Time Series: Data Analysis and Theory (Classics in Applied Mathematics, 36)

Rating:
Summary: rigorous treatment of frequency domain analysis
Review: Brillinger's book gives a thorough and advanced treatment of the frequency domain approach to time series analysis. It is more rigorous and advanced than Bloomfield but is not as easy to read and understand. It is the only text that I know of, to illustrate the power of the complex normal distribution as first suggested by N. Roy Goodman. Besides the interesting and rigorous treatment another nice feature of the book is the data analytic approach to many real time series.

Rating:
Summary: rigorous treatment of frequency domain analysis
Review: Brillinger's book gives a thorough and advanced treatment of the frequency domain approach to time series analysis. It is more rigorous and advanced than Bloomfield but is not as easy to read and understand. It is the only text that I know of, to illustrate the power of the complex normal distribution as first suggested by N. Roy Goodman. Besides the interesting and rigorous treatment another nice feature of the book is the data analytic approach to many real time series.

Rating:
Summary: Still the best monograph on frequency domain analysis of sta
Review: Brillinger's book is unsurpassed in its thorough and transparent treatment of frequency domain analysis of weakly stationary time series (continuous state - discrete time). It generalizes all standard multivariate statistical analysis techniques (regression analysis, analysis of variance, principal component analysis, etc.) to the setting of weakly stationary series and presents detailed discussions of the associated sampling distributions. It is my preferred source for looking up such things as the sampling distribution of estimated coherency, estimated phase spectrum, etc. An excellent book!