Time Series Analysis: Forecasting & Control Author: George E. Box | Language: English | ISBN:
7115137722 | Format: EPUB
Time Series Analysis: Forecasting & Control Description
- Paperback
- Publisher: Pearson Education Asia Limited; 3rd edition (2005)
- ISBN-10: 7115137722
- ISBN-13: 978-7115137722
In the early 1970s I was working on practical forecasting methods to apply to the U.S. Army supply depot workloads. Exponential smoothing was the commonly used "automatic" technique (once smoothing constants have been determined) that had great advantages over the informal methods used by the Army. Then someone told me that Box-Jenkins techniques were more general and powerful. I got a copy of the first edition published in 1970 and found that I could read and understand it even though I had little statistical training. I had a bachelors degree in mathematics. I got to appreciate the book even more when I took a short course from George Box, George Tiao and David Pack based on the book. I began to grasp some of the key ideas of stationary and nonstationary time series and learned about model selection, diagnostic checking and estimation. This started my interest in becoming a statistician and gave me the practical side of time series analysis first. I later specialized in it and got a Ph.D. in statistics.
Gwilym Jenkins died many years prior to this edition and Box's colleague Greogory Reinsel took on the task of helping to revise and update it.
It retains its original flavor. It is an applied book with many practical and illustrative examples. It concentrates on the three stages of time series analysis: modeling building, selection, estimation and diagnostic checking and how to iterate the process toward a good solution. The ARIMA time series models are what are considered. The theory of stationary and nonstationary time series is introduced to motivate interpretation of autocorrelation and partial autocorrelation in the model identification phase. Operator notation is introduced and used throughout the book to simplify equations.
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