Time series analysis concerns the mathematical modelling of time varying phenomena (eg: ocean waves, water levels in lakes and rivers, demand for electrical power, radar signals, muscular reactions, ECGsignals, or option prices at the stock market). This book gives a comprehensive presentation of stochastic models and methods in time series analysis. The book treats stochastic vectors and both univariate and multivariate stochastic processes, as well as how these can be used to identify suitable models for various forms of observations. Furthermore, different approaches such as least squares, the prediction error method, and maximum likelihood are treated in detail, together with results on the CramerRao lower bound, dictating the theoretically possible estimation accuracy. Residual analysis and prediction of stochastic models are also treated, as well as how one may form timevarying models, including the recursive least squares and the Kalman filter. The book discusses how to implement the various methods using Matlab, and several Matlab functions and data sets are provided with the book. The book provides an introduction to time series modelling of various forms of measurements, focusing on how such models may be identified and detailed. It has a practical approach, and include several examples illustrating the theory. The book is aimed at advanced undergraduate and junior graduate students in statistics, mathematics, or engineering. Helpful prerequisites include courses in multivariate analysis, linear systems, basic probability, and stochastic processes.
About Andreas Jakobsson
Andreas Jakobsson received his MSc from Lund Institute of Technology and his Ph.D. in Signal Processing from Uppsala University in 1993 and 2000, respectively. Since, he has held positions with Global IP Sound AB, the Swedish Royal Institute of Technology, Kings College London, and Karlstad University, held an Honorary Research Fellowship at Cardiff University, as well as acted as an expert for the IAEA. He is currently Professor of Mathematical Statistics at Lund University, Sweden. His research interests include statistical and array signal processing, detection and estimation theory, and related application in remote sensing, telecommunication and biomedicine.Details Book
Author  :  Andreas Jakobsson 
Publisher  :  Studentlitteratur AB 
Data Published  :  26 September 2013 
ISBN  :  9144083742 
EAN  :  9789144083742 
Format Book  :  PDF, Epub, DOCx, TXT 
Number of Pages  :  367 pages 
Age +  :  15 years 
Language  :  English 
Rating  : 
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