Time Series: Theory and Methods
Time Series: Theory and Methods

Author: Peter J. Brockwell

Publisher: Springer Science & Business Media

Published: 2009-05-13

Total Pages: 591

ISBN-13: 1441903208

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This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Time Series Modelling Package for the PC, which includes a manual and can be ordered from Springer-Verlag. * We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition. Fort Collins, Colorado P. J. BROCKWELL November, 1990 R. A. DAVIS * /TSM: An Interactive Time Series Modelling Package for the PC by P. J. Brockwell and R. A. Davis. ISBN: 0-387-97482-2; 1991.

Time Series: Theory and Methods
Time Series: Theory and Methods

Author: Peter J. Brockwell

Publisher: Springer Science & Business Media

Published: 1991

Total Pages: 604

ISBN-13: 9780387974293

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Here is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. It details techniques for handling data and offers a thorough understanding of their mathematical basis.

Time Series: Theory and Methods
Time Series: Theory and Methods

Author: Peter J. Brockwell

Publisher: Springer Science & Business Media

Published: 1991

Total Pages: 589

ISBN-13: 1441903194

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This paperback edition is a reprint of the 1991 edition. Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for the techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes, and nonlinear models. Most of the programs used in the book are available in the modeling package ITSM2000, the student version of which can be downloaded from http://www.stat.colostate.edu/~pjbrock/student06.

Nonlinear Time Series
Nonlinear Time Series

Author: Randal Douc

Publisher: CRC Press

Published: 2014-01-06

Total Pages: 548

ISBN-13: 1466502347

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This text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete time series models as well as several complementary approaches. They discuss the main limit theorems for Markov chains, useful inequalities, statistical techniques to infer model parameters, and GLMs. Moving on to HMM models, the book examines filtering and smoothing, parametric and nonparametric inference, advanced particle filtering, and numerical methods for inference.

Introduction to Time Series and Forecasting
Introduction to Time Series and Forecasting

Author: Peter J. Brockwell

Publisher: Springer Science & Business Media

Published: 2013-03-14

Total Pages: 429

ISBN-13: 1475725264

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Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introducitons are also given to cointegration and to non-linear, continuous-time and long-memory models. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.

State-Space Methods for Time Series Analysis
State-Space Methods for Time Series Analysis

Author: Jose Casals

Publisher: CRC Press

Published: 2018-09-03

Total Pages: 286

ISBN-13: 131536025X

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The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values. Exploring the advantages of this approach, State-Space Methods for Time Series Analysis: Theory, Applications and Software presents many computational procedures that can be applied to a previously specified linear model in state-space form. After discussing the formulation of the state-space model, the book illustrates the flexibility of the state-space representation and covers the main state estimation algorithms: filtering and smoothing. It then shows how to compute the Gaussian likelihood for unknown coefficients in the state-space matrices of a given model before introducing subspace methods and their application. It also discusses signal extraction, describes two algorithms to obtain the VARMAX matrices corresponding to any linear state-space model, and addresses several issues relating to the aggregation and disaggregation of time series. The book concludes with a cross-sectional extension to the classical state-space formulation in order to accommodate longitudinal or panel data. Missing data is a common occurrence here, and the book explains imputation procedures necessary to treat missingness in both exogenous and endogenous variables. Web Resource The authors’ E4 MATLAB® toolbox offers all the computational procedures, administrative and analytical functions, and related materials for time series analysis. This flexible, powerful, and free software tool enables readers to replicate the practical examples in the text and apply the procedures to their own work.

Forecasting: principles and practice
Forecasting: principles and practice

Author: Rob J Hyndman

Publisher: OTexts

Published: 2018-05-08

Total Pages: 380

ISBN-13: 0987507117

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Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.

Analyzing Neural Time Series Data
Analyzing Neural Time Series Data

Author: Mike X Cohen

Publisher: MIT Press

Published: 2014-01-17

Total Pages: 615

ISBN-13: 0262019876

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A comprehensive guide to the conceptual, mathematical, and implementational aspects of analyzing electrical brain signals, including data from MEG, EEG, and LFP recordings. This book offers a comprehensive guide to the theory and practice of analyzing electrical brain signals. It explains the conceptual, mathematical, and implementational (via Matlab programming) aspects of time-, time-frequency- and synchronization-based analyses of magnetoencephalography (MEG), electroencephalography (EEG), and local field potential (LFP) recordings from humans and nonhuman animals. It is the only book on the topic that covers both the theoretical background and the implementation in language that can be understood by readers without extensive formal training in mathematics, including cognitive scientists, neuroscientists, and psychologists. Readers who go through the book chapter by chapter and implement the examples in Matlab will develop an understanding of why and how analyses are performed, how to interpret results, what the methodological issues are, and how to perform single-subject-level and group-level analyses. Researchers who are familiar with using automated programs to perform advanced analyses will learn what happens when they click the “analyze now” button. The book provides sample data and downloadable Matlab code. Each of the 38 chapters covers one analysis topic, and these topics progress from simple to advanced. Most chapters conclude with exercises that further develop the material covered in the chapter. Many of the methods presented (including convolution, the Fourier transform, and Euler's formula) are fundamental and form the groundwork for other advanced data analysis methods. Readers who master the methods in the book will be well prepared to learn other approaches.

Time Series Analysis Univariate and Multivariate Methods
Time Series Analysis Univariate and Multivariate Methods

Author: William W. S. Wei

Publisher: Pearson

Published: 2018-03-14

Total Pages: 648

ISBN-13: 9780134995366

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With its broad coverage of methodology, this comprehensive book is a useful learning and reference tool for those in applied sciences where analysis and research of time series is useful. Its plentiful examples show the operational details and purpose of a variety of univariate and multivariate time series methods. Numerous figures, tables and real-life time series data sets illustrate the models and methods useful for analyzing, modeling, and forecasting data collected sequentially in time. The text also offers a balanced treatment between theory and applications. Time Series Analysis is a thorough introduction to both time-domain and frequency-domain analyses of univariate and multivariate time series methods, with coverage of the most recently developed techniques in the field.

Hydrologic Time Series Analysis
Hydrologic Time Series Analysis

Author: Deepesh Machiwal

Publisher: Springer Science & Business Media

Published: 2012-03-05

Total Pages: 316

ISBN-13: 9400718616

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There is a dearth of relevant books dealing with both theory and application of time series analysis techniques, particularly in the field of water resources engineering. Therefore, many hydrologists and hydrogeologists face difficulties in adopting time series analysis as one of the tools for their research. This book fills this gap by providing a proper blend of theoretical and practical aspects of time sereies analysis. It deals with a comprehensive overview of time series characteristics in hydrology/water resources engineering, various tools and techniques for analyzing time series data, theoretical details of 31 available statistical tests along with detailed procedures for applying them to real-world time series data, theory and methodology of stochastic modelling, and current status of time series analysis in hydrological sciences. In adition, it demonstrates the application of most time series tests through a case study as well as presents a comparative performance evaluation of various time series tests, together with four invited case studies from India and abroad. This book will not only serve as a textbook for the students and teachers in water resources engineering but will also serve as the most comprehensive reference to educate researchers/scientists about the theory and practice of time series analysis in hydrological sciences. This book will be very useful to the students, researchers, teachers and professionals involved in water resources, hydrology, ecology, climate change, earth science, and environmental studies.