Time Series: Theory and Methods (Springer Series in Statistics)

Rating:
Summary: Rigorous, difficult, but feasible
Review: Of course, this an advanced textbook on Time Series. The reader is supposed to have been introduced to the subject, and certainly is looking for a more theoretical treatment.

If you want to learn time series for the first time, this is not the book.

If you want a friendly book, do not see springer's publications.

However, if you want a fair rigourous book, you have found it.

I think the exercises are illustrative, but sometimes long.

Rating:
Summary: excellent and rigorous treatment of time series methods
Review: This text provides a thorough treatment of the time and frequency domain theory for time series data. It provides a rigorous and theoretical treatment. This is a graduate level text for statistics majors. It provides good coverage of ARIMA models. There are also a number of other good texts on time series analysis both theoretical and applied. Some like Koopmans' text and Bloomfield's emphasize the frequency domain and others like Box, Jenkins and Reinsel the time domain. Another excellent recent text is the one by Shumway and Stoffer. Chatfield's monograph provides a concise elementary introduction.