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Introduction to Time Series and Forecasting: 2016 by Peter J. Brockwell, Richard A. Davis (Mixed media product, 2016)

This book is aimed at the reader who wishes to gain a working kwledge of time series and forecasting methods as applied to ecomics, engineering and the natural and social sciences. It assumes kwledge 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, w 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, Levy processes and Ito calculus * An expanded section on continuous-time ARMA processes

Place of Publication
Cham
Spine
28mm
Series Title
Springer Texts in Statistics
Content Note
114 black & white illustrations, 4 colour illustrations, 10 black & white tables, 75 colour tables, biography
Author Biography
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).
Date of Publication
20/08/2016
Edition Statement
3rd Revised Edition
Genre
Science & Mathematics: Textbooks & Study Guides
Country of Publication
Switzerland

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