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**Time series analysis. Forecasting and control.
5th ed.**
*(English)*
Zbl 1317.62001

Wiley Series in Probability and Statistics. Hoboken, NJ: John Wiley & Sons (ISBN 978-1-118-67502-1/hbk). 712 p. (2016).

From the publisher’s description: The new edition covers modern topics with new features that include:

See the review of the 3rd edition in [Zbl 0858.62072]. For the 4th edition see [Zbl 1154.62062].

- \(\bullet\)
- a redesigned chapter on multivariate time series analysis with an expanded treatment of vector autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series
- \(\bullet\)
- an expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models
- \(\bullet\)
- numerous examples drawn from finance, economics, engineering, and other related fields
- \(\bullet\)
- the use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting
- \(\bullet\)
- updates to literature references throughout and new end-of-chapter exercises
- \(\bullet\)
- streamlined chapter introductions and revisions that update and enhance the exposition

See the review of the 3rd edition in [Zbl 0858.62072]. For the 4th edition see [Zbl 1154.62062].

### MSC:

62-01 | Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics |

62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |

62M20 | Inference from stochastic processes and prediction |