Time Series Analysis

Description

Bridging classical models and modern topics, the _Fifth Edition_ of _Time Series Analysis: Forecasting and Control_ maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the _Fifth Edition_ continues to serve as one of the most influential and prominent works on the subject. _Time Series Analysis: Forecasting and Control_, _Fifth Edition_ provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. Along with these classical uses, the new edition covers modern topics with new features that include: * A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series * An expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models * Numerous examples drawn from finance, economics, engineering, and other related fields * The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting * Updates to literature references throughout and new end-of-chapter exercises * Streamlined chapter introductions and revisions that update and enhance the exposition _Time Series Analysis: Forecasting and Control, Fifth Edition_ is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.

Subjects

Other Editions

• Time Series Analysis: Forecasting and Control (Wiley Series in Probability and Statistics)HardcoverWiley-Interscience2008-06-09
• Time series analysisHolden-Day1970-01-01
• Time series analysisPrentice-Hall1976-01-01
• Time series analysisHolden-Day1976-01-01
• Time series analysisPrentice Hall1994-01-01
• Time Series AnalysisPaperbackPearson Education Asia Limited2005-01-01