Time Series Analysis

By: Wilfredo Palma

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Synopsis: Time Series is the result of more than 20 years of teaching courses at both the upper-undergraduate and beginning-graduate levels. The main motivation is to provide a broad coverage of the most fundamental aspects of time series analysis and its applications at an introductory level. As a consequence, the text focuses only on the treatment of univariate time series, covering a number of well-known models such as ARMA and ARIMA. The text also provides an updated coverage of several useful and newly-developed techniques such as weak and strong dependence, Bayesian methods, non-Gaussian data, and local stationarity, missing values and outliers, threshold models, among others. The topics are systematically organized in a progressive manner so as to provide suitable continuity from beginning to end. Examples, exercise sets, and their corresponding solutions are plentiful. Theory is discussed when relevant. Every effort is made to make the book self-contained. A companion Web site is available for readers to access the R data sets used within the text.