|Box, George E. P. / Jenkins, Gwilym M. / Reinsel, Gregory C.|
Time Series Analysis
Forecasting and Control
Wiley Series in Probability and Statistics
4. Edition July 2008
2008. 784 Pages, Hardcover
- Monograph -
ISBN 978-0-470-27284-8 - John Wiley & Sons
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This is a revision of a classic, seminal, and authoritative book that has been the model for most books on the topic written since 1970. It focuses on practical techniques throughout, rather than a rigorous mathematical treatment of the subject. It explores the building of stochastic (statistical) models for time series and their use in important areas of application --forecasting, model specification, estimation, modeling the effects of intervention events, and process control, among others. In addition to meticulous modifications in content and improvements in style, the new edition incorporates several new topics in an effort to modernize the subject matter. These topics include extensive discussions of multivariate time series, smoothing, likelihood function based on the state space model, autoregressive models, structural component models and deterministic seasonal components, and nonlinear and long memory models.
From the contents
Preface to the Fourth Edition.
Preface to the Third Edition.
Part One: Stochastic Models and Their Forecasting.
2. Autocorrelation Function and Spectrum of Stationary Processes.
3. Linear Stationary Models.
4. Linear Nonstationary Models.
Part Two: Stochastic Model Building.
6. Model Identification.
7. Model Estimation.
8. Model Diagnostic Checking.
9. Seasonal Models.
10. Nonlinear and Long Memory Models.
Part Three: Transfer Function and Multivariate Model Building.
11. Transfer Function Models.
12. Identification, Fitting, and Checking of Transfer Function Models.
13. Intervention Analysis Models and Outlier Detection.
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.
Part Six: Exercises and Problems.