The Analysis of Time Series: An Introduction with R (Paper ) 7th
暫譯: 時間序列分析:使用 R 的入門(紙本)第七版

Chatfield, Chris, Xing, Haipeng

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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)

這本經典書籍的新版本,現在已經是第七版,提供了時間序列分析理論、實作和實踐的平衡且全面的介紹。書中涵蓋了廣泛的主題,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。它還展示了許多時間序列模型和方法的例子和實作,以反映該領域的進展。

第七版的亮點:

- 新增一章關於單變量波動性模型
- 修訂一章關於線性時間序列模型
- 新增一節關於多變量波動性模型
- 新增一節關於狀態轉換模型
- 許多新的實作範例,並將 R 語言代碼整合到文本中

這本書可以作為本科或研究生統計學時間序列課程的教科書。書中對於概率和統計的先備知識要求不高,因此也適合工程、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)

克里斯·查特菲爾德是英國巴斯大學的退休統計學講師,著有五本書籍和多篇研究論文,並且是國際預測學會的當選榮譽會員。

邢海鵬是美國紐約州立大學石溪分校的應用數學與統計學副教授,著有兩本書籍和多篇研究論文。他的研究興趣包括量化金融與風險管理、計量經濟學、應用隨機控制以及序列統計方法。