Authors:
- 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
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Texts in Statistics (STS)
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Table of contents (11 chapters)
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Front Matter
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Back Matter
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. 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
Reviews
Authors and Affiliations
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Department of Statistics, Colorado State University, Fort Collins, USA
Peter J. Brockwell
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Department of Statistics, Columbia University, New York, USA
Richard A. Davis
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).
Bibliographic Information
Book Title: Introduction to Time Series and Forecasting
Authors: Peter J. Brockwell, Richard A. Davis
Series Title: Springer Texts in Statistics
DOI: https://doi.org/10.1007/978-3-319-29854-2
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Nature Switzerland AG 2016
Hardcover ISBN: 978-3-319-29852-8Published: 31 August 2016
eBook ISBN: 978-3-319-29854-2Published: 19 August 2016
Series ISSN: 1431-875X
Series E-ISSN: 2197-4136
Edition Number: 3
Number of Pages: XIV, 425
Number of Illustrations: 114 b/w illustrations, 4 illustrations in colour
Topics: Statistical Theory and Methods, Statistics for Business, Management, Economics, Finance, Insurance, Econometrics, Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences