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Peter J. Brockwell
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Introduction to Time Series and Forecasting (Springer Texts in Statistics) 3rd ed. 2016 Edition

by Peter J. Brockwell (Author), Richard A. Davis (Author)
4.2 4.2 out of 5 stars 48 ratings
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This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering and the natural and social sciences. It assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This third edition contains detailed instructions for the use of the professional version of the Windows-based computer package ITSM2000, now available as a free download from the Springer Extras website. The logic and tools of time series model-building are developed in detail. Numerous exercises are included and the software can be used to analyze and forecast data sets of the user's own choosing. The book can also be used in conjunction with other time series packages such as those included in R. The programs in ITSM2000 however are menu-driven and can be used with minimal investment of time in the computational details.

The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Many additional special topics are also covered.

New to this edition:

  • A chapter devoted to Financial Time Series
  • Introductions to Brownian motion, Lévy processes and Itô calculus
  • An expanded section on continuous-time ARMA processes
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  1. ISBN-10
    9783319298528
  2. ISBN-13
    978-3319298528
  3. Edition
    3rd ed. 2016
  4. Publisher
    Springer
  5. Publication date
    August 31, 2016
  6. Part of series
    Springer Texts in Statistics
  7. Language
    English
  8. Dimensions
    8.46 x 1.1 x 11.45 inches
  9. Print length
    439 pages
  10. See all details
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Editorial Reviews

Review

“This is a very well-written textbook aimed at a wide audience of readers interested in time series methodologies and their applications to various fields.” (Wilfredo Palma, Mathematical Reviews September, 2017)

From the Back Cover

This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering and the natural and social sciences. It assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This third edition contains detailed instructions for the use of the professional version of the Windows-based computer package ITSM2000, now available as a free download from the Springer Extras website. The logic and tools of time series model-building are developed in detail. Numerous exercises are included and the software can be used to analyze and forecast data sets of the user's own choosing. The book can also be used in conjunction with other time series packages such as those included in R. The programs in ITSM2000 however are menu-driven and can be used with minimal investment of time in the computational details.
The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Many additional special topics are also covered.

New to this edition:

  • A chapter devoted to Financial Time Series
  • Introductions to Brownian motion, Lévy processes and Itô calculus
  • An expanded section on continuous-time ARMA processes
Peter J. Brockwell and Richard A. Davis are Fellows of the American Statistical Association and the Institute of Mathematical Statistics and elected members of the International Statistics Institute. Richard A. Davis is the current President of the Institute of Mathematical Statistics and, with W.T.M. Dunsmuir, winner of the Koopmans Prize. Professors Brockwell and Davis are coauthors of the widely used advanced text, Time Series: Theory and Methods, Second Edition (Springer-Verlag, 1991).

From reviews of the first edition:
<
This book, like a good science fiction novel, is hard to put down.… Fascinating examples hold one’s attention and are taken from an astonishing variety of topics and fields.… Given that time series forecasting is really a simple idea, it is amazing how much beautiful mathematics this book encompasses. Each chapter is richly filled with examples that serve to illustrate and reinforce the basic concepts. The exercises at the end of each chapter are well designed and make good use of numerical problems. Combined with the ITSM package, this book is ideal as a textbook for the self-study student or the introductory course student. Overall then, as a text for a university-level course or as a learning aid for an industrial forecaster, I highly recommend the book. –SIAM Review
In addition to including ITSM, the book details all of the algorithms used in the package―a quality which sets this text apart from all others at this level. This is an excellent idea for at least two reasons. It gives the practitioner the opportunity to use ITSM more intelligently by providing an extra source of intuition for understanding estimation and forecasting, and it allows the more adventurous practitioners to code their own algorithms for their individual purposes.… Overall I find Introduction to Time Series and Forecasting to be a very useful and enlightening introduction to time series. –Journal of the American Statistical Association
The emphasis is on hands-on experience and the friendly software that accompanies the book serves the purpose admirably.… The authors should be congratulated for making the subject accessible and fun to learn. The book is a pleasure to read and highly recommended. I regard it as the best introductory text in town. –Short Book Reviews, International Statistical Review

Product details

  • ASIN ‏ : ‎ 3319298526
  • Publisher ‏ : ‎ Springer; 3rd ed. 2016 edition (August 31, 2016)
  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 439 pages
  • ISBN-10 ‏ : ‎ 9783319298528
  • ISBN-13 ‏ : ‎ 978-3319298528
  • Item Weight ‏ : ‎ 3.42 pounds
  • Dimensions ‏ : ‎ 8.46 x 1.1 x 11.45 inches
  • Customer Reviews:
    4.2 4.2 out of 5 stars 48 ratings

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Peter J. Brockwell

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Customer reviews

4.2 out of 5 stars
48 global ratings

Top reviews from the United States

Value Expert
5.0 out of 5 stars Excellent Introductory Text
Reviewed in the United States on September 27, 2019
Verified Purchase
Excellent introductory technical text for individual with adequate background in mathematical statistics. Econometrics would also help somewhat. This is a rigorous mathematical treatment of the subject at the graduate level. The ITSM2000 software is a very valuable bonus for applying the theory. You probably have to have a serious need to get into this book.
One person found this helpful
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Engineer
5.0 out of 5 stars This book is worth every penny
Reviewed in the United States on May 15, 2019
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Fantastic book to read and very informative , great as a course work book or Reference at undergrad or Graduate level ( M.Sc or Ph.D )
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Ivan Pedraza
5.0 out of 5 stars Awesome book
Reviewed in the United States on November 5, 2018
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Awesome book
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Grant
2.0 out of 5 stars Poor notation, poor explanations
Reviewed in the United States on September 7, 2022
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In the first two chapters, this book seems like everything one would need to grasp the mathematical foundations of time series analysis. However, the book is definitely not an introduction. As someone who studied math, the equations are not the problem, but the notation is very bad. The authors regularly create new notation without necessarily explaining the origin. Additionally, some derivations of important results are skipped altogether, which I really dislike in textbooks. After weeks of trying to decode the authors' notation, I have decided to purchase a new book for time series study.
3 people found this helpful
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phamleo
1.0 out of 5 stars Difficult to read
Reviewed in the United States on February 17, 2021
I'm a MS student in Statistics and this book does a terrible job at teaching time series concepts
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J. Chen
2.0 out of 5 stars ... brand new and fancy statistics book is not necessary better than a 1997 one
Reviewed in the United States on April 17, 2018
Verified Purchase
A 2016 version brand new and fancy statistics book dose not necessarily better than a 1997 one. With "introduction" in the title, the book is hard to understand even for someone with general knowledge of statistics. Formulas are never too difficult, but author makes it really hard to follow with minimum guide. Examples are quite limited. I give two star for the paper quality.
With piles of statistics books stacked on shelf, I purchased this one to get some further understanding in forecasting techniques, and found myself totally lost. It might be a useful as text book if you can fully rely on your teacher. But definitely not a good choice for self study.
By the way, for those who want to get some "introduction" to the forecasting and time series models, try Forecasting Methods and Applications by Makridakis. Although 20 years old it is still much better as a newbie guide.
14 people found this helpful
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Amazon Customer
2.0 out of 5 stars Hard to follow, poorly written
Reviewed in the United States on October 18, 2020
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Context of time series is really not hard, but this book makes it really difficult to follow. The content is poorly organized as if the authors just wrote whatever comes to their mind.
One person found this helpful
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Ann Atwater
2.0 out of 5 stars Hard to Follow, Shouldn't Be Introduction
Reviewed in the United States on May 9, 2020
For context here, I was a mathematics and statistics double major in college when I used this book in my senior year. Despite my preparation by this point, the general presentation of the ideas in the book left me scratching my head. The notation and explanations of ideas are messy, and you should be prepared to spend far more time than you would expect trying to understand an introductory text.

Furthermore, the problems are generally very, very difficult to parse and work out. There aren't easier problems before ramping up to harder ones like I've seen in other statistics textbooks. Not having easier problems poses a big issue with such an unwieldy book is a big issue as you cannot easily use them to assist in deciphering the text.

The one thing that I did appreciate from the book was the R Code excerpts, which are generally able to be understood without too much trouble. As such, the book will probably have a place to live on my shelf, but it will not be what I would reference in the future when I need to remember stuff about Time Series.
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Top reviews from other countries

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Jisen Ren
1.0 out of 5 stars worthless
Reviewed in Germany on March 14, 2022
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It doesn't worth this price
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S. I.
1.0 out of 5 stars Right Cover, Wrong Text
Reviewed in Canada on January 22, 2019
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I wasn't actually able to use this textbook because, while the cover is the text I was looking for, the inside contained the textbook 'Introduction to Systems Analysis: Mathematically Modelling Natural Systems' by Imboden and Pfenninger. Definitely sending it back and purchasing somewhere else...
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Pravin
1.0 out of 5 stars Cant Read in Kindly cloud reader
Reviewed in India on March 16, 2019
Verified Purchase
This is very good book but sad part is this can be read only on kindly app. You can not read it on https://read.amazon.in/.
Publish should reconsider this, this is not a fiction book which can be read at leisure on mobile. This needs to be read and understood like text book.
One person found this helpful
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Amazon カスタマー
5.0 out of 5 stars たいへんよい
Reviewed in Japan on July 30, 2021
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たいへんよい
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Dennis Förster
4.0 out of 5 stars Super übersichtlich und leicht verständlich
Reviewed in Germany on January 7, 2017
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Diese Buch ist der Hammer! Überrascht hat mich vor allem, dass es sich dabei um eine Neuauflage handelt. Ich kann es ohne Einschränkung empfehlen.
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