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Chatfield, Chris

The analysis of time series : an introduction - 5th ed. - London : Chapman and Hall, 1996. - xii, 283 pages ; - Texts in statistical science. .

Includes Index

1. Introduction --
2. Simple descriptive techniques --
3. Probability models for time series --
4. Estimation in the time domain --
5. Forecasting --
6. Stationary processes in the frequency domain --
7. Spectral analysis --
8. Bivariate processes --
9. Linear systems --
10. State-space models and the Kalman filter --
11. Non-linear models --
12. Multivariate time-series modelling --
13. Some other topics --
Appendix A The Fourier, Laplace and Z transforms --
Appendix B The Dirac delta function --
Appendix C Covariance --
Appendix D Some worked examples.

This non-technical text introduces a broad cross-section of topics in time series analysis. This edition includes three new chapters, providing material on non-linear models, multivariate models, and other topics such as model uncertainty, wavelets and fractional differencing.

ISBN: 9780412716409 0412716402

Subjects--Topical Terms:
Time-series analysis.

Dewey Class. No.: 519.55 / CHA