Time Series

This text covers the major areas of modern time series models and theory, including time and spectral domain and univariate and multivariate time series methods. It also discusses recent techniques for modeling time series data, such as dynamic graphical models, SMC methods, and nonlinear/non-Gaussian dynamic models. Emphasizing model-based, computationally intensive analysis of structured time series, the authors present analyses of real time series data in numerous examples and case studies to illustrate the flexibility and practical impact of the models and methods. Many of the data sets, R and MATLAB® code, and other material are available on the authors’ websites.