Introduction to time series and forecasting

By:

Brockwell, Peter J.; Davis, Richard A

Material type: Text

TextPublication details: USA Springer 2016Edition: 3rd EdDescription: xiv, 425p. 28cm ; HardISBN:

978-3319298528

Subject(s):

Time-series analysis Mathematical statistics Distribution (Probability theory) Mathematical statistics

DDC classification:

519.55 BRO

Online resources:

Click here to access online

Contents:

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 --

Summary: 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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	519.55 BRO (Browse shelf(Opens below))	Available		B2405

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Previous	519.544 DAV Bootstrap methods and their application	519.55 AGU Time series data analysis using EViews	519.55 BOW Forecasting, time series, and regression: an applied approach	519.55 BRO Introduction to time series and forecasting	519.55 FRA Non-linear time series models in empirical finance	519.55 HAM Time series analysis /	519.55 HAR Applied time series modelling and forecasting	Next

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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 --

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.

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