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Topic: Time series - textbook and software
Replies: 2   Last Post: Apr 29, 2013 12:10 PM

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amzoti

Posts: 1,108
Registered: 3/6/07
Re: Time series - textbook and software
Posted: Apr 29, 2013 12:08 PM
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On Monday, April 29, 2013 6:27:25 AM UTC-7, Evgeny Turchyn wrote:
> Hello, All!
>
> I'll have to teach undergraduate students time series analysis. What
>
> textbook should I use? The course is supposed to be rather broad
>
> (including AR, MA, ARMA; GARCH etc; some spectral analysis, Kalman
>
> filter, even elements of nonlinear dynamics) and rather rigorous
>
> mathematically (it's for students majoring in math).
>
> Can anyone share his opinion about the following textbooks:
>
> 1) Wei "Time Series Analysis";
>
> 2) Brockwell, Davis "Time Series. Theory and Methods";
>
> 3) Cryer, Chan "Time Series Analysis";
>
> 4) Shumway, Stoffer "Time Series Analysis and Its
>
> Applications".
>
> Second question. What software package should I use for time series
>
> analysis practice with my undegraduate class? I need support of the
>
> above-mentioned things (and I'd like to have easy-to-use software).
>
>
>
> Best regards, Evgeny.


I am not expert, but you might want to consider "R".

See: http://a-little-book-of-r-for-time-series.readthedocs.org/en/latest/src/timeseries.html




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