Peter J. Brockwell, Richard A. Davis

Introduction to Time Series and Forecasting (eBook, PDF)

• Format: PDF

Produktbeschreibung

This is an introduction to time series that emphasizes methods and analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills. Statisticians and students will learn the latest methods in time series and forecasting, along with modern computational models and algorithms.

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Produktdetails

• Verlag: Springer New York
• Seitenzahl: 437
• Erscheinungstermin: 10. April 2006
• Englisch
• ISBN-13: 9780387216577
• Artikelnr.: 44007447

Autorenporträt

Peter J. Brockwell and Richard A. Davis are Fellows of the American Statistical Association and the Institute of Mathematical Statistics and elected members of the International Statistics institute. Richard A. Davis is the current President of the Institute of Mathematical Statistics and, with W.T.M. Dunsmuir, winner of the Koopmans Prize. Professors Brockwell and Davis are coauthors of the widely used advanced text, Time Series: Theory and Methods, Second Edition (Springer-Verlag, 1991).

Inhaltsangabe

Introduction.- Stationary Processes.- ARMA Models.- Spectral Analysis.- Modeling and Forecasting with ARMA Processes.- Nonstationary and Seasonal Time Series Models.- Time Series Models for Financial Data.- Multivariate Time Series.- State-Space Models.- Forecasting Techniques.- Further Topics.- Appendix A: Random Variables and Probability Distributions.- Appendix B: Statistical Complements.- Appendix C: Mean Square Convergence.- Appendix D: Lévy Processes, Brownian Motion and Itô Calculus.- Appendix E: An ITSM Tutorial.- References.- Index.

Rezensionen

"This is a very well-written textbook aimed at a wide audience of readers interested in time series methodologies and their applications to various fields." (Wilfredo Palma, Mathematical Reviews September, 2017)