Time Series Analysis

Wilfredo Palma



A modern and accessible guide to the analysis of introductory time series data

Featuring an organized and self-contained guide, Time Series Analysis provides a broad introduction to the most fundamental methodologies and techniques of time series analysis. The book focuses on the treatment of univariate time series by illustrating a number of well-known models such as ARMA and ARIMA.

Providing contemporary coverage, the book features several useful and newlydeveloped techniques such as weak and strong dependence, Bayesian methods, non-Gaussian data, local stationarity, missing values and outliers, and threshold models. Time Series Analysis includes practical applications of time series methods throughout, as well as:

• Real-world examples and exercise sets that allow readers to practice the presented methods and techniques
• Numerous detailed analyses of computational aspects related to the implementation of methodologies including algorithm efficiency, arithmetic complexity, and process time
• End-of-chapter proposed problems and bibliographical notes to deepen readers’ knowledge of the presented material
• Appendices that contain details on fundamental concepts and select solutions of the problems implemented throughout
• A companion website with additional data fi les and computer codes

Time Series Analysis is an excellent textbook for undergraduate and beginning graduate-level courses in time series as well as a supplement for students in advanced statistics, mathematics, economics, finance, engineering, and physics. The book is also a useful reference for researchers and practitioners in time series analysis, econometrics, and finance.

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