×

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:
\(\bullet\)
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

Software:

R
PDF BibTeX XML Cite