This is the seventh edition of a classic introductory textbook on time series analysis. In this edition, a new co-author has been added to modernize the book. It has been revised to include three new chapters - on Volatility Models, Nonlinear Models, and High-Frequency Time Series Models - plus R code throughout the book, and many new examples and exercises. The book is set apart from the competition due to its accessibility and a perfect balance of theory and examples, so the book should maintain its position as one of the leading introductory textbooks on the topic. Provides an accessible introduction to time series analysis. Written in a lucid style, with a good balance of theory and examples. New edition includes three new chapters on Volatility Models, Nonlinear Models, and High-Frequency Time Series Models. Now includes R code throughout, with data and code on a supplementary website. Includes many new examples and exercises.
Introduction Basic Descriptive Techniques Some Linear Time Series Models Fitting Time Series Models in the Time Domain Forecasting Stationary Processes in the Frequency Domain Spectral Analysis Bivariate Processes Linear Systems State-Space Models and the Kalman Filter Non-Linear Models Volatility Models Multivariate Time Series Modelling Some More Advanced Topics Appendix A Fourier, Laplace, and z-Transforms Appendix B Dirac Delta Function Appendix C Covariance and Correlation Answers to Exercises
Haipeng Xing is Associate Professor in the Department of Applied Mathematics and Statistics,State University of New York at Stony Brook. Chris Chatfield is retired from the University of Bath.
Collana: Chapman & Hall/CRC Texts in Statistical Science
Dimensioni: 9.25 x 6.125 in
Illustration Notes:85 b/w images and 85 line drawings
Utilizziamo i cookie di profilazione, anche di terze parti, per migliorare la navigazione, per fornire servizi e proporti pubblicità in linea con le tue preferenze. Se vuoi saperne di più o negare il consenso a tutti o ad alcuni cookie clicca qui. Chiudendo questo banner o proseguendo nella navigazione acconsenti all’uso dei cookie.