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Time Series: Theory and Methods (Springer Series in Statistics)
Ebook Free Time Series: Theory and Methods (Springer Series in Statistics)
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From the Back Cover
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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Product details
Series: Springer Series in Statistics
Paperback: 580 pages
Publisher: Springer; 2nd ed. 1991. 2nd printing 2009. Softcover reprint of the original 2nd ed. 1991 edition (April 28, 2009)
Language: English
ISBN-10: 1441903194
ISBN-13: 978-1441903198
Product Dimensions:
6.1 x 1.4 x 9.2 inches
Shipping Weight: 2.3 pounds (View shipping rates and policies)
Average Customer Review:
3.7 out of 5 stars
8 customer reviews
Amazon Best Sellers Rank:
#916,611 in Books (See Top 100 in Books)
If you dont have a very good background in mathematic, you should not buy this book! It's a complete version of the classic time series studies.
status of this book is very good. there is a good book senetence is very well descriptive.
I reviewed this book once before under the pen name statman13. So look at that review to get most of my thoughts about it. I taught times series analysis as a graduate course at UC Santa Barbara many years ago. That was long before this book came out. I used Wayne Fuller's book as a text because it had balanced coverage of time domain and frequency domain approaches. If I were to do it over today I would use Brockwell and Davis' book as it has the right level of theory and also a proper mix of frequency and time domain. I know Richard Davis to be an excellent probabilist and very knowledgeable about stochastic process. I collaborated with him on a paper in extreme value theory. I also had the privilege of refereeing one of his early papers on extreme values that was part of his disseration and was eventually published in the Annals of Probability.
Of course, this an advanced textbook on Time Series. The reader is supposed to have been introduced to the subject, and certainly is looking for a more theoretical treatment.If you want to learn time series for the first time, this is not the book.If you want a friendly book, do not see springer's publications.However, if you want a fair rigourous book, you have found it.I think the exercises are illustrative, but sometimes long.
I would recommend this after a lower-level introductory text. Also, the reader should be familiar with Hilbert spaces before reading. Perhaps too much mathematical detail for the practitioner.
Excellent reading. This book covers mainly the frequentist approach to time series analysis in a very informative way. The book starts off by introducing Hilbert spaces, then moves to stationary ARMA processes and so on. My favourite is chapter 10, Inference for the Spectrum of a Stationary Process, in which different tests are considered for periodicities at known and unknown frequencies.
I am a graduate student at Columbia. Richard Davis was my time series professor.This book is really rigorous and well organised. Theory is present, but we cannot see enough methods and applications. Yet the title suggest that there are some methods. It is a useful book for academics, but if you want to go in the financial industry (quant, strategist or trading) do not buy this book because not much of the content is applicable.The software ISTM 2000 is really impressive: powerful and quick. I recommend this software and think it could be used on trading floors, or in a hedge fund, for speculative purposes, or arbitrage.
Prepare to waste a lot of time deciphering the meanings of the formulas. Few if any intuitive explanations of important concepts, you have be a pure mathematician to translate the formulas into intuitive concepts. This text is almost 30 years old - no one should use it to teach class any more. The world has moved on to better books for Time Series analysis.
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