Time Series Analysis: Forecasting and Control

by George E.P. Box, Gwilym M. Jenkins, Gregory C. Reinsel

A modernized new edition of one of the most trusted books on time series analysis. Since publication of the first edition in 1970, Time Series Analysis has served as one of the most influential and prominent works on the subject. This new edition maintains its balanced presentation of the tools for modeling and analyzing time series and also introduces the latest developments that have occurred n the field over the past decade through applications from areas such as business, finance, and engineering. The Fourth Edition provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series as well as their use in five important areas of forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. Along with these classical uses, modern topics are introduced through the book's new features, which Numerous illustrations and detailed appendices supplement the book,while extensive references and discussion questions at the end of each chapter facilitate an in-depth understanding of both time-tested and modern concepts. With its focus on practical, rather than heavily mathematical, techniques, Time Series Analysis , Fourth Edition is the upper-undergraduate and graduate levels. this book is also an invaluable reference for applied statisticians, engineers, and financial analysts.

Genres: Nonfiction, Mathematics, Textbooks

784 pages, Hardcover

First published June 30, 2008

Reviews

[David Lindelof · Rating 5 out of 5]

Probably one of the best textbooks on the subject out there. But first a disclaimer: I did not read this book cover to cover; however, I did skim through its entirety, fully reading those parts that were most applicable to my current work.

There's a very close relationship between the theory of time series and modern control theory, and the notation one finds in this book will be familiar to you if you have read textbooks on control theory before. Box takes however a bold step and doesn't really formally define what a Lorentz transform it; instead, he simply introduces the B shift operator and then uses it as the free variable in polynoms; something that other textbooks do only after carefully laying the theoretical grounds that "allow" you to do this sort of thing.

This has the advantage of making the subject much more accessible, without sacrificing any mathematical rigour. This book is, I would argue, THE essential textbook on time series analysis and definitely belongs on the bookshelf of anyone working with control systems, such as yours truly.

[Bala Vignesh]

took a while

[Suyash Mallik · Rating 4 out of 5]

Pretty engaging as far as textbooks go. will go through python implementations of some of the ideas mentioned here.