Introduction to Time Series and Forecasting by Peter J Brockwell

Introduction to Time Series and Forecasting by Peter J Brockwell

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

“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)

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).

SKU	Unavailable
ISBN 13	9783319298528
ISBN 10	3319298526
Title	Introduction to Time Series and Forecasting
Author	Peter J Brockwell
Series	Springer Texts In Statistics
Condition	Unavailable
Binding Type	Hardback
Publisher	Springer International Publishing AG
Year published	2016-08-31
Number of pages	425
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable