時間序列

Time Series Analysis: Forecasting and Control 5/e

+作者:

Box

+年份:
2016 年5 版
+ISBN:
9781118675021
+書號:
PS0441H
+規格:
精裝/單色
+頁數:
712
+出版商:
John Wiley
定價

$

線上價$

線上團體購書(15本以上)享有團體優惠價格,折扣為定價打 85 折 (軍校與台灣外島地區因運費因素除外,敬請來電訂購),大量購書亦可來信或來電直接與我們聯絡。

Praise for the Fourth Edition

 “The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and control."

-        Mathematical Reviews

Bridging classical models and modern topics, the Fifth Edition of Time Series Analysis: Forecasting and Control maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing  the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the Fifth Edition continues to serve as one of the most influential and prominent works on the subject.

Time Series Analysis: Forecasting and Control, Fifth Edition provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. 

●A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series
●An expanded chapter on special topics covering  unit root testing,  time-varying volatility  models such as ARCH and GARCH, nonlinear time series models, and long memory models
●Numerous examples drawn from finance, economics, engineering, and other related fields
●The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting
●Updates to literature references throughout and new end-of-chapter exercises
●Streamlined chapter introductions and revisions that update and enhance the exposition

Time Series Analysis: Forecasting and Control, Fifth Edition is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.

George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel, Greta M. Ljung

1 Introduction
PART ONE STOCHASTIC MODELS AND THEIR FORECASTING
2 Autocorrelation Function and Spectrum of Stationary Processes
3 Linear Stationary Models
4 Linear Nonstationary Models
5 Forecasting
PART TWO STOCHASTIC MODEL BUILDING
6 Model Identification
7 Parameter Estimation
8 Model Diagnostic Checking
9 Analysis of Seasonal Time Series
10 Additional Topics and Extensions
PART THREE TRANSFER FUNCTION AND MULTIVARIATE MODEL BUILDING
11 Transfer Function Models
12 Identification Fitting and Checking of Transfer Function Models
13 Intervention Analysis Outlier Detection and Missing Values
14 Multivariate Time Series Analysis
PART FOUR DESIGN OF DISCRETE CONTROL SCHEMES
15 Aspects of Process Control
PART FIVE CHARTS AND TABLES
COLLECTION OF TABLES AND CHARTS
COLLECTION OF TIME SERIES USED FOR EXAMPLES IN THE TEXT AND IN EXERCISES