Introduction to Time Series and Forecasting (Springer Texts in Statistics)

Amazon.com Price: $67.17 (as of 11/10/2019 07:50 PST- Details)

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Description

This book is aimed on 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 accommodates detailed instructions for using the professional version of the Windows-based computer package ITSM2000, now to be had as a free download from the Springer Extras website online. The logic and tools of time series model-building are developed in detail. A large number of exercises are included and the software can be utilized to analyze and forecast data sets of the user’s own choosing. The book can be used along side other time series packages such as those included in R. The programs in ITSM2000 then again are menu-driven and can be utilized 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

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Introduction to Time Series and Forecasting (Springer Texts in Statistics)

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