Books  Data Analysis & Modelling  Data Analysis & Statistics 

Introduction to Time Series and Forecasting

Textbook

Series: Springer Texts in Statistics

By: Peter J Brockwell and Richard A Davis

434 pages, illustrations

Springer-Verlag

Hardback | Dec 2002 | Edition: 2 | #146593 | ISBN: 0387953515
Availability: Usually dispatched within 2-3 weeks Details
NHBS Price: £82.21 $105/€98 approx

About this book

Covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis.

Please not that the print-on-demand reprint no longer comes with a CD with included software. The software can be nowadays be downloaded from the Springer website. Go to http://extras.springer.com/ and search on the ISBN 978-0-387-95351-9 to retrieve the files.

From the reviews:

"The emphasis is on hands-on experience and the friendly software that accompanies the book serves the purpose admirably. ... The authors should be congratulated for making the subject accessible and fun to learn. The book is a pleasure to read and highly recommended. I regard it as the best introductory text in town."
- ISI Short Book Reviews


Contents

Preface

1 INTRODUCTION
2 STATIONARY PROCESSES
3 ARMA MODELS
4 SPECTRAL ANALYSIS
5 MODELLING AND PREDICTION WITH ARMA PROCESSES
6 NONSTATIONARY AND SEASONAL TIME SERIES
7 MULTIVARIATE TIME SERIES
8 STATE-SPACE MODELS
9 FORECASTING TECHNIQUES
10 FURTHER TOPICS

Appendix A Random Variables
Appendix B Statistical Complements
Appendix C Mean Square Convergence
Appendix D An ITSM Tutorial

Bibliography
Index

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