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amzoti
Posts:
1,113
Registered:
3/6/07


Re: Time series  textbook and software
Posted:
Apr 29, 2013 12:08 PM


On Monday, April 29, 2013 6:27:25 AM UTC7, 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 > > abovementioned things (and I'd like to have easytouse software). > > > > Best regards, Evgeny.
I am not expert, but you might want to consider "R".
See: http://alittlebookofrfortimeseries.readthedocs.org/en/latest/src/timeseries.html



