Time Series: Theory and Methods, 2nd Edition [Hardcover]

Peter J. Brockwell (Author), Richard A. Davis (Author)

Book Description

ISBN-10: 0387974296 | ISBN-13: 978-0387974293 | Publication Date: 1991 | Edition: 2nd

This paperback edition is a reprint of the 1991 edition.

Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for the techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes, and nonlinear models.

Most of the programs used in the book are available in the modeling package ITSM2000, the student version of which can be downloaded from http://www.stat.colostate.edu/~pjbrock/student06.

Editorial Reviews

From the Back Cover

This paperback edition is a reprint of the 1991 edition. Time Series: Theory and Methods is a systematic account of linear time series models and their application to the modeling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for the techniques. Both time and frequency domain methods are discussed, but the book is written in such a way that either approach could be emphasized. The book is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It contains substantial chapters on multivariate series and state-space models (including applications of the Kalman recursions to missing-value problems) and shorter accounts of special topics including long-range dependence, infinite variance processes, and nonlinear models. Most of the programs used in the book are available in the modeling package ITSM2000, the student version of which can be downloaded from http://www.stat.colostate.edu/~pjbrock/student06. --This text refers to the Paperback edition.

Product Details

• Hardcover: 584 pages
• Publisher: Springer; 2nd edition (1991)
• Language: English
• ISBN-10: 0387974296
• ISBN-13: 978-0387974293
• Product Dimensions: 9.3 x 6.1 x 1.3 inches
• Shipping Weight: 2.1 pounds
• Average Customer Review: 4.2 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #566,815 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

Most Helpful Customer Reviews

24 of 24 people found the following review helpful:

4.0 out of 5 stars Rigorous, difficult, but feasible, March 27, 2002

By 

Rodrigo D. S. Bueno (Sao Paulo - Brazil) - See all my reviews
(REAL NAME)   

This review is from: Time Series: Theory and Methods, 2nd Edition (Hardcover)

Of course, this an advanced textbook on Time Series. The reader is supposed to have been introduced to the subject, and certainly is looking for a more theoretical treatment.

If you want to learn time series for the first time, this is not the book.

If you want a friendly book, do not see springer's publications.

However, if you want a fair rigourous book, you have found it.

I think the exercises are illustrative, but sometimes long.

23 of 26 people found the following review helpful:

5.0 out of 5 stars Great book, January 12, 2008

By 

Michael R. Chernick "statman31147" (Holland PA) - See all my reviews
(REAL NAME)   

This review is from: Time Series: Theory and Methods, 2nd Edition (Hardcover)

I reviewed this book once before under the pen name statman13. So look at that review to get most of my thoughts about it. I taught times series analysis as a graduate course at UC Santa Barbara many years ago. That was long before this book came out. I used Wayne Fuller's book as a text because it had balanced coverage of time domain and frequency domain approaches. If I were to do it over today I would use Brockwell and Davis' book as it has the right level of theory and also a proper mix of frequency and time domain. I know Richard Davis to be an excellent probabilist and very knowledgeable about stochastic process. I collaborated with him on a paper in extreme value theory. I also had the privilege of refereeing one of his early papers on extreme values that was part of his disseration and was eventually published in the Annals of Probability.

5 of 5 people found the following review helpful:

5.0 out of 5 stars Time Series: Theory and Methods, May 25, 2007

By 

M. Ahdesmaki "mja" (Seattle,WA USA) - See all my reviews
(REAL NAME)   

This review is from: Time Series: Theory and Methods, 2nd Edition (Hardcover)

Excellent reading. This book covers mainly the frequentist approach to time series analysis in a very informative way. The book starts off by introducing Hilbert spaces, then moves to stationary ARMA processes and so on. My favourite is chapter 10, Inference for the Spectrum of a Stationary Process, in which different tests are considered for periodicities at known and unknown frequencies.