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Time Series: Theory and Methods

  • Peter J. Brockwell
  • Richard A. Davis

Part of the Springer Series in Statistics book series (SSS)

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Peter J. Brockwell, Richard A. Davis
    Pages 1-41
  3. Peter J. Brockwell, Richard A. Davis
    Pages 42-76
  4. Peter J. Brockwell, Richard A. Davis
    Pages 77-113
  5. Peter J. Brockwell, Richard A. Davis
    Pages 114-165
  6. Peter J. Brockwell, Richard A. Davis
    Pages 166-197
  7. Peter J. Brockwell, Richard A. Davis
    Pages 198-217
  8. Peter J. Brockwell, Richard A. Davis
    Pages 218-237
  9. Peter J. Brockwell, Richard A. Davis
    Pages 238-272
  10. Peter J. Brockwell, Richard A. Davis
    Pages 273-329
  11. Peter J. Brockwell, Richard A. Davis
    Pages 330-400
  12. Peter J. Brockwell, Richard A. Davis
    Pages 401-462
  13. Peter J. Brockwell, Richard A. Davis
    Pages 463-505
  14. Peter J. Brockwell, Richard A. Davis
    Pages 506-553
  15. Back Matter
    Pages 555-579

About this book

Introduction

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.

Keywords

Variance mathematics modeling statistics time series

Authors and affiliations

  • Peter J. Brockwell
    • 1
  • Richard A. Davis
    • 1
  1. 1.Department of StatisticsColorado State UniversityFort CollinsUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4419-0320-4
  • Copyright Information Springer-Verlag New York 1991
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4419-0319-8
  • Online ISBN 978-1-4419-0320-4
  • Series Print ISSN 0172-7397
  • Buy this book on publisher's site