Time Series Analysis: Forecasting and Control, 5/e (Hardcover)
暫譯: 時間序列分析:預測與控制,第5版(精裝本)
George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel, Greta M. Ljung
- 出版商: Wiley
- 出版日期: 2015-06-29
- 售價: $1,744
- 語言: 英文
- 頁數: 712
- 裝訂: Hardcover
- ISBN: 1118675029
- ISBN-13: 9781118675021
-
相關分類:
大數據 Big-data、機率統計學 Probability-and-statistics、Machine Learning
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商品描述
<內容簡介>
●A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series
●An expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models
●Numerous examples drawn from finance, economics, engineering, and other related fields
●The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting
●Updates to literature references throughout and new end-of-chapter exercises
●Streamlined chapter introductions and revisions that update and enhance the exposition
Time Series Analysis: Forecasting and Control, Fifth Edition is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.
Praise for the Fourth Edition
“The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and control."
- Mathematical Reviews
Bridging classical models and modern topics, the Fifth Edition of Time Series Analysis: Forecasting and Control maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the Fifth Edition continues to serve as one of the most influential and prominent works on the subject.
Time Series Analysis: Forecasting and Control, Fifth Edition provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes.
<章節目錄>
1 Introduction
PART ONE STOCHASTIC MODELS AND THEIR FORECASTING
2 Autocorrelation Function and Spectrum of Stationary Processes
3 Linear Stationary Models
4 Linear Nonstationary Models
5 Forecasting
PART TWO STOCHASTIC MODEL BUILDING
6 Model Identification
7 Parameter Estimation
8 Model Diagnostic Checking
9 Analysis of Seasonal Time Series
10 Additional Topics and Extensions
PART THREE TRANSFER FUNCTION AND MULTIVARIATE MODEL BUILDING
11 Transfer Function Models
12 Identification Fitting and Checking of Transfer Function Models
13 Intervention Analysis Outlier Detection and Missing Values
14 Multivariate Time Series Analysis
PART FOUR DESIGN OF DISCRETE CONTROL SCHEMES
15 Aspects of Process Control
PART FIVE CHARTS AND TABLES
COLLECTION OF TABLES AND CHARTS
COLLECTION OF TIME SERIES USED FOR EXAMPLES IN THE TEXT AND IN EXERCISES
商品描述(中文翻譯)
內容簡介
● 重新設計的多變量時間序列分析章節,擴展了對向量自回歸(Vector Autoregressive,簡稱 VAR)模型的處理,並討論了建模向量時間序列所需的分析工具
● 擴展的特殊主題章節,涵蓋單根檢驗、時間變異波動模型(如 ARCH 和 GARCH)、非線性時間序列模型及長記憶模型
● 來自金融、經濟、工程及其他相關領域的眾多範例
● 使用公開可用的 R 軟體進行圖形插圖和數值計算,並提供展示 R 在模型構建和預測中使用的腳本
● 更新了文獻參考,並新增了章末練習
● 精簡的章節介紹和修訂,更新並增強了內容的表述
《時間序列分析:預測與控制,第五版》是時間序列分析、計量經濟學、金融及相關領域研究人員和實務工作者的寶貴參考書。該書也是進階統計學、數學、經濟學、金融、工程和物理等研究生課程的優秀教科書。
對《第四版》的讚譽
“這本書忠實地遵循了原版的風格。其方法強烈受到現實世界時間序列的啟發,並通過發展完整的模型構建、估計、預測和控制方法來進行。”
- -數學評論
《時間序列分析:預測與控制,第五版》在橋接經典模型和現代主題方面,保持了對時間序列建模和分析工具的平衡呈現。該書還描述了過去十年在商業、金融和工程等領域中發生的最新發展,繼續作為該主題上最具影響力和重要的著作之一。
《時間序列分析:預測與控制,第五版》提供了對構建、分類、測試和分析隨機模型的關鍵方法的清晰探索,並描述了其在五個重要應用領域的使用:預測;確定系統的傳遞函數;建模干預事件的影響;開發多變量動態模型;以及設計簡單的控制方案。