The Analysis of Time Series: An Introduction, Sixth Edition

By Chris Chatfield

Book Overview

Since 1975, The Analysis of Time Series: An Introduction has introduced legions of statistics students and researchers to the theory and practice of time series analysis. With each successive edition, bestselling author Chris Chatfield has honed and refined his presentation, updated the material to reflect advances in the field, and presented interesting new data sets. The sixth edition is no exception. It provides an accessible, comprehensive introduction to the theory and practice of time series analysis. The treatment covers a wide range of topics, including ARIMA probability models, forecasting methods, spectral analysis, linear systems, state-space models, and the Kalman filter. It also addresses nonlinear, multivariate, and long-memory models. The author has carefully updated each chapter, added new discussions, incorporated new datasets, and made those datasets available for download from www.crcpress.com. A free online appendix on time series analysis using R can be accessed at http: //people.bath.ac.uk/mascc/TSA.usingR.doc. Highlights of the Sixth Edition: A new section on handling real data New discussion on prediction intervals A completely revised and restructured chapter on more advanced topics, with new material on the aggregation of time series, analyzing time series in finance, and discrete-valued time series A new chapter of examples and practical advice Thorough updates and revisions throughout the text that reflect recent developments and dramatic changes in computing practices over the last few years The analysis of time series can be a difficult topic, but as this book has demonstrated for two-and-a-half decades, it does not have to be daunting. The accessibility, polished presentation, and broad coverage of The Analysis of Time Series make it simply the best introduction to the subject available.

• Format: Paperback
• Language: English
• ISBN: 1584883170
• ISBN13: 9781584883173
• Release Date: July 2003
• Publisher: CRC Press LLC
• Length: 352 Pages
• Weight: 1.10 lbs.
• Dimensions: 0.7" x 5.6" x 9.8"

Customer Reviews

nice introductory text on time series

When I was a graduate student at Stanford my advisor taught an elementary time series course out of Chatfield's book. It was either the first or the second edition. I was his teaching assistant. The book has been very successful and is now in its fifth edition. It covers most of the important topics concisely and in an intuitive manner. This book gives the student a feel for time series analysis and an appreciation for its applicability. It is not meant for someone who wants a rigorous treatment and a strong understanding of the theory. For that the text of Brockwell and Davis or Anderson or Brillinger or Priestley are more appropriate.

Excellent introduction to time series.

I have read the entire book, and I am quite satisfied with it. I think it is an excellent introduction for anyone with the requisite background in calculus, probability, and statistics.

Excellent starting place for time series analysis

This tidy book is a highly readable, introductory survey to the topic of modern time series analysis. It excels in its ability to focus on the more intuitive aspects of analysis and model identification. The discussion of both time- and frequency-domain approaches is reasonably balanced, and Kalman filtering is also introduced. While it touches on many modern aspects of time series analysis, it sometimes (intentionally) lacks important technical depth necessary for implementation.The author has done an admirable job at keeping the book manageably small. However, the reader is occasionally left wanting where interesting details are omitted because the author considered them "beyond the scope" of the book. For example, the preface mentions that several new topics are incorporated into the 5th edition (wavelets, for example), but the reader only finds a gratuitous single paragraph with references to complementary journal articles. In these few rare cases, the discussions are not intuitive enough for the reader to know whether it would be profitable to bother with further research at the professional journal level. Still, this title does well to reference the most important landmark works in the time series literature. Those performing remedial research may find it is easier - and more productive - to simply consult Chatfield's recommendations of important topical works before resorting to online or library literature searches.This text has been in print since 1975 with new editions arriving every 5 years or so (perhaps even a 6th edition is close, since the last edition is copyrighted 1996). I am usually suspicious of textbooks having increasingly larger numbers of editions because the continual re-writing implies some level of recurring insufficiency. However, the frequency of update is probably justified due to continuing advances in this field of study. As a result, this title is surprisingly current given its introductory status (although the 4th and 5th editions do not differ too much).For someone new to time series analysis, this may be one of the better places to start, especially for the price. Readers lacking in intuition or experience in time series analysis - especially non-statisticians - will certainly appreciate this introductory title. The more experienced analyst will also be well served by the author's expert perspectives - but to do practical work, this text will still likely need to be supplemented. The generous citation of additional literature will help the reader to know where to go next.

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