The Analysis of Time Series: An Introduction with R (Chapman & Hall/CRC Texts in Statistical Science) - Softcover

Chatfield, Chris; Xing, Haipeng

Softcover

ISBN 10: 1498795633 ISBN 13: 9781498795630

Publisher: Chapman and Hall/CRC, 2019

Synopsis

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.

About this title

About the Author:

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 this edition

• Publisher: Chapman and Hall/CRC
• Publication date: 2019
• ISBN 10: 1498795633
• ISBN 13: 9781498795630
• Binding: Paperback
• Number of pages: 414