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The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems (including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing and interpreting real-world data. Time Series Analysis fills an important need for a textbook that integrates economic theory, econometrics, and new results. The book is intended to provide students and researchers with a self-contained survey of time series analysis. It starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.

519.246 --- Time-series analysis --- modeles economiques --- AA / International- internationaal --- 303.0 --- 304.0 --- 306.5 --- 519.55 --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- economische modellen --- Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken). --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Statistische analyse (methodologie). --- 519.246 Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- Time-series analysis. --- Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken) --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Statistische analyse (methodologie) --- Stochastic processes --- Statistical science --- Série chronologique --- Absolute summability. --- Autocovariance. --- Bartlett kernel. --- Block exogeneity. --- Cointegrating vector. --- Consumption spending. --- Cospectrum. --- Dickey-Fuller test. --- EM algorithm. --- Exchange rates. --- Filters. --- Fundamental innovation. --- Gamma distribution. --- Global identification. --- Gross national product. --- Hessian matrix. --- Inequality constraints. --- Invertibility. --- Jacobian matrix. --- Joint density. --- Khinchine's theorem. --- Kronecker product. --- Lagrange multiplier. --- Loss function. --- Mean-value theorem. --- Mixingales. --- Monte Carlo method. --- Newton-Raphson. --- Order in probability. --- Orthogonal. --- Permanent income. --- Quadrature spectrum. --- Recessions. --- Reduced form. --- Sample periodogram. --- Stock prices. --- Taylor series. --- Vech operator. --- Time series analysis

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This famous book was the first treatise on Lie groups in which a modern point of view was adopted systematically, namely, that a continuous group can be regarded as a global object. To develop this idea to its fullest extent, Chevalley incorporated a broad range of topics, such as the covering spaces of topological spaces, analytic manifolds, integration of complete systems of differential equations on a manifold, and the calculus of exterior differential forms. The book opens with a short description of the classical groups: unitary groups, orthogonal groups, symplectic groups, etc. These special groups are then used to illustrate the general properties of Lie groups, which are considered later. The general notion of a Lie group is defined and correlated with the algebraic notion of a Lie algebra; the subgroups, factor groups, and homomorphisms of Lie groups are studied by making use of the Lie algebra. The last chapter is concerned with the theory of compact groups, culminating in Peter-Weyl's theorem on the existence of representations. Given a compact group, it is shown how one can construct algebraically the corresponding Lie group with complex parameters which appears in the form of a certain algebraic variety (associated algebraic group). This construction is intimately related to the proof of the generalization given by Tannaka of Pontrjagin's duality theorem for Abelian groups. The continued importance of Lie groups in mathematics and theoretical physics make this an indispensable volume for researchers in both fields.

Continuous groups. --- Additive group. --- Adjoint representation. --- Algebra over a field. --- Algebraic extension. --- Algebraic variety. --- Algebraically closed field. --- Analytic function. --- Analytic manifold. --- Automorphism. --- Axiom of countability. --- Ball (mathematics). --- Cardinal number. --- Characteristic polynomial. --- Coefficient. --- Commutator subgroup. --- Complex number. --- Connected component (graph theory). --- Continuous function (set theory). --- Continuous function. --- Coordinate system. --- Coset. --- Countable set. --- Covering group. --- Covering space. --- Differential algebra. --- Differential calculus. --- Differential form. --- Differential of a function. --- Dual space. --- Eigenvalues and eigenvectors. --- Endomorphism. --- Equivalence class. --- Existential quantification. --- Exponential function. --- Exterior algebra. --- Fundamental group. --- Galois group. --- General topology. --- Geometry. --- Group (mathematics). --- Group theory. --- Hermitian matrix. --- Homeomorphism. --- Homogeneous space. --- Homomorphism. --- Homotopy group. --- Identity element. --- Identity matrix. --- Infinitesimal transformation. --- Integer. --- Invariant subspace. --- Irreducible representation. --- Kronecker product. --- Lie algebra. --- Lie group. --- Linear function. --- Linear map. --- Linear space (geometry). --- Linear subspace. --- Linearization. --- Locally connected space. --- Manifold. --- Mathematical induction. --- Matrix exponential. --- Modular arithmetic. --- Module (mathematics). --- Monodromy. --- Morphism. --- Open set. --- Orthogonal group. --- Parametric equation. --- Permutation. --- Power series. --- Projective plane. --- Real number. --- Regular matrix. --- Representation theory. --- Riemann surface. --- Simply connected space. --- Skew-symmetric matrix. --- Special case. --- Subalgebra. --- Subgroup. --- Submanifold. --- Subset. --- Summation. --- Symplectic geometry. --- Symplectic group. --- Tangent space. --- Theorem. --- Topological group. --- Topological space. --- Topology. --- Trigonometric polynomial. --- Union (set theory). --- Uniqueness theorem. --- Unitary group. --- Unitary matrix. --- Variable (mathematics). --- Vector space.