This book gives the reader a step-by-step introduction to analyzing time series using the open source software R. Each time series model is illustrated through practical applications addressing contemporary issues, and is defined in mathematical notation.

This book is on the analysis of time series using R, with some emphasis on economic and financial series. The text is based on practical applications and emphasizes the value of the statistical anlaysis to researchers and students who can then apply the methods to university research or to problems in industry and commerce.

Motivated with real cases addressing contemporary issues Detailed explanations of the use of R for time series analysis Includes supplementary material: sn.pub/extras

Autorentext

Paul Cowpertwait is an associate professor in mathematical sciences (analytics) at Auckland University of Technology with a substantial research record in both the theory and applications of time series and stochastic models. Andrew Metcalfe is an associate professor in the School of Mathematical Sciences at the University of Adelaide, and an author of six statistics text books and numerous research papers. Both authors have extensive experience of teaching time series to students at all levels.

Zusammenfassung
Once the model has been introduced it is used to generate synthetic data, using R code, and these generated data are then used to estimate its parameters. This sequence enhances understanding of both the time series model and the R function used to fit the model to data.

Inhalt
Time Series Data.- Correlation.- Forecasting Strategies.- Basic Stochastic Models.- Regression.- Stationary Models.- Non-stationary Models.- Long-Memory Processes.- Spectral Analysis.- System Identification.- Multivariate Models.- State Space Models.