Time series analysis and its applications

Shumway, Robert H.

Time series analysis and its applications - New York : Springer, ©2000. - xiii, 549 pages : illustrations ; - Springer texts in statistics. .

Includes Index

Ch. 1. Characteristics of Time Series --
Ch. 2. Time Series Regression and ARIMA Models --
Ch. 3. Spectral Analysis and Filtering --
Ch. 4. State-Space and Multivariate ARMAX Models --
Ch. 5. Statistical Methods in the Frequency Domain.

"Time Series Analysis and Its Applications presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using non trivial data illustrate solutions to problems such as evaluating pain perception experiments using magnetic resonance imaging or monitoring a nuclear test ban treaty. The book is designed to be useful as a text for graduate-level students in the physical, biological, and social sciences and as a graduate-level text in statistics. Some parts may also serve as an undergraduate introductory course." "Theory and methodology are separated to allow presentations on different levels. Material from the earlier 1988 Prentice-Hall text Applied Statistical Time Series Analysis has been updated by adding modern developments involving categorical time series analysis and the spectral envelope, multivariate spectral methods, long memory series, nonlinear models, longitudinal data analysis, resampling techniques, ARCH models, stochastic volatility, wavelets, and Monte Carlo Markov chain integration methods. These odd to a classical coverage of time series regression, univariate and multivariate ARIMA models, spectral analysis, and state-space models. The book is complemented by offering accessibility, via the World Wide Web, to the data and an exploratory time series analysis program ASTSA for Windows that can be downloaded as Freeware."--Jacket.

9780387989501 0387989501

Time-series analysis.

519.55 / SHU

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