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

The Analysis of Time Series

An Introduction, 7th Edition

By Chris Chatfield, Haipeng Xing

Chapman and Hall/CRC

416 pages | 85 B/W Illus.

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Description

This is the seventh edition of a classic introductory textbook on time series analysis. In this edition, a new co-author has been added to modernize the book. It has been revised to include three new chapters - on Volatility Models, Nonlinear Models, and High-Frequency Time Series Models - plus R code throughout the book, and many new examples and exercises. The book is set apart from the competition due to its accessibilit and a perfect balance of theory and examples, so the book should maintain its position as one of the leading introductory textbooks on the topic.

  • Provides an accessible introduction to time series analysis.
  • Written in a lucid style, with a good balance of theory and examples.
  • New edition includes three new chapters on Volatility Models, Nonlinear Models, and High-Frequency Time Series Models.
  • Now includes R code throughout, with data and code on a supplementary website.
  • Includes many new examples and exercises.

Table of Contents

Introduction

Basic Descriptive Techniques

Some Linear Time Series Models

Fitting Time Series Models in the Time Domain

Forecasting

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

Haipeng Xing is Associate Professor in the Department of Applied Mathematics and Statistics,

State University of New York at Stony Brook.

Chris Chatfield is retired from the University of Bath.

About the Series

Chapman & Hall/CRC Texts in Statistical Science

Learn more…

Subject Categories

BISAC Subject Codes/Headings:
MAT029000
MATHEMATICS / Probability & Statistics / General