ENGLISH

Time Series: Theory and Methods, Second Edition (Springer Series in Statistics)

By Richard A. Davis , Peter J. Brockwell

Book information

Publisher
Springer
Year
2009
ISBN
1441903194, 9781441903198
Language
english
Format
PDF
Filesize
20 MB (20864729 bytes)
Edition
2nd ed. 1991. 2nd printing
Pages
558\588
Time added
2011-06-04 13:46:07

Description

This paperback edition is a reprint of the 1991 edition. Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for the techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes, and nonlinear models. Most of the programs used in the book are available in the modeling package ITSM2000, the student version of which can be downloaded from http://www.stat.colostate.edu/~pjbrock/student06.

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