XWe have detected your location as outside the U.S/Canada, if you think this is wrong, you can choose your location.

Macmillan Higher Education Celebrating 20 years of Macmillan Study Skills

Cart

Continue Shopping
All prices are shown excluding VAT
The submitted promocode is invalid
* Applied promocode: ×

Important information on your ebook order

Introduction to Time Series and Forecasting (3rd Edition)

Author(s):
Publisher:

Springer

Pages: 425
Further Actions:

Recommend to library

AVAILABLE FORMATS

Hardcover - 9783319298528

20 August 2016

€69.99

In stock

Ebook - 9783319298542

19 August 2016

€59.49

In stock

All prices are shown excluding VAT

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...

Show More

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

Show Less

Designed for use in full-year courses introducing univariate and multivariate time series and forecasting at the advanced undergraduate and graduate levels


Exercise problems at the end of each chapter reinforce the methods through use of the programs to study provided data sets

Appendix teaches ITSM2000 Professional package (available as a free download); all material is easily applied to R packages and other programs

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.
“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)
Add a review

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).

Show More

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).

Show Less

New Publications 

Best Sellers