Time Series+long Memory

A self-contained, contemporary treatment of the analysis of long-range dependent data
Long-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures.

Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics.

Some of the key mathematical results are stated without proof in order to make the underlying theory accessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and nonstationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area.
The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introductions are also given to cointegration and to nonlinear, continuous-time and long-memory models.
The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.

Part of a two volume set based on a recent IMA program of the same name. The goal of the program and these books is to develop a community of statistical and other scientists kept up-to-date on developments in this quickly evolving and interdisciplinary field. Consequently, these books present recent material by distinguished researchers. Topics discussed in Part I include nonlinear and non- Gaussian models and processes (higher order moments and spectra, nonlinear systems, applications in astronomy, geophysics, engineering, and simulation) and the interaction of time series analysis and statistics (information model identification, categorical valued time series, nonparametric and semiparametric methods). Self-similar processes and long-range dependence (time series with long memory, fractals, 1/f noise, stable noise) and time series research common to engineers and economists (modeling of multivariate and possibly non-stationary time series, state space and adaptive methods) are discussed in Part II.

An Advanced Deep Dive Into Time Series Tokens And Neural Networks