Time Series Analysis: Forecasting & Control (3rd Edition) - Hardcover

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

Hardcover

ISBN 10: 0130607746 ISBN 13: 9780130607744

Publisher: Prentice Hall, 1994

Synopsis

This is a complete revision of a classic, seminal, and authoritative book that has been the model for most books on the topic written since 1970. It focuses on practical techniques throughout, rather than a rigorous mathematical treatment of the subject. It explores the building of stochastic (statistical) models for time series and their use in important areas of application —forecasting, model specification, estimation, and checking, transfer function modeling of dynamic relationships, modeling the effects of intervention events, and process control. Features sections on: recently developed methods for model specification, such as canonical correlation analysis and the use of model selection criteria; results on testing for unit root nonstationarity in ARIMA processes; the state space representation of ARMA models and its use for likelihood estimation and forecasting; score test for model checking; and deterministic components and structural components in time series models and their estimation based on regression-time series model methods.

About this title

From the Publisher

This is a complete revision of a classic, seminal, and authoritative text that has been the model for most books on the topic written since 1970. It explores the building of stochastic (statistical) models for time series and their use in important areas of application --forecasting, model specification, estimation, and checking, transfer function modeling of dynamic relationships, modeling the effects of intervention events, and process control.

About the Author

George E. P. Box, PHD, is Ronald Aylmer Fisher Professor Emeritus of Statistics at the University of Wisconsin-Madison. He is a Fellow of the American Academy of Arts and Sciences and a recipient of the Samuel S. Wilks Memorial Medal of the American Statistical Association, the Shewhart Medal of the American Society for Quality, and the Guy Medal in Gold of the Royal Statistical Society. Dr. Box is the coauthor of Statistics for Experimenters: Design, Innovation, and Discovery, Second Edition; Response Surfaces, Mixtures, and Ridge Analyses, Second Edition; Evolutionary Operation: A Statistical Method for Process Improvement; Statistical Control: By Monitoring and Feedback Adjustment; and Improving Almost Anything: Ideas and Essays, Revised Edition, all published by Wiley.

The late Gwilym M. Jenkins, PHD, was professor of systems engineering at Lancaster University in the United Kingdom, where he was also founder and managing director of the International Systems Corporation of Lancaster? A Fellow of the Institute of Mathematical Statistics and the Institute of Statisticians, Dr. Jenkins had a prestigious career in both academia and consulting work that included positions at Imperial College London, Stanford University,Princeton University, and the University of Wisconsin-Madison. He was widely known for his work on time series analysis, most notably his groundbreaking work with Dr. Box on the Box-Jenkins models.

The late Gregory CD. Reinsel, PHD, was professor and former chair of the department of Statistics at the University of Wisconsin-Madison. Dr. Reinsel's expertise was focused on time series analysis and its applications in areas as diverse as economics, ecology, engineering, and meteorology. He authored over seventy refereed articles and three books, and was a Fellow of both the American Statistical Association and the Institute of Mathematical Statistics.

Edition details

• Publisher: Prentice Hall
• Publication date: 1994
• ISBN 10: 0130607746
• ISBN 13: 9780130607744
• Binding: Hardcover
• Language: English
• Edition number: 3
• Number of pages: 592