Analysis of Time Series: An Introduction

by Chris Chatfield

Since 1975, The Analysis of Time Series: An Introduction has introduced legions of statistics students and researchers to the theory and practice of time series analysis. With each successive edition, best-selling author Chris Chatfield has honed and refined his presentation, updated the material to reflect advances in the field, and presented interesting new data sets.

The sixth edition is no exception. It provides an accessible, comprehensive introduction to the theory and practice of time series analysis. The treatment covers a wide range of topics, including ARIMA probability models, forecasting methods, spectral analysis, linear systems, state-space models, and the Kalman filter. It also addresses nonlinear, multivariate, and long-memory models. The author has carefully updated each chapter, added new discussions, incorporated new datasets, and made those datasets available for download from www.crcpress.com

Highlights of the Sixth Edition:

A new section on Handling Real Data

New discussion on prediction intervals

A completely revised and restructured chapter on more advanced topics, with new material on the aggregation of time series, analyzing time series in finance, and discrete-valued time series

A new chapter of Examples and Practical Advice

Thorough updates and revisions throughout the text that reflect recent developments and dramatic changes in computing practices over the last few years

The analysis of time series can be a difficult topic, but as this book has demonstrated for two-and-a-half decades, it does not have to be daunting. The accessibility, polished presentation, and broad coverage of The Analysis of Time Series make it simply the best introduction to the subject available.

Genres: Textbooks, Finance, Science, Mathematics

256 pages, Paperback

First published January 1, 1980

Reviews

[Eric]

Best cure for insomnia I've ever seen. Way too much math...concepts were not explained clearly enough and the excessive use of acronyms created an extra complication. Half-way trough the book I realized I understood Time-Series analysis better before starting the book. Still…two pages from this book and you’ll sleep like a baby.

[R]

This is an excellent book if you need help understanding time series analyses. The concepts are very accessible throughout much of the book. When he enters into fields outside of statistics (and even when not) there are many excellent references provided. I appreciate the examples and exercises. While this book goes far more in depth than for my needs it will be an exceptional reference.

This is an extremely well written and researched book.

[Dom Owens]

Based introduction

[Faysal Ahmed]

good