Introduction to Time Series and Forecasting - Couverture rigide

Livre 77 sur 103: Springer Texts in Statistics

Brockwell, Peter J.; Davis, Richard A.

 
9783319298528: Introduction to Time Series and Forecasting
Couverture rigide
ISBN 10 : 3319298526 ISBN 13 : 9783319298528
Editeur : Springer International Publishing AG, 2016

Synopsis

This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering and the natural and social sciences. It assumes knowledge 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, now 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, Lévy processes and Itô calculus
  • An expanded section on continuous-time ARMA processes

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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).

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer International Publishing AG
Date d'édition
2016
Langue
anglais
ISBN 10 
3319298526
ISBN 13 
9783319298528
Reliure
Relié
Numéro d'édition
3
Nombre de pages
425
Coordonnées du fabricant
non disponible
Personne responsable
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