Introduction to Time Series and Forecasting

✍ Scribed by Peter J. Brockwell, Richard A. Davis

Publisher: Springer
Year: 2016
Tongue: English
Leaves: 428
Series: Springer Texts in Statistics
Edition: 3ed.
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering and the natural and social sciences. It assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This third edition contains detailed instructions for the use of the professional version of the Windows-based computer package ITSM2000, now available as a free download from the Springer Extras website. The logic and tools of time series model-building are developed in detail. Numerous exercises are included and the software can be used to analyze and forecast data sets of the user's own choosing. The book can also be used in conjunction with other time series packages such as those included in R. The programs in ITSM2000 however are menu-driven and can be used with minimal investment of time in the computational details.

The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Many additional special topics are also covered.

New to this edition:

A chapter devoted to Financial Time Series
Introductions to Brownian motion, Lévy processes and Itô calculus
An expanded section on continuous-time ARMA processes

✦ Table of Contents

Front Matter....Pages i-xiv
Introduction....Pages 1-37
Stationary Processes....Pages 39-71
ARMA Models....Pages 73-96
Spectral Analysis....Pages 97-119
Modeling and Forecasting with ARMA Processes....Pages 121-155
Nonstationary and Seasonal Time Series Models....Pages 157-193
Time Series Models for Financial Data....Pages 195-226
Multivariate Time Series....Pages 227-257
State-Space Models....Pages 259-307
Forecasting Techniques....Pages 309-321
Further Topics....Pages 323-351
Back Matter....Pages 353-425

✦ Subjects

Séries chronologiques;Prévision, Théorie de la;Statistique mathématique;Time-series analysis;Prediction theory;Mathematical statistics

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