Introduction to time series and forecasting
Brockwell,Peter J.
creator
Davis, Richard A.
text
New York
Springer
©1996
monographic
xiii, 420 pages : illustrations ; CD Rom
Assuming only a knowledge of basic calculus and elementary linear algebra, this text is aimed at those wishing to gain a working knowledge of time series and forecasting methods as applied in economics, engineering and the natural and social sciences. The emphasis is on methods and the analysis of data sets. Accompanying the book is a copy of the program "ITSM", which runs on DOS, Windows or Windows 95 platforms.
1. Introduction --
2. Stationary processes --
3. ARMA models --
4. Spectral analysis --
5. Modelling and forecasting with ARMA processes --
6. Nonstationary and seasonal time series models --
7. Multivariate time series --
8. State-space models --
9. Forecasting techniques --
10. Further topics --
A. Random variables and probability distributions --
B. Statistical complements --
C. Mean square convergence --
D. An ITSM tutorial.
Includes Index
Time-series analysis
519.55 BRO
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