Introduction to Time Series and Forecasting (Hardcover, 3, 2016)

Introduction.- Stationary Processes.- ARMA Models.- Spectral Analysis.- Modeling and Forecasting with ARMA Processes.- Nonstationary and Seasonal Time Series Models.- Time Series Models for Financial Data.- Multivariate Time Series.- State-Space Models.- Forecasting Techniques.- Further Topics.- Appendix A: Random Variables and Probability Distributions.- Appendix B: Statistical Complements.- Appendix C: Mean Square Convergence.- Appendix D: Levy Processes, Brownian Motion and Ito Calculus.- Appendix E: An ITSM Tutorial.- References.- Index.