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About this product
- DescriptionSome of the key mathematical results are stated without proof in order to make the underlying theory accessible to a wider audience. The book assumes a kwledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and nstationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. 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 nlinear, 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 t 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.
- Author(s)Peter J. Brockwell,Richard A. Davis
- PublisherSpringer-Verlag New York Inc.
- Date of Publication03/04/2003
- FormatMixed media product
- SubjectSoftware Packages
- Series TitleSpringer Texts in Statistics
- Place of PublicationNew York, NY
- Country of PublicationUnited States
- ImprintSpringer-Verlag New York Inc.
- Out-of-print date25/08/2016
- Content Notebiography
- Weight1146 g
- Width195 mm
- Height260 mm
- Spine36 mm
- Contained items statementContains Hardback and CD-ROM
- Edition Statement2nd ed. 2002. Corr. 9th printing 2010
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