Customer Reviews

Time Series Analysis: Univariate and Multivariate Methods

5 star:		(4)
4 star:		(2)
3 star:		(0)
2 star:		(0)
1 star:		(0)

 

 

This book provides a well-written and rigorous coverage of univariate time series, particularly the time domain models of Box and Jenkins. Its outstanding feature, however, is its treatment of multivariate time series modeling. It is the only book that I know of, that provides a clear and to the point picture of successful multivariate approaches. A little discussion of more recent multivariate advances can be found in Kennedy's 4th edition of his "A Guide to Econometrics".

This book gives a thorough analysis of the basis of time series analysis from the basic AR and MA-processes up to ARMA, ARIMA-processes. It also gives you a brief introduction to intervention, seasonal, vector and interruption analyses. A drawback however is the inept use of relevant software to produce more accurate parameter-estimates. I used this book as one of my graduate courses and it gives a proper background to help you understand time series analysis.

This is the best book for Time Series. It's well written and full of examples and exercises. Chapter 2 and 3 are the difficult parts. You can read them a few times at first. Then after you finish chapter 4-6, come back to read 2 and 3 again and you will grasp a great deal out of it.

This is the most accessible book I have read on transfer function analysis from a time-series perspective(as opposed to an Engineering perspective with Fourier and Laplace transforms).

Considering the difficulty of the topic, Wei explains things in a easy to understand way, with step-through examples of method.

I don't regret this purchase at all.

This is a book that has clearly been written with a lot of care. Each topic is explored in detail and nothing important is left to the reader's imagination. Having said this, I can imagine a non-quantitatively oriented reader being frustrated with the content. This is a great book for understanding the theory behind Time Series. Prof. Wei writes very clearly and expresses the concepts very well. One drawback - no code is provided for any of the analysis examples and it seems like the graphics could be better. (He seems to have used SCA rather than R or SAS). 5 stars and a steal at this price.

I read this one when I was a graduate student in the Institute of Statistics.I really love this book.At that time,our textbook is Box and Jenkins' Time series....I also love their book...But this one is especially a good one...I really get impression about the useful of time series...I had met the writer on a conference..He is really a gentleman...and a nice guy.....I think everyone wants to know time series better ...should not miss this book...There are two different approaches about time series: one is the time domain and the other is the frequency domain...This book contains both....