Overview
- Includes supplementary material: sn.pub/extras
- Request lecturer material: sn.pub/lecturer-material
Part of the book series: Springer Texts in Statistics (STS)
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Table of contents (11 chapters)
Keywords
About this book
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. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introductions are also given to cointegration and to nonlinear, continuous-time and long-memory models.
The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.
Reviews
"The emphasis is on hands-on experience and the friendly software that accompanies the book serves the purpose admirably. ...
The authors should be congratulated for making the subject accessible and fun to learn. The book is a pleasure to read and highly recommended. I regard it as the best introductory text in town." ISI Short Book Reviews
Editors and Affiliations
About the editors
Bibliographic Information
Book Title: Introduction to Time Series and Forecasting
Editors: Peter J. Brockwell, Richard A. Davis
Series Title: Springer Texts in Statistics
DOI: https://doi.org/10.1007/b97391
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 2002
Softcover ISBN: 978-1-4757-7750-5Published: 23 April 2013
eBook ISBN: 978-0-387-21657-7Published: 10 April 2006
Series ISSN: 1431-875X
Series E-ISSN: 2197-4136
Edition Number: 2
Number of Pages: XIV, 437
Topics: Mathematical Software, Probability Theory and Stochastic Processes, Statistical Theory and Methods, Statistics for Business, Management, Economics, Finance, Insurance, Econometrics, Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences