Multivariate Time Series Analysis: With R and Financial Applications
Multivariate Time Series Analysis: With R and Financial Applications
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发表时间：
2013-12
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通讯作者：
R. Tsay
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作者：
R. Tsay
与传统的多元时间序列方法不同，本书通过强调结构规范来关注读者的理解，从而简化了简约的VAR MA建模。多变量时间序列分析：With R and Financial Applications利用免费提供的R软件包来探索复杂的数据，并演示相关的计算和分析。本书介绍了多元线性时间序列、平稳VAR模型、VAR MA时间序列和模型、单位根过程、因子模型和因子增强VAR模型的技术和方法，包括：
Differing from the traditional approach to multivariate time series, the book focuses on reader comprehension by emphasizing structural specification, which results in simplified parsimonious VAR MA modeling. Multivariate Time Series Analysis: With R and Financial Applications utilizes the freely available R software package to explore complex data and illustrate related computation and analyses. Featuring the techniques and methodology of multivariate linear time series, stationary VAR models, VAR MA time series and models, unitroot process, factor models, and factor-augmented VAR models, the book includes: