时间序列的理论与方法 : 第2版

平稳时间序列

Hilbert空间

平稳Arma过程

平稳过程的谱表示

平稳过程预测

渐进理论

均值和协差函数估计

Arma模型估计

应用ARIMA过程进行建模和预测

平稳过程的谱推断

多变量时间序列

状态空间模型和Kalman递归

高级话题

This edition contains a large number of additions and corrections scattered
　　throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Tme Series Modelling Package for th.e PC, which includes a manual and can be ordered fromSpringer-Vertag.*
　　We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and
　　F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the
　　preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition.

《时间序列的理论与方法（第2版）》是一部有关时间序列的高等教材，这版对原来的版本通篇做了大量的修订和扩充，包括增加了全新的一章讲述状态空间。内容详尽，包括了学习时间序列能够经常用到的所有方法，书的一开始从引进Hilbert空间开始，紧接着平稳ARMA过程及其他。第10章有关平稳过程的谱推断很有新意，考虑频率已知和未知的周期性各种检验。
　　目次：平稳时间序列；Hilbert空间；平稳Arma过程；平稳过程的谱表示；平稳过程预测；渐进理论；均值和协差函数估计；Arma模型估计；应用ARIMA过程进行建模和预测；平稳过程的谱推断；多变量时间序列；状态空间模型和Kalman递归；高级话题。
　　《时间序列的理论与方法（第2版）》读者对象：数学专业、统计概率专业的研究生和相关人士。