Time Series Analysis and Its Applications (Springer Texts in Statistics)

Rating:
Summary: well written text, mixing theory and applications
Review: This is a modern book on time series analysis with many interesting and useful examples. It has a practical orientation much like Shumay's earlier book. The material has been tested in courses given by the authors at UC Berkeley and UC Davis. Good for both undergraduate and graduate level students. It covers most of the basics from both the time and frequency domain approaches. Although one reviewer suggests that it is light on theory compared to the Brockwell and Davis book, there is an adequate amount of theory presented which makes the level intermediate. It does require some advanced mathematics. Interesting topics not commonly found in competitor books include long memory ARMA models, the multivariate ARMAX models and their state space representation, applications of ARMAX models to longitudinal data analysis, bootstrapping state space models and the use of frequency domain time series methods applied to discriminant analysis, clustering and various other common multivariate statistical techniques. It also has a nice list of references. It definitely deserves 5 stars and possibly an oscar!