estimation focuses on the methodologies based on shrinkage, thresholding, and penalized likelihood with applications to Gaussian graphical models, prediction, and mean-variance portfolio management. The book relies heavily on regression-based ideas and interpretations to connect and unify many existing methods and algorithms for the task.High-Dimensional Covariance Estimation features chapters on: Data, Sparsity, and RegularizationRegularizing the EigenstructureBanding, Tapering, and ThresholdingCovariance MatricesSparse Gaussian Graphical ModelsMultivariate RegressionThe book is an ideal resource for researchers in statistics, mathematics, business and economics, computer sciences, and engineering, as well as a useful text or supplement for graduate-level courses in multivariate analysis, covariance estimation, statistical learning, and high-dimensional data analysis.