The analysis of time series : an introduction

By:

Chatfield, Chris

Material type: Text

TextSeries: Texts in statistical sciencePublication details: London : Chapman and Hall, 1996.Edition: 5th edDescription: xii, 283 pagesISBN:

9780412716409
0412716402

Subject(s):

Time-series analysis

DDC classification:

519.55 CHA

Contents:

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.

Summary: 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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
Reference Books	Main Library Reference	Reference	519.55 CHA (Browse shelf(Opens below))	Available		006535

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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.

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