Introduction to Time Series and Forecasting (Springer Texts in Statistics) 3rd Edition by Peter J. Brockwell (PDF)

Description

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 SeriesIntroductions to Brownian motion, Lévy processes and Itô calculusAn expanded section on continuous-time ARMA processes

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐A 2016 version brand new and fancy statistics book dose not necessarily better than a 1997 one. With “introduction” in the title, the book is hard to understand even for someone with general knowledge of statistics. Formulas are never too difficult, but author makes it really hard to follow with minimum guide. Examples are quite limited. I give two star for the paper quality.With piles of statistics books stacked on shelf, I purchased this one to get some further understanding in forecasting techniques, and found myself totally lost. It might be a useful as text book if you can fully rely on your teacher. But definitely not a good choice for self study.By the way, for those who want to get some “introduction” to the forecasting and time series models, try Forecasting Methods and Applications by Makridakis. Although 20 years old it is still much better as a newbie guide.

⭐Excellent introductory technical text for individual with adequate background in mathematical statistics. Econometrics would also help somewhat. This is a rigorous mathematical treatment of the subject at the graduate level. The ITSM2000 software is a very valuable bonus for applying the theory. You probably have to have a serious need to get into this book.

⭐Context of time series is really not hard, but this book makes it really difficult to follow. The content is poorly organized as if the authors just wrote whatever comes to their mind.

⭐Fantastic book to read and very informative , great as a course work book or Reference at undergrad or Graduate level ( M.Sc or Ph.D )

⭐Awesome book

⭐For context here, I was a mathematics and statistics double major in college when I used this book in my senior year. Despite my preparation by this point, the general presentation of the ideas in the book left me scratching my head. The notation and explanations of ideas are messy, and you should be prepared to spend far more time than you would expect trying to understand an introductory text.Furthermore, the problems are generally very, very difficult to parse and work out. There aren’t easier problems before ramping up to harder ones like I’ve seen in other statistics textbooks. Not having easier problems poses a big issue with such an unwieldy book is a big issue as you cannot easily use them to assist in deciphering the text.The one thing that I did appreciate from the book was the R Code excerpts, which are generally able to be understood without too much trouble. As such, the book will probably have a place to live on my shelf, but it will not be what I would reference in the future when I need to remember stuff about Time Series.

⭐I’m a MS student in Statistics and this book does a terrible job at teaching time series concepts

⭐This is very good book but sad part is this can be read only on kindly app. You can not read it on https://read.amazon.in/.Publish should reconsider this, this is not a fiction book which can be read at leisure on mobile. This needs to be read and understood like text book.

⭐I wasn’t actually able to use this textbook because, while the cover is the text I was looking for, the inside contained the textbook ‘Introduction to Systems Analysis: Mathematically Modelling Natural Systems’ by Imboden and Pfenninger. Definitely sending it back and purchasing somewhere else…

⭐It doesn’t worth this price

⭐たいへんよい

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⭐Diese Buch ist der Hammer! Überrascht hat mich vor allem, dass es sich dabei um eine Neuauflage handelt. Ich kann es ohne Einschränkung empfehlen.

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