Springer Texts in Statistics

Introduction to Time Series and Forecasting

Authors: Brockwell, Peter J., Davis, Richard A.

  • 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
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eBook $59.99
price for USA (gross)
  • ISBN 978-3-319-29854-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA
  • ISBN 978-3-319-29852-8
  • with online files
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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

About the authors

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).

Table of contents (11 chapters)

  • Introduction

    Brockwell, Peter J. (et al.)

    Pages 1-37

  • Stationary Processes

    Brockwell, Peter J. (et al.)

    Pages 39-71

  • ARMA Models

    Brockwell, Peter J. (et al.)

    Pages 73-96

  • Spectral Analysis

    Brockwell, Peter J. (et al.)

    Pages 97-119

  • Modeling and Forecasting with ARMA Processes

    Brockwell, Peter J. (et al.)

    Pages 121-155

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-3-319-29854-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA
  • ISBN 978-3-319-29852-8
  • with online files
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Introduction to Time Series and Forecasting
Authors
Series Title
Springer Texts in Statistics
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-29854-2
DOI
10.1007/978-3-319-29854-2
Hardcover ISBN
978-3-319-29852-8
Series ISSN
1431-875X
Edition Number
3
Number of Pages
XIV, 425
Number of Illustrations and Tables
114 b/w illustrations, 4 illustrations in colour
Topics