Practical Time Series

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Arnold, 2001 - Business & Economics - 156 pages
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A time series is a set of ordered observations of an individual or event taken at different points in time. The essential quality of time series is that observations are measured against time, as distinct from those which are not ordered at all (e.g. a random sample taken simultaneously). The study of time-ordered data is an important branch of statistics with applications as variable as medicine, engineering and economics. Janacek's book is a practical hands-on look at how the analysis works, rather than a mere discussion of theory. It covers a broad spectrum of models, from ARIMA models to state space models and the Kalman filter. Applications of the estimation problem and the frequency domain are also covered.

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About the author (2001)

G. Janacek is at University of East Anglia.

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