Customer Reviews

Time Series: Theory and Methods, 2nd Edition

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

 

 

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.

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.

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.

I would recommend this after a lower-level introductory text. Also, the reader should be familiar with Hilbert spaces before reading. Perhaps too much mathematical detail for the practitioner.

I am a graduate student at Columbia. Richard Davis was my time series professor.

This book is really rigorous and well organised. Theory is present, but we cannot see enough methods and applications. Yet the title suggest that there are some methods. It is a useful book for academics, but if you want to go in the financial industry (quant, strategist or trading) do not buy this book because not much of the content is applicable.

The software ISTM 2000 is really impressive: powerful and quick. I recommend this software and think it could be used on trading floors, or in a hedge fund, for speculative purposes, or arbitrage.