Review
"There are many books on time series analysis but this is the first monograph specialized to diagnostic checking. … The author is a known specialist in time series modelling. His approach is a practical one and each topic is presented from a model builder's point of view. … [V]ery useful for statisticians working in time series analysis." - EMS Newsletter "[T]he author has adopted an easy-to-follow style which takes the reader to the frontier of the literature painlessly." - Journal of the Royal Statistical Society "There have been several excellent monographs on the diagnostics of linear models, but this is the first and possibly definitive one for stationary time series modeling. It is of great value in bringing together the diverse literature on the topic, over three hundred references are given, and integrating them into a coherent whole…Whatever type of time series model you are fitting, linear or nonlinear, volatile or not, turn to this monograph for help in testing its goodness-of-fit." - ISI Short Book Reviews

Book Description
Written by one of the world's foremost authorities in time series modeling, this book explores goodness of fit tests in time series analysis. Starting with linear models, the author proceeds to nonlinear modeling with extensions to long-memory and generalized linear models--all areas of interest and activity. The focus is firmly on practical matters, and the author presents a range of applications, particularly from the financial arena. Until now, published work in this area has been scattered throughout the literature. Researchers and practitioners alike will welcome this book as a reference that will guide them through the final stages of their modeling tasks.

Product Details

• Hardcover: 216 pages
  
• Publisher: Chapman & Hall/CRC (December 29, 2003)
  
• Language: English
  
• ISBN: 1584883375

[此贴子已经被作者于2006-5-5 7:40:17编辑过]