Time Series: Theory and Methods (Springer Series in Statistics) by Peter J. Brockwell (PDF)

Description

This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Time Series Modelling Package for the PC, which includes a manual and can be ordered from Springer-Verlag. * We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition. Fort Collins, Colorado P. J. BROCKWELL November, 1990 R. A. DAVIS * /TSM: An Interactive Time Series Modelling Package for the PC by P. J. Brockwell and R. A. Davis. ISBN: 0-387-97482-2; 1991.

User’s Reviews

Editorial Reviews: 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.

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

⭐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.

⭐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.

⭐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.

⭐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.

⭐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.

⭐Invio entro i tempi richiesti. Il testo risponde alle aspettative. Il libro è un testo universitario richiesto per mio figlio.

⭐

⭐Sehr gut

⭐

⭐Clear presentation.This book is well known to statistician who want to deal with time series analysis.Theoretical approach and chapters devoted tothe estimation of data.Interesting exercices.

Keywords

Free Download Time Series: Theory and Methods (Springer Series in Statistics) in PDF format
Time Series: Theory and Methods (Springer Series in Statistics) PDF Free Download
Download Time Series: Theory and Methods (Springer Series in Statistics) 2009 PDF Free
Time Series: Theory and Methods (Springer Series in Statistics) 2009 PDF Free Download
Download Time Series: Theory and Methods (Springer Series in Statistics) PDF
Free Download Ebook Time Series: Theory and Methods (Springer Series in Statistics)