Time Series: Modeling, Computation, and Inference, Second Edition (Hardcover, 2)

Notation, Definitions, and Basic Inference; Traditional Time Domain Models; The Frequency Domain; Dynamic Linear Models; State-Space Time-Varying Autoregressive Models; Sequential Monte Carlo Methods for State-Space Models; Mixture Models in Time Series; Topics and Examples in Multiple Time Series; Vector AR and ARMA Models; Multivariate DLMs and Covariance Models; Further Multivariate Topics.