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Full Description
This book is devoted to nonstationary time series analysis. It takes a mathematically rigorous topic and puts it in terms that statisticians can understand.
Contents
Motivating Examples. Stochastic Calculus in Mean Square. Functional Central Limit Theorems. The Stochastic Process Approach. The Fredholm Approach. Numerical Integration. Estimation Problems in Nonstationary Autoregressive Models. Estimation Problems in Noninvertible Moving Average Models. Unit Root Tests in Autoregressive Models. Unit Root Tests in Moving Average Models. Statistical Analysis of Cointegration. Solutions to Problems. References. Indexes. List of Series Titles.



