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 --

Index.

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.

9783319298528

Time-series analysis.

Distribution (Probability theory)

Mathematical statistics.

519.55