Time series analysis : forecasting and control

Since publication of the first edition in 1970, Time SeriesAnalysis has served as one of the most influential andprominent works on the subject. This new edition maintains itsbalanced presentation of the tools for modeling and analyzing timeseries and also introduces the latest developments that haveoccurred in the field over the past decade through applicationsfrom areas such as business, finance, and engineering. Along withthe addition of a new co-author, Greta Ljung, a student of GeorgeBox, the Fifth Edition provides a clearly written exploration ofthe key methods for building, classifying, testing, and analyzingstochastic models for time series as well as their use in fiveimportant areas of application: forecasting; determining thetransfer function of a system; modeling the effects of interventionevents; developing multivariate dynamic models; and designingsimple control schemes. New to this edition are more exercises;streamlined chapter introductions; updated examples and references;increased coverage of multivariate time series and their use infinancial applications; SV models, MCMC based inference, andBayesian Network modeling; and the incorporation of the'R' freeware language.