Time series analysis and its applications

By:

Shumway, Robert H

Contributor(s):

Stoffer, David S

Material type: Text

9780387989501
0387989501

Subject(s):

Time-series analysis

DDC classification:

519.55 SHU

Contents:

Ch. 1. Characteristics of Time Series -- Ch. 2. Time Series Regression and ARIMA Models -- Ch. 3. Spectral Analysis and Filtering -- Ch. 4. State-Space and Multivariate ARMAX Models -- Ch. 5. Statistical Methods in the Frequency Domain.

Summary: "Time Series Analysis and Its Applications presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using non trivial data illustrate solutions to problems such as evaluating pain perception experiments using magnetic resonance imaging or monitoring a nuclear test ban treaty. The book is designed to be useful as a text for graduate-level students in the physical, biological, and social sciences and as a graduate-level text in statistics. Some parts may also serve as an undergraduate introductory course." "Theory and methodology are separated to allow presentations on different levels. Material from the earlier 1988 Prentice-Hall text Applied Statistical Time Series Analysis has been updated by adding modern developments involving categorical time series analysis and the spectral envelope, multivariate spectral methods, long memory series, nonlinear models, longitudinal data analysis, resampling techniques, ARCH models, stochastic volatility, wavelets, and Monte Carlo Markov chain integration methods. These odd to a classical coverage of time series regression, univariate and multivariate ARIMA models, spectral analysis, and state-space models. The book is complemented by offering accessibility, via the World Wide Web, to the data and an exploratory time series analysis program ASTSA for Windows that can be downloaded as Freeware."--Jacket.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
Reference Books	Main Library Reference	Reference	519.55 SHU (Browse shelf(Opens below))	Available		006534

Total holds: 0

Includes Index

Ch. 1. Characteristics of Time Series --
Ch. 2. Time Series Regression and ARIMA Models --
Ch. 3. Spectral Analysis and Filtering --
Ch. 4. State-Space and Multivariate ARMAX Models --
Ch. 5. Statistical Methods in the Frequency Domain.

"Time Series Analysis and Its Applications presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using non trivial data illustrate solutions to problems such as evaluating pain perception experiments using magnetic resonance imaging or monitoring a nuclear test ban treaty. The book is designed to be useful as a text for graduate-level students in the physical, biological, and social sciences and as a graduate-level text in statistics. Some parts may also serve as an undergraduate introductory course." "Theory and methodology are separated to allow presentations on different levels. Material from the earlier 1988 Prentice-Hall text Applied Statistical Time Series Analysis has been updated by adding modern developments involving categorical time series analysis and the spectral envelope, multivariate spectral methods, long memory series, nonlinear models, longitudinal data analysis, resampling techniques, ARCH models, stochastic volatility, wavelets, and Monte Carlo Markov chain integration methods. These odd to a classical coverage of time series regression, univariate and multivariate ARIMA models, spectral analysis, and state-space models. The book is complemented by offering accessibility, via the World Wide Web, to the data and an exploratory time series analysis program ASTSA for Windows that can be downloaded as Freeware."--Jacket.

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