## Optimal Discrete Control Theory: The Rational Function Structure Model |

### What people are saying - Write a review

A good book in discrete time series: a topic in advanced statistics.

There are other books in time series, but this one stands above the crowd. While in the "Applications" chapter only engineering fields of control theory and digital filter are discussed in details, the chapters

on "modelings" and "forecast" make the book suitable and useful for all professionals. The chapter on the VARIMA time series requires some matrix theory that is provided in one appendix. Forecast and modeling

of a VARMA time series are not easy topics and I have not seen many

books deal with these topics as easy as the author of this book. Most

of the visible and necessary statistics background are discussed in Chapter 2. This chapter and Chapters 4, 5, 7 and 8 are the selling chapters of the book. It seems that the author did go through all the

hurdles to discuss a topic at length. No stones were left unturned.

The variance formulae of an ARMA is the case in point. While the book is far above the standard, the price is not. A recommend for one who wants to study discrete time series!

### Contents

Introduction | 1 |

Scalar ARIMA Time Series | 47 |

Time Statistics of an ARIMA Time Series | 79 |

Frequency Statistics of an ARIMA Time Series | 143 |

Vector ARIMA Time Series | 233 |

Time Series Modeling or Identification | 297 |

Forecast or Prediction | 351 |

Applications | 399 |

Appendices | 445 |

B Least Squares Estimation | 455 |

Collection of Famous Time Series | 465 |

Computer Programs | 473 |

481 | |

### Other editions - View all

Optimal Discrete Control Theory: The Rational Function Structure Model Ky M. Vu No preview available - 2007 |