The Analysis of Time Series: An Introduction with R (Paper ) 7th

Chatfield, Chris, Xing, Haipeng

買這商品的人也買了...

商品描述

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.

商品描述(中文翻譯)

這本經典著作的新版,現已推出第七版,全面且平衡地介紹了時間序列分析的理論、實施和實踐。本書涵蓋了廣泛的主題,包括ARIMA模型、預測方法、頻譜分析、線性系統、狀態空間模型、卡爾曼濾波器、非線性模型、波動性模型和多變量模型。它還提供了許多時間序列模型和方法的實例和實現,以反映該領域的進展。

第七版的亮點包括:
- 新增了一章關於單變量波動性模型
- 修訂了一章關於線性時間序列模型
- 新增了一節關於多變量波動性模型
- 新增了一節關於制度轉換模型
- 許多新的實例,並將R代碼整合到文本中

本書可作為統計學本科或研究生水平的時間序列課程教材。本書不假設對概率和統計有太多先備知識,因此也適用於工程、經濟和金融領域的學生和數據分析師。

作者簡介

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.

作者簡介(中文翻譯)

Chris Chatfield是英國巴斯大學統計學退休講師,他是五本書和許多研究論文的作者,並且是國際預測學會的榮譽會士。

Haipeng Xing是美國紐約州立大學石溪分校應用數學和統計學的副教授,他是兩本書和許多研究論文的作者。他的研究興趣包括量化金融和風險管理、計量經濟學、應用隨機控制和序列統計方法學。