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"This new edition, now with a co-author, offers a complete and up-to-date examination of the field. The authors have streamlined previously tedious topics, such as multivariate regression and MANOVA techniques, to add newer, more timely content. Each chapter contains exercises, providing readers with the opportunity to test and extend their understanding. The new edition also presents several expanded topics in Kronecker product; prediction errors; maximum likelihood estimation; and selective key, but accessible proofs. This resource meets the needs of both statistics majors and those of students and professionals in other fields"--

Mathematical statistics --- AA / International- internationaal --- 304.0 --- 306.5 --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Statistische analyse (methodologie). --- Multivariate analysis. --- Mathematics --- Probability & Statistics --- Multivariate Analysis. --- Multivariate analysis --- Multivariate distributions --- Multivariate statistical analysis --- Statistical analysis, Multivariate --- Analysis of variance --- Matrices --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Statistische analyse (methodologie)

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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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Multivariate analysis --- 519.233 --- 519.237 --- 57.087.1 --- 519.233 Parametric methods --- Parametric methods --- 519.237 Multivariate statistical methods --- Multivariate statistical methods --- 57.087.1 Biometry. Statistical study and treatment of biological data --- Biometry. Statistical study and treatment of biological data --- Multivariate distributions --- Multivariate statistical analysis --- Statistical analysis, Multivariate --- Analysis of variance --- Mathematical statistics --- Matrices --- #ABIB:abos --- #ABIB:astp --- #ABIB:dd.prof.E.TOLLENS --- 304.0 --- 306.5 --- AA / International- internationaal --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Statistische analyse (methodologie) --- Statistics as Topic --- Multivariate Analysis --- Multivariate analysis. --- Basic Sciences. Statistics --- Statistical Analysis. --- Multivariate Statistics. --- Analyse multivariée --- Statistics --- Regression analysis --- Factor analysis --- Analyse multivariée. --- Statistique. --- Statistiques --- Analyse de régression --- Analyse factorielle. --- Analyse de variance. --- Tests --- Analyse de régression. --- Tests.