Description
| Product ID: | 9780387886978 |
| Product Form: | Paperback / softback |
| Country of Manufacture: | US |
| Series: | Use R! |
| Title: | Introductory Time Series with R |
| Authors: | Author: Andrew V. Metcalfe, Paul S.P. Cowpertwait |
| Page Count: | 256 |
| Subjects: | Econometrics and economic statistics, Econometrics, Sales and marketing, Probability and statistics, Stochastics, Electronics engineering, Maths for computer scientists, Digital signal processing (DSP), Sales & marketing, Probability & statistics, Stochastics, Electronics engineering, Maths for computer scientists, Signal processing |
| Description: | Select Guide Rating 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. Rhasacommandlineinterfacethato?ersconsiderableadvantagesovermenu systemsintermsofe?ciencyandspeedoncethecommandsareknownandthe languageunderstood. However,thecommandlinesystemcanbedauntingfor the?rst-timeuser,sothereisaneedforconcisetextstoenablethestudentor analysttomakeprogresswithRintheirareaofstudy. Thisbookaimstoful?l thatneedintheareaoftimeseries toenablethenon-specialisttoprogress, atafairlyquickpace,toalevelwheretheycancon?dentlyapplyarangeof timeseriesmethodstoavarietyofdatasets. Thebookassumesthereader hasaknowledgetypicalofa?rst-yearuniversitystatisticscourseandisbased aroundlecturenotesfromarangeoftimeseriescoursesthatwehavetaught overthelasttwentyyears. Someofthismaterialhasbeendeliveredtopo- graduate?nancestudentsduringaconcentratedsix-weekcourseandwaswell received,soaselectionofthematerialcouldbemasteredinaconcentrated course,althoughingeneralitwouldbemoresuitedtobeingspreadovera completesemester. Thebookisbasedaroundpracticalapplicationsandgenerallyfollowsa similar format for each time series model being studied. First, there is an introductory motivational section that describes practical reasons why the modelmaybeneeded. Second,themodelisdescribedandde?nedinma- ematicalnotation. Themodelisthenusedtosimulatesyntheticdatausing Rcodethatcloselyre?ectsthemodelde?nitionandthen?ttedtothes- theticdatatorecovertheunderlyingmodelparameters. Finally,themodel is?ttedtoanexamplehistoricaldatasetandappropriatediagnosticplots given. By using R, the whole procedure can be reproduced by the reader, 1 anditisrecommendedthatstudentsworkthroughmostoftheexamples. Mathematical derivations are provided in separate frames and starred sec- 1 WeusedtheRpackageSweavetoensurethat,ingeneral,yourcodewillproduce thesameoutputasours. However,forstylisticreasonswesometimeseditedour code;e. g. ,fortheplotstherewillsometimesbeminordi?erencesbetweenthose generatedbythecodeinthetextandthoseshownintheactual?gures. vii viii Preface tionsandcanbeomittedbythosewantingtoprogressquicklytopractical applications. Attheendofeachchapter,aconcisesummaryoftheRc- mands that were used is given followed by exercises. All data sets used in thebook,andsolutionstotheoddnumberedexercises,areavailableonthe websitehttp://www. massey. ac. nz/?pscowper/ts. WethankJohnKimmelofSpringerandtheanonymousrefereesfortheir helpfulguidanceandsuggestions,BrianWebbyforcarefulreadingofthetext andvaluablecomments,andJohnXieforusefulcommentsonanearlierdraft. TheInstituteofInformationandMathematicalSciencesatMasseyUniv- sity and the School of Mathematical Sciences, University of Adelaide, are acknowledgedforsupportandfundingthatmadeourcollaborationpossible. Paul thanks his wife, Sarah, for her continual encouragement and support duringthewritingofthisbook,andourson,Daniel,anddaughters,Lydia andLouise,forthejoytheybringtoourlives. AndrewthanksNataliefor providinginspirationandherenthusiasmfortheproject. PaulCowpertwaitandAndrewMetcalfe MasseyUniversity,Auckland,NewZealand UniversityofAdelaide,Australia December2008 Contents Preface. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii 1 TimeSeriesData. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Purpose. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Timeseries. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1. 3 Rlanguage. . . . . . . . . . . . . . . . . . . . . . . . . |
| Imprint Name: | Springer-Verlag New York Inc. |
| Publisher Name: | Springer-Verlag New York Inc. |
| Country of Publication: | GB |
| Publishing Date: | 2009-06-09 |
