Time Series Analysis with Long Memory in View (Wiley Series in Probability and Statistics Book 215) by Uwe Hassler offers a comprehensive introduction to the theory and foundations of univariate time series analysis, with a particular focus on long memory and fractional integration. The book is designed for readers seeking a clear understanding of both the technical aspects and the underlying methods of proof that support the theory.
Key topics covered include:
- Stationary Processes
- Moving Averages and Linear Processes
- Frequency Domain Analysis
- Differencing and Integration
- Fractionally Integrated Processes
- Sample Means
- Parametric Estimators
- Semiparametric Estimators
- Testing
The author presents the general theory of time series, addressing issues not commonly found in other texts such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. The book also delves into the general functional central limit theory and locally optimal tests.