Introduction to Statistical Time Series
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Book Overview
The subject of time series is of considerable interest, especially among researchers in econometrics, engineering, and the natural sciences. As part of the prestigious Wiley Series in Probability and Statistics, this book provides a lucid introduction to the field and, in this new Second Edition, covers the important advances of recent years, including nonstationary models, nonlinear estimation, multivariate models, state space representations, and empirical model identification. New sections have also been added on the Wold decomposition, partial autocorrelation, long memory processes, and the Kalman filter. Major topics include: Moving average and autoregressive processes Introduction to Fourier analysis Spectral theory and filtering Large sample theory Estimation of the mean and autocorrelations Estimation of the spectrum Parameter estimation Regression, trend, and seasonality Unit root and explosive time series To accommodate a wide variety of readers, review material, especially on elementary results in Fourier analysis, large sample statistics, and difference equations, has been included.
Format:Hardcover
Language:English
ISBN:0471287156
ISBN13:9780471287155
Release Date:January 1976
Publisher:John Wiley & Sons
Length:470 Pages
Weight:1.85 lbs.
Dimensions:1.3" x 6.4" x 9.1"
Related Subjects
Math Mathematics Physics Science Science & Math Science & Scientists Science & Technology Statistics TimeCustomer Reviews
1 rating
excellent graduate text covering both time and frequency domain methods
Published by Thriftbooks.com User , 17 years ago
In 1981 I used this book for a graduate seminar that I taught on time series analysis at UC Santa Barbara. The course was successful because I followed the text closely. It presents the material in a rigorous and cogent manner. At the time there were a few competing books but some emphasized time domain methods and others were strictly frequency domain approaches. Fuller balances the two very well and his book is better written and organized than most of the competitors at that time (1981). Today there are a lot more books to choose from. You can check my listmania list on time series books to get an idea. I particularly like Brockwell and Davis' book as a competitor to Fuller for a graduate level time series seminar.
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