Multiple Time Series - ISBN:0471348058

Multiple Time Series

Date: 14 April 2011, 19:17

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From the Preface:
The subject of time series analysis has intimate connections with a wide
range of topics, among which may be named statistical communication
theory, the theory of prediction and control, and the statistical analysis of
time series data. The last of these is to some extent subsidiary to the other
two, since its purpose, in part at least, must be to provide the information
essential to the application of those theories. However, it also has an
existence of its own because of its need in fields (e.g., economics) in which
at present well-developed, exact theories of control are not possible. It is
with the third of these topics that this book is concerned. It extends beyond
that in two ways. The first and most important is by the inclusion in the
first half of the book of a fairly complete treatment of the underlying proba-
bility theory for second-order stationary process. Although this theory is
for the most part classical and available elsewhere in book form, its under-
standing is an essential preliminary to the study of time series analysis and
its inclusion is inevitable. I have, however, included a certain amount of
material over and above the minimum necessary, in relation, for example,
to nonlinear filters and random processes in space as well as time. The statis-
tical development of this last subject is now fragmentary but may soon be-
come important...

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