Introduction to Time Series and Forecasting - (Springer Texts in Statistics) 3rd Edition by Peter J Brockwell & Richard A Davis (Hardcover)
The 3rd edition of "Introduction to Time Series and Forecasting" by Peter J Brockwell and Richard A Davis is a comprehensive textbook that presents an introduction to the theory and practice of time series analysis and forecasting.
The book is divided into three parts. Part I covers the mathematical and statistical background necessary for understanding time series analysis. Topics covered in this section include the probability theory, stochastic processes, and ARMA models.
Part II covers univariate time series analysis and forecasting. This section includes topics such as ARIMA models, seasonal time series models, and intervention analysis.
Part III covers multivariate time series analysis and forecasting. This section includes topics such as vector autoregressive models, cointegration, impulse response analysis, and forecasting with dynamic regression models.
Throughout the book, the authors provide numerous examples and exercises to reinforce the concepts covered, as well as R code to illustrate the implementation of the methods.
The 3rd edition also includes new material on state space models, machine learning methods, and volatility models.
Overall, "Introduction to Time Series and Forecasting" is an excellent resource for students and practitioners in statistics, economics, finance, and engineering who want to learn about time series analysis and forecasting.
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