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Title: Time Series Analysis by Jenkins, George E. P. Box ISBN: 0-13-905100-7 Publisher: Prentice Hall Pub. Date: February, 1994 Format: Hardcover Volumes: 1 List Price(USD): $60.00 |
Average Customer Rating: 5 (4 reviews)
Rating: 5
Summary: time series analysis
Comment: we are one private bank (BCM) in morocco please send us a proforma invoice and a if it's possible a commercial catalog describing the contents of th book. thank you
Rating: 5
Summary: recent update of classic text
Comment: In the early 1970s I was working on practical forecasting methods to apply to the U.S. Army supply depot workloads. Exponential smoothing was the commonly used "automatic" technique (once smoothing constants have been determined) that had great advantages over the informal methods used by the Army. Then someone told me that Box-Jenkins techniques were more general and powerful. I got a copy of the first edition published in 1970 and found that I could read and understand it even though I had little statistical training. I had a bachelors degree in mathematics. I got to appreciate the book even more when I took a short course from George Box, George Tiao and David Pack based on the book. I began to grasp some of the key ideas of stationary and nonstationary time series and learned about model selection, diagnostic checking and estimation. This started my interest in becoming a statistician and gave me the practical side of time series analysis first. I later specialized in it and got a Ph.D. in statistics.
Gwilym Jenkins died many years prior to this edition and Box's colleague Greogory Reinsel took on the task of helping to revise and update it.
It retains its original flavor. It is an applied book with many practical and illustrative examples. It concentrates on the three stages of time series analysis: modeling building, selection, estimation and diagnostic checking and how to iterate the process toward a good solution. The ARIMA time series models are what are considered. The theory of stationary and nonstationary time series is introduced to motivate interpretation of autocorrelation and partial autocorrelation in the model identification phase. Operator notation is introduced and used throughout the book to simplify equations. For me it helped simplify things and illuminate some concepts. But many readers found it difficult and confusing. the book is very systematic and practical. Many of the examples are real examples from Box's work in the chemical industry and his consulting during his career at the University of Wisconsin and also the consulting experience of Gwilym Jenkins in England.
The publishers and some amazon reviewers say that this edition is a major revision. The second edition published in 1976 was criticized for being essentially a reprint of the first. Although there is a new chapter 12 on intervention analysis and outlier detection it mainly is an expansion of ideas already discussed in the first edition. Theoretical results are kept aside in appendices as in previous editions.
This is not an up-to-date text on the theory of time series. It deals strictly with the time domain approach and does not include recent advances including nonlinear and bilinear models, models with non-Gaussian innovations and bootstrap or other resampling methods.
To get a balanced approach that includes the theory for frequency and time domain approaches the book by Shumway, the latest edition of the Brockwell and Davis text and the latest edition of Fuller's text are appropriate. For a graduate course I taught at UC Santa Barbara in 1981 I used the first edition of Fuller's book. Anderson provides a thorough account of the time domain theory. Excellent texts that specialize in the frequency domain approach are Bloomfield's second edition and the two volume book by Priestley. Brillinger's text is also worthwhile for those interested in spectral theory (frequency domain statistics).
Although there are many things that is text does not cover, it remains the classical text on a rich class of time domain methods that are still very practical. This is a text I bought for reference even though I still have the first edition.
Rating: 5
Summary: Mathematical, Theoretical, Practical.
Comment: Box-Jenkins is THE definitive, foundational text in time series analysis. Mastery of this volume requires extensive graduate level understanding of mathematical statistics. While difficult even for intermediate statistical practitioners, this text is necessary for any professional who examines time series data and well worth the considerable effort to acquire mastery.
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Title: Introduction to Time Series and Forecasting by Peter J. Brockwell, Richard A. Davis, P. J. Rockwell ISBN: 0387953515 Publisher: Springer Verlag Pub. Date: 08 March, 2002 List Price(USD): $84.95 |
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Title: Time Series Analysis by James Douglas Hamilton ISBN: 0691042896 Publisher: Princeton Univ Pr Pub. Date: 11 January, 1994 List Price(USD): $85.00 |
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Title: Time Series: Theory and Methods (Springer Series in Statistics) by Peter J. Brockwell, Richard A. Davis, Stephen E. Fienberg ISBN: 0387974296 Publisher: Springer Verlag Pub. Date: September, 1996 List Price(USD): $94.00 |
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Title: The Analysis of Time Series: An Introduction, Sixth Edition by Chris Chatfield ISBN: 1584883170 Publisher: CRC Press Pub. Date: 29 July, 2003 List Price(USD): $49.95 |
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Title: Time Series Models for Business and Economic Forecasting by Philip Hans Franses ISBN: 0521586410 Publisher: Cambridge University Press Pub. Date: 15 October, 1998 List Price(USD): $33.00 |
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