Multivariate time series analysis
with R and financial applications
Tsay, Ruey S.
1951-
creator
author.
text
bibliography
nju
2014
monographic
eng
xvii, 492 pages : illustrations ; 25 cm.
"Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this sequel book emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The book utilizes the freely available R software package to explore complex data and illustrate related computation and analyses in a user-friendly way. An author-maintained website features additional data sets in R, Matlab and Stata scripts so readers can create their own simulations and test their comprehension of the presented techniques"--
Ruey S. Tsay, Booth School of Business, University of Chicago, Chicago, IL.
Includes bibliographical references and index.
Time-series analysis
R (Computer program language)
Econometric models
MATHEMATICS / Probability & Statistics / General
QA 280 .T73 2014
519.5/5
MAT029000
Wiley series in probability and statistics
Multivariate time series analysis
Tsay, Ruey S., 1951-
Hoboken, New Jersey : John Wiley & Sons, Inc., [2013]
(DLC) 2013017803
9781118617908 (hardback)
2013009453
DLC
130430
20161031150653.0
17718475
eng