Theory and Methods by Peter J. Brockwell

From the Publisher

Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modelling 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 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 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 non-linear models. Most of the programs used in the book are available on diskettes for the IBM-PC. These diskettes, with the accompanying manual, ITSM: The Interactive Time Series Modelling Package for the PC, also by Brockwell and Davis, can be purchased from Springer-Verlag.

Booknews

A text for graduate students in statistics, mathematics, engineering, and natural and social sciences. Covers such subjects as multivariate series, long-range dependence, infinite variance processes, and nonlinear models. The second edition, like the expanded companion diskettes, contains many additions and corrections throughout, as well as a new chapter on state-space models. Annotation c. Book News, Inc., Portland, OR (booknews.com)

Product Details

• ISBN: 0387974296
  
• ISBN-13: 9780387974293
• Format: Textbook Hardcover, 600pp
• Publisher: Springer-Verlag New York, LLC
• Pub. Date: June 2006
• Edition Description: REV
• Edition Number: 2
• Sales Rank: 181,700
• Series: Series in Statistics