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A good book in discrete time series: a topic in advanced statistics.
There are other books in time series, but this one stands above the crowd. While in the "Applications" chapter only engineering fields of control theory and digital filter are discussed in details, the chapters
on "modelings" and "forecast" make the book suitable and useful for all professionals. The chapter on the VARIMA time series requires some matrix theory that is provided in one appendix. Forecast and modeling
of a VARMA time series are not easy topics and I have not seen many
books deal with these topics as easy as the author of this book. Most
of the visible and necessary statistics background are discussed in Chapter 2. This chapter and Chapters 4, 5, 7 and 8 are the selling chapters of the book. It seems that the author did go through all the
hurdles to discuss a topic at length. No stones were left unturned.
The variance formulae of an ARMA is the case in point. While the book is far above the standard, the price is not. A recommend for one who wants to study discrete time series!
Scalar ARIMA Time Series
Time Statistics of an ARIMA Time Series
Frequency Statistics of an ARIMA Time Series
Vector ARIMA Time Series
Time Series Modeling or Identification
Forecast or Prediction