The Analysis of Time Series: An Introduction with R

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Chris Chatfield (University of Bath, UK) Haipeng Xing (SUNY, Stony Brook, New York, USA)

The Analysis of Time Series

An Introduction with R

Chris Chatfield (University of Bath, UK), Haipeng Xing (SUNY, Stony Brook, New York, USA)

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English

Chapman & Hall/CRC
09 May 2019

Economic statistics; Probability & statistics

Series: Chapman & Hall/CRC Texts in Statistical Science

This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis. The book covers a wide range of topics, including ARIMA models, forecasting methods, spectral analysis, linear systems, state-space models, the Kalman filters, nonlinear models, volatility models, and multivariate models.

By: Chris Chatfield (University of Bath UK), Haipeng Xing (SUNY, Stony Brook, New York, USA)
Imprint: Chapman & Hall/CRC
Country of Publication: United States
Edition: 7th edition
Dimensions: Height: 234mm, Width: 156mm,
Weight: 626g
ISBN: 9781498795630
ISBN 10: 1498795633
Series: Chapman & Hall/CRC Texts in Statistical Science
Pages: 414
Publication Date: 09 May 2019
Audience: College/higher education , Primary
Format: Paperback
Publisher's Status: Active

1. Introduction 2. Basic Descriptive Techniques 3. Some Linear Time Series Models 4. Fitting Time Series Models in the Time Domain 5. Forecasting 6. Stationary Processes in the Frequency Domain 7. Spectral Analysis 8. Bivariate Processes 9. Linear Systems 10. State-Space Models and the Kalman Filter 11. Non-Linear Models 12. Volatility Models 13. Multivariate Time Series Modelling 14. Some More Advanced Topics Appendix A Fourier, Laplace, and z-Transforms. Appendix B Dirac Delta Function. Appendix C Covariance and Correlation. Answers to Exercises.

Chris Chatfield is a retired Reader in Statistics at the University of Bath, UK, the author of five books and numerous research papers, and an elected Honorary Fellow of the International Institute of Forecasters. Haipeng Xing is an associate professor in Applied Mathematics and Statistics at the State University of New York, Stony Brook, USA, the author of two books and numerous research papers. His research interests include quantitative finance and risk management, econometrics, applied stochastic control, and sequential statistical methodology.

Reviews for The Analysis of Time Series: An Introduction with R

Chris Chatfield has already written some popular books in statistics. Haipeng Xing is also a renowned researcher in statistics with more than 8000 citation. Efforts have been made by both authors to publish reliable data and information relating to different applications... The best part of the book is that some exercises are explained explicitly with sufficient hints. The authors also review several books on time series by other researchers from 1971 to 2010...Overall, this book is a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis in a wide range of topics. The book is intended for masters and undergraduate students in mathematics, probability, economics, statistics, astrophysics, biomedical engineering, and neuroscience. However, students who are early in a relevant PhD programme should also read this book to gain fundamental background knowledge. - Chitaranjan Mahapatra, ISCB News, July 2020