The Analysis of Time Series

This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis.

Autorentext

Chris Chatfield is a retired Reader in Statistics at the University of Bath, UK, the author of five books and numerous research papers, and an elected Honorary Fellow of the International Institute of Forecasters.

Haipeng Xing is an associate professor in Applied Mathematics and Statistics at the State University of New York, Stony Brook, USA, the author of two books and numerous research papers. His research interests include quantitative finance and risk management, econometrics, applied stochastic control, and sequential statistical methodology.

Inhalt

Introduction

Basic Descriptive Techniques

Some Linear Time Series Models

Fitting Time Series Models in the Time Domain

Forecasting

Stationary Processes in the Frequency Domain

Spectral Analysis

Bivariate Processes

Linear Systems

State-Space Models and the Kalman Filter

Non-Linear Models

Volatility Models

Multivariate Time Series Modelling

Some More Advanced Topics

Appendix A Fourier, Laplace, and z-Transforms

Appendix B Dirac Delta Function

Appendix C Covariance and Correlation

Answers to Exercises