Introduction to time series and forecasting /

Brockwell, Peter J

Introduction to time series and forecasting / by Peter J. Brockwell, Ricard A. Davis - 3 rd - New York, Springer 2016 - xiv,425 pages; Illustrations: 11*8 cms.

Introduction --
Stationary Processes --
ARMA Models --
Spectral Analysis --
Modeling and Forecasting with ARMA Processes --
Nonstationary and Seasonal Time Series Models --
Time Series Models for Financial Data --
Multivariate Time Series --
State-Space Models --
Forecasting Techniques --
Further Topics --
Appendix A: Random Variables and Probability Distributions --
Appendix B: Statistical Complements --
Appendix C: Mean Square Convergence --
Appendix D: Lévy Processes, Brownian Motion and Itô Calculus --
Appendix E: An ITSM Tutorial --
References --

This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering, and the natural and social sciences.


Time-series analysis.
Distribution (Probability theory)
Mathematical statistics.


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