Introduction to Time Series and Forecasting

• Main Authors: Brockwell, Peter J. (Author), Davis, Richard A. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Edition: 3rd ed. 2016.
• Series: Springer Texts in Statistics,
• Subjects: Statistics.; Econometrics.; Statistical Theory and Methods.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.

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...

Table of Contents:

• Introduction
• Stationary Processes
• ARMA Models
• Spectral Analysis
• Modeling and Forecasting with ARMA Processes
• Nonstationary and Seasonal Time Series Models
• Time Series Models for Financial Data
• Multivariate Time Series
• State-Space Models
• Forecasting Techniques
• Further Topics
• Appendix A: Random Variables and Probability Distributions
• Appendix B: Statistical Complements
• Appendix C: Mean Square Convergence
• Appendix D: Lévy Processes, Brownian Motion and Itô Calculus
• Appendix E: An ITSM Tutorial
• References
• Index.