Handbook of Time Series Analysis, Signal Processing, and Dynamics (eBook)

Cover 1
Contents 8
Preface 20
Part I: Introduction 22
Chapter 1. The Methods of Time-Series Analysis 24
Part II: Polynomial Methods 42
Chapter 2. Elements of Polynomial Algebra 44
Chapter 3. Rational Functions and Complex Analysis 76
Chapter 4. Polynomial Computations 110
Chapter 5. Difference Equations and Differential Equations 142
Chapter 6. Vector Difference Equations and State-Space Models 182
Part III: Least-Squares Methods 200
Chapter 7. Matrix Computations 202
Chapter 8. Classical Regression Analysis 222
Chapter 9. Recursive Least-Squares Estimation 248
Chapter 10. Estimation of Polynomial Trends 282
Chapter 11. Smoothing with Cubic Splines 314
Chapter 12. Unconstrained Optimisation 344
Part IV: Fourier Methods 384
Chapter 13. Fourier Series and Fourier Integrals 386
Chapter 14. The Discrete Fourier Transform 420
Chapter 15. The Fast Fourier Transform 448
Part V: Time-Series Models 478
Chapter 16. Linear Filters 480
Chapter 17. Autoregressive and Moving-Average Processes 534
Chapter 18. Time-Series Analysis in the Frequency Domain 570
Chapter 19. Prediction and Signal Extraction 596
Part VI: Time-Series Estimation 638
Chapter 20. Estimation of the Mean and the Autocovariances 640
Chapter 21. Least-Squares Methods of ARMA Estimation 658
Chapter 22. Maximum-Likelihood Methods of ARMA Estimation 688
Chapter 23. Nonparametric Estimation of the Spectral Density Function 718
Index 746