The Analysis of Time Series: An Introduction with R, 7th Edition (Paperback) book cover

The Analysis of Time Series

An Introduction with R, 7th Edition

By Chris Chatfield, Haipeng Xing

Chapman and Hall/CRC

398 pages | 85 B/W Illus.

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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. It also presents many examples and implementations of time series models and methods to reflect advances in the field.

Highlights of the seventh edition:

  • A new chapter on univariate volatility models
  • A revised chapter on linear time series models
  • A new section on multivariate volatility models
  • A new section on regime switching models
  • Many new worked examples, with R code integrated into the text

The book can be used as a textbook for an undergraduate or a graduate level time series course in statistics. The book does not assume many prerequisites in probability and statistics, so it is also intended for students and data analysts in engineering, economics, and finance.

Table of Contents


Basic Descriptive Techniques

Some Linear Time Series Models

Fitting Time Series Models in the Time Domain


Stationary Processes in the Frequency Domain

Spectral Analysis

Bivariate Processes

Linear Systems

State-Space Models and the Kalman Filter

Non-Linear Models

Volatility Models

Multivariate Time Series Modelling

Some More Advanced Topics

Appendix A Fourier, Laplace, and z-Transforms

Appendix B Dirac Delta Function

Appendix C Covariance and Correlation

Answers to Exercises

About the Authors

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.

About the Series

Chapman & Hall/CRC Texts in Statistical Science

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Subject Categories

BISAC Subject Codes/Headings:
MATHEMATICS / Probability & Statistics / General