Time series analysis and its applications, second edition,

摘要

Time Series Analysis and Its Applications is a textbook aimed at graduate-level students, while part of the book could also serve as an undergraduate introductory course in time series analysis. The book starts out with two chapters that gently introduce time-series analysis: using some basic modelling and simple, intuitive analysis tools, some real-life datasets are briefly characterised, paving the way for many of the more formal methods discussed in the later chapters. Chapter 3 deals with the estimation of traditional time domain (regression) models from data, such as autoregressive (AR) and autoregressive moving average (ARMA) models, as well as the integrated ARMA or ARIMA model. Chapter 4 dives into the frequency domain, and treats regular topics like spectral analysis, Fourier transforms and linear filtering in quite some detail. The remaining chapters deal with more advanced topics such as long memory, Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and state-space models, and frequency domain analysis of multivariate time series.