Introduction to Time Series and Forecasting [With CDROM] by Brockwell, Peter J. / Davis, Richard A. Brockwell, Peter J. / Davis, Richard A.

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Textbook (Other Format - REV)

  • 434pp
  • Sales Rank: 199,102

Textbook Information

  • ISBN-13: 9780387953519
  • Edition Description: REV
  • Edition Number: 2
  • Pub. Date: March 2003
  • Publisher: Springer Us
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Product Details

  • Pub. Date: March 2003
  • Publisher: Springer Us
  • Format: Textbook Other Format, 434pp
  • Sales Rank: 199,102

Synopsis

This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied in economics, engineering, and the natural and social sciences. The book assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This second edition contains detailed instructions on the use of the new totally windows-based computer package ITSM2000, the student version of which is included with the text. Expanded treatments are also given of several topics treated only briefly in the first edition. These include regression with time series errors, which plays an important role in forecasting and inference, and ARCH and GARCH models, which are widely used for the modeling of financial time series. These models can be fitted using the new version of ITSM.
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 the Burg and Hannan-Rissanen algorithms, unit roots, the EM algorithm, structural models, 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 introductions are also given to cointegration and to non-linear, continuous-time and long-memory models.

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Introduction to Time Series and Forecasting with CDROMby Anonymous

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November 04, 2006: In the process of building a website targeted to those good folks that are striving valiantly to make a living through Internet marketing, you might think that an early objective would be to assemble a library of good reference material. After all, if you are planning on providing sensible information to your readers, then you should have a few good text books on hand to refer to when you need to be sure that some little tidbit of information might actually work. Well, at least I did. So, I have been scouring the Internet for textbook on the subject of Forecasting, which we share a common interest in. I have purchased a few and, for the most part, they are really quite informative and will be useful when the time comes. There is, however, an exception to this. One book I purchased bears the title 'Introduction to Time Series and Forecasting, Brockwell, Peter J and Richard A Davis'. Being an intelligent sort of chap, I naturally took the word 'Introduction' to mean just that. You know, you've been introduced to people before and becoming introduced usually means that 1. You look at the face. 2. You grasp their hand and shake firmly and 3. You exchange pleasantries, such as 'Hello, it's nice to meet you'. Now, I never blame the person making the introduction if the relationship doesn't work out. After all, it's not their fault that two people hopefully sharing a common interest (after all, why bother making an introduction?) aren't all that compatible. There are likely to be many reasons for the incompatibility, the first of which could be that people travel in different circles and your circle isn't ever going to be part of their circle. Sort of an exclusionary relationship, you might say. And, not to be overly judgmental of others, of course, there may be plenty of good reasons for that. If everyone existed in one social circle, after all, the world would be beyond boring. Anyways, the text book is a wonderful creation, that is, if you're a post-graduate or doctoral candidate. Upon opening the cover, expecting to be warmly introduced, I was rather amazed at the depth of equations and formulas gracing practically every page. I felt intimidated immediately. Remember the movie 'The Ring'? This had to be rocket science, or more correctly, forecasting science at its most extreme! Wow! I should have really paid more attention during my statistics classes. So, I quickly closed the cover and tried to get a refund from the seller. Note the word Tried here. They didn't want it back either. The good Post-Grand and PhD. candidates of the science of forecasting probably don't need an 'Introduction' to Time Series and Forecasting. Next time I buy a book, I think I'll look for something with 'Sandbox' in the title. May all your Forecasts be Good Forecasts.