© 1996

Introduction to Time Series and Forecasting


Part of the Springer Texts in Statistics book series (STS)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Peter J. Brockwell, Richard A. Davis
    Pages 1-42
  3. Peter J. Brockwell, Richard A. Davis
    Pages 43-80
  4. Peter J. Brockwell, Richard A. Davis
    Pages 81-108
  5. Peter J. Brockwell, Richard A. Davis
    Pages 109-134
  6. Peter J. Brockwell, Richard A. Davis
    Pages 135-175
  7. Peter J. Brockwell, Richard A. Davis
    Pages 177-215
  8. Peter J. Brockwell, Richard A. Davis
    Pages 217-250
  9. Peter J. Brockwell, Richard A. Davis
    Pages 251-308
  10. Peter J. Brockwell, Richard A. Davis
    Pages 309-322
  11. Peter J. Brockwell, Richard A. Davis
    Pages 323-353
  12. Back Matter
    Pages 355-422

About this book


Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. 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. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introducitons are also given to cointegration and to non-linear, continuous-time and long-memory models. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.


Estimator ITSM Likelihood Random variable Trend correlation expectation–maximization algorithm innovation normal distribution probability probability distribution statistics time series time series analysis unit roots

Authors and affiliations

  1. 1.Royal Melbourne Institute of TechnologyMelbourneAustralia
  2. 2.Department of StatisticsColorado State UniversityFort CollinsUSA

Bibliographic information

  • Book Title Introduction to Time Series and Forecasting
  • Authors Peter J. Brockwell
    Richard A. Davis
  • Series Title Springer Texts in Statistics
  • DOI
  • Copyright Information Springer-Verlag New York 1996
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-0-387-94719-8
  • Softcover ISBN 978-1-4757-2528-5
  • eBook ISBN 978-1-4757-2526-1
  • Series ISSN 1431-875X
  • Edition Number 1
  • Number of Pages XIII, 422
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Statistical Theory and Methods
    Probability Theory and Stochastic Processes
  • Buy this book on publisher's site


From the reviews of the second edition:

"I like this book very much: as one who teaches an undergraduate course of time series, it covers everything that I require and more. I would have no hesitation in recommending it to my students." The Statistician

"This is the second edition of a popular time series course text … . The accompanying computer package is the book’s most appealing feature. It allows one to integrate theoretical discourse and methodologic practice with considerable ease. … In my opinion, this book is the best textbook choice for a course at the advanced undergraduate and master’s level in modern time-series analysis in time and frequency domains. Those who are teaching from other texts are unnecessarily complicating their lives." (Robert Lund, Journal of the American Statistical Association, Vol. 98 (463), 2003)

"This is … update to an introductory time series book that first appeared in 1996. … The book is not expensive. … If you need a good basic time series reference, this book would certainly be a good choice." (Technometrics, Vol. 45 (1), 2003)

"The book gives an introduction into time series analysis. … The book is highly recommendable. It provides an excellent introduction into time series analysis. … it can be used as a textbook for students of various disciplines. Moreover, it is suitable as a reference book for practitioners. The great number of examples coming from economics, engineering, natural and social sciences contribute to a better understanding of the methods. For handling the software, very little familiarity with computing is required." (Wolfgang Schmid, Zentralblatt MATH, Vol. 994, 2002)