Time Series Analysis

Providing an accessible yet comprehensive introduction to this important subject, "Time Series Analysis" emphasizes basic methods for modeling linear dynamic systems. The text presents a solid theoretical understanding of basic concepts, such as multivariate random variables, stochastic processes, a [...]
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Providing an accessible yet comprehensive introduction to this important subject, "Time Series Analysis" emphasizes basic methods for modeling linear dynamic systems. The text presents a solid theoretical understanding of basic concepts, such as multivariate random variables, stochastic processes, and regression-based methods, while also providing a number of practical, real-world examples. It covers advanced topics that include spectral analysis, state space models, and recursive estimation. With a variety of both written and computer-based exercises, the text gives computational guidance to readers and includes an appendix on software options.