This introduction to time series analysis has been written for undergraduates and postgraduates, and assumes some basic statistical knowledge. Using a general state space model, the authors draw together methodologies to enable the development of methods for estimation, forecasting and model selection. Both time domain and frequency domain are discussed. The text examines real problems and includes many examples from a range of fields including mathematics, statistics, economics and electronics. The book aims to provide all the details necessary for readers to model their own time series and to analyze real data.

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Time Series: Forecasting, Simulation, Applications (Ellis Horwood Series in Mathematics and Its Applications)

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