Application of time series analysis

Author: He Shuyuan
Publisher:
Publish Date: 2004-09-01
Features: Time series analysis is a highly applied branch of probability and statistics, with extensive applications in various fields such as finance and economics, meteorology and hydrology, signal processing, and mechanical vibration. This book serves as a textbook for the "Applied Time Series Analysis" course in higher education institutions, systematically teaching the fundamental theories, methods, and applications of applied time series analysis. The book focuses on linear models of time series and spectral analysis of stationary sequences, introducing the basic knowledge of stationary time series, common modeling and forecasting methods. The goal is to provide students with a fundamental understanding of the theoretical and methodological applications of time series, enabling them to use basic time series methods to process simple time series data. The book is divided into nine chapters, covering topics such as time series decomposition, stationary sequences, linear stationary sequences, ARMA models, time series forecasting, windowed spectral estimation, and an introduction to multivariate stationary sequences. Each section is accompanied by a selection of exercises and some computer assignments, available for use by instructors and students. This book can be used as a textbook or teaching reference for undergraduate students in comprehensive universities, engineering universities, and normal universities taking the "Applied Time Series Analysis" course. It can also serve as a reference for engineering technicians and applied professionals.