<p>This book is aimed at those who wish to gain a working knowledge of time series and forecasting methods as applied in economics, engineering,and the natural and social sciences. Some of the key mathematical results are stated without proof in order to make the underlying theory accessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. 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 harmonic regression, the Burg and Hannan-Rissanen al! gorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, 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. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (Version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.</p>

Introduction to Time Series and Forecasting (Springer Texts in Statistics)

Science & Math

Peter J. Brockwell

Mathematics

Springer

<p>This disk is designed to accompany the book "Time Series: Theory and Methods" by P.J. Brockwell and R.A. Davis. It contains programs written for the IBM PC (and compatible computers), which can be used to apply the methods described in the text to the data sets supplied in the book's appen- dix, to stimulated data sets, or to data provided by the reader.</p>

Time Series: Theory and Methods (Springer Series in Statistics)

This handbook has been designed for the analysis of linear time series and the practical modelling and prediction of data collected sequentially in time. It provides the reader with a practical understanding of the six programs contained in the ITSM software (PEST, SPEC, SMOOTH, TRANS, ARVEC and ARAR). IBM compatible software is included in the back of the book on three diskettes. This package is intended as a supplement to the text by the same authors, "Time Series: Theory and Methods".

Itsm

Computers & Technology

Software

Springer, Verlag

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Books by Peter J. Brockwell